Add marketdata for options (#271)

* Add marketdata for options

* fix typo and remove unused methods

examples/marketdata/marketdata.go

@@ -4,8 +4,10 @@ import (
 	"bufio"
 	"fmt"
 	"os"
+	"sort"
 	"strconv"
 	"strings"
+	"text/tabwriter"
 	"time"
 
 	"github.com/alpacahq/alpaca-trade-api-go/v3/marketdata"
@@ -120,6 +122,53 @@ func cryptoQuote() {
 	fmt.Println()
 }
 
+func optionChain() {
+	chain, err := marketdata.GetOptionChain("AAPL", marketdata.GetOptionSnapshotRequest{})
+	if err != nil {
+		panic(err)
+	}
+	type snap struct {
+		marketdata.OptionSnapshot
+		Symbol string
+	}
+	calls, puts := []snap{}, []snap{}
+	for symbol, snapshot := range chain {
+		if strings.Contains(symbol, "C") {
+			calls = append(calls, snap{OptionSnapshot: snapshot, Symbol: symbol})
+		} else {
+			puts = append(puts, snap{OptionSnapshot: snapshot, Symbol: symbol})
+		}
+	}
+	sort.Slice(calls, func(i, j int) bool { return calls[i].Symbol < calls[j].Symbol })
+	sort.Slice(puts, func(i, j int) bool { return puts[i].Symbol < puts[j].Symbol })
+	printSnaps := func(snaps []snap) {
+		tw := tabwriter.NewWriter(os.Stdout, 0, 0, 1, ' ', 0)
+		fmt.Fprintf(tw, "%s\t%s\t%s\t%s\t%s\n", "Contract name", "Last trade time", "Price", "Bid", "Ask")
+		for _, s := range snaps {
+			ts := ""
+			if s.LatestTrade != nil {
+				ts = s.LatestTrade.Timestamp.Format(time.RFC3339)
+			}
+			price := float64(0)
+			if s.LatestTrade != nil {
+				price = s.LatestTrade.Price
+			}
+			bid, ask := float64(0), float64(0)
+			if s.LatestQuote != nil {
+				bid = s.LatestQuote.BidPrice
+				ask = s.LatestQuote.AskPrice
+			}
+			fmt.Fprintf(tw, "%s\t%s\t%g\t%g\t%g\n", s.Symbol, ts, price, bid, ask)
+		}
+		tw.Flush()
+	}
+	fmt.Println("CALLS")
+	printSnaps(calls)
+	fmt.Println()
+	fmt.Println("PUTS")
+	printSnaps(puts)
+}
+
 type example struct {
 	Name string
 	Func func()
@@ -134,6 +183,7 @@ func main() {
 		{Name: "news", Func: news},
 		{Name: "auctions", Func: auctions},
 		{Name: "crypto_quote", Func: cryptoQuote},
+		{Name: "option_chain", Func: optionChain},
 	}
 	for {
 		fmt.Println("Examples: ")

marketdata/entities.go

@@ -33,6 +33,14 @@ const (
 	US CryptoFeed = "us"
 )
 
+// OptionFeed defines the source feed of option data.
+type OptionFeed = string
+
+const (
+	OPRA       Feed = "opra"
+	Indicative Feed = "indicative"
+)
+
 // TakerSide is the taker's side: one of B, S or -. B is buy, S is sell and - is unknown.
 type TakerSide = string
 
@@ -219,6 +227,43 @@ type News struct {
 	Symbols   []string    `json:"symbols"`
 }
 
+// OptionTrade is an option trade that happened on the market
+type OptionTrade struct {
+	Timestamp time.Time `json:"t"`
+	Price     float64   `json:"p"`
+	Size      uint32    `json:"s"`
+	Exchange  string    `json:"x"`
+	Condition string    `json:"c"`
+}
+
+// OptionBar is an aggregate of option trades
+type OptionBar struct {
+	Timestamp  time.Time `json:"t"`
+	Open       float64   `json:"o"`
+	High       float64   `json:"h"`
+	Low        float64   `json:"l"`
+	Close      float64   `json:"c"`
+	Volume     uint64    `json:"v"`
+	TradeCount uint64    `json:"n"`
+	VWAP       float64   `json:"vw"`
+}
+
+// OptionQuote is an option NBBO (National Best Bid and Offer)
+type OptionQuote struct {
+	Timestamp   time.Time `json:"t"`
+	BidPrice    float64   `json:"bp"`
+	BidSize     uint32    `json:"bs"`
+	BidExchange string    `json:"bx"`
+	AskPrice    float64   `json:"ap"`
+	AskSize     uint32    `json:"as"`
+	AskExchange string    `json:"ax"`
+	Condition   string    `json:"c"`
+}
+
+type OptionSnapshot struct {
+	LatestTrade *OptionTrade `json:"latestTrade"`
+	LatestQuote *OptionQuote `json:"latestQuote"`
+}
 type multiTradeResponse struct {
 	NextPageToken *string            `json:"next_page_token"`
 	Trades        map[string][]Trade `json:"trades"`
@@ -282,3 +327,25 @@ type newsResponse struct {
 	NextPageToken *string `json:"next_page_token"`
 	News          []News  `json:"news"`
 }
+
+type multiOptionTradeResponse struct {
+	NextPageToken *string                  `json:"next_page_token"`
+	Trades        map[string][]OptionTrade `json:"trades"`
+}
+
+type multiOptionBarResponse struct {
+	NextPageToken *string                `json:"next_page_token"`
+	Bars          map[string][]OptionBar `json:"bars"`
+}
+
+type latestOptionTradesResponse struct {
+	Trades map[string]OptionTrade `json:"trades"`
+}
+
+type latestOptionQuotesResponse struct {
+	Quotes map[string]OptionQuote `json:"quotes"`
+}
+
+type optionSnapshotsResponse struct {
+	Snapshots map[string]OptionSnapshot `json:"snapshots"`
+}