How to get stock option data for backtesting

General
1

As discussed in mentorship program, we need option for stocks for backtesting.how to get it?dhan preferable

2

Hi @surabh88

We can use the same code… just replace the name in watchlist

# https://www.nseindia.com/report-detail/fo_eq_security

from Dhan_Tradehull import Tradehull
import time
import datetime
import pdb
import os

client_id    = "1107245360"
access_token = "eyJ0eXAiOiJKV1QiLCJhbGciOiJIUzUxMiJ9.eyJpc3MiOiJkaGFuIiwicGFydG5lcklkIjoiIiwiZXhwIjoxNzc3NjQzNzIwLCJpYXQiOjE3Nzc1NTczMjAsInRva2VuQ29uc3VtZXJUeXBlIjoiU0VMRiIsIndlYmhvb2tVcmwiOiIiLCJkaGFuQ2xpZW50SWQiOiIxMTA3MjQ1MzYwIn0.9tOgTDVNXCFkLJTfjhJ9OX2vIz4-u8triykuIJSQ1PZAcRPbvmmwtjYaw8VjNEgGHg5zKbd_I74c1ycrWoJI7Q"
tsl          = Tradehull(client_id, access_token)
folder       = "Test 5 mins"


watchlist    = ["TCS"]
expiries     = ["2021-01-28" ,"2021-02-25" ,"2021-03-25"]# ,"2021-04-29" ,"2021-05-27" ,"2021-06-24" ,"2021-07-29" ,"2021-08-26" ,"2021-09-30" ,"2021-10-28" ,"2021-11-25" ,"2021-12-30" ,"2022-01-27" ,"2022-02-24" ,"2022-03-31" ,"2022-04-28" ,"2022-05-26" ,"2022-06-30" ,"2022-07-28" ,"2022-08-25" ,"2022-09-29" ,"2022-10-27" ,"2022-11-24" ,"2022-12-29" ,"2023-01-25" ,"2023-02-23" ,"2023-03-29" ,"2023-04-27" ,"2023-05-25" ,"2023-06-29" ,"2023-07-27" ,"2023-08-31" ,"2023-09-28" ,"2023-10-26" ,"2023-11-30" ,"2023-12-28" ,"2024-01-25" ,"2024-02-29" ,"2024-03-28" ,"2024-04-25" ,"2024-05-30" ,"2024-06-27" ,"2024-07-25" ,"2024-08-29" ,"2024-09-26" ,"2024-10-31" ,"2024-11-28" ,"2024-12-26" ,"2025-01-30" ,"2025-02-27" ,"2025-03-27" ,"2025-04-24" ,"2025-05-29" ,"2025-06-26" ,"2025-07-31" ,"2025-08-28" ,"2025-09-30" ,"2025-10-28" ,"2025-11-25"]
atm_range    = ['ATM-10',  'ATM-9',  'ATM-8',  'ATM-7',  'ATM-6',  'ATM-5',  'ATM-4',  'ATM-3',  'ATM-2',  'ATM-1',  'ATM',  'ATM+1',  'ATM+2',  'ATM+3',  'ATM+4',  'ATM+5',  'ATM+6',  'ATM+7',  'ATM+8',  'ATM+9',  'ATM+10']




for name in watchlist:
	for expiry in expiries:
		for rangex in atm_range: 
			for right in ["CALL", "PUT"]:
				try:
					from_date = datetime.datetime.strptime(expiry, "%Y-%m-%d") - datetime.timedelta(days=30)
					from_date = from_date.strftime("%Y-%m-%d")        
					data      = tsl.get_expired_option_data(tradingsymbol=name,exchange="NSE",interval=5,expiry_flag="MONTH",expiry_code=1,strike=rangex,option_type=right,from_date=from_date,to_date=expiry)
					file_name = f"{name}_{expiry}_{right}.csv"
					path      = f"{folder}/ATM Wise data/{name}/{expiry}/{rangex}"
					os.makedirs(path, exist_ok=True)
					data.to_csv(f"{path}/{file_name}", index=False)
					print(f"{name} {rangex} {expiry} {file_name}: Download completed")
					time.sleep(0.1)

				except Exception as e:
					print(f"{name} {expiry} : Error {e}")
					continue
1 Like
3

Can we do this with entire watchlist?

4

Hi @surabh88 ,

Yes we can use this entire watchlist .