readme example, nested futures option chain (#46)

README.rst

@@ -104,6 +104,22 @@ Placing an order
 
 >>> PlacedOrderResponse(buying_power_effect=BuyingPowerEffect(change_in_margin_requirement=Decimal('125.0'), change_in_margin_requirement_effect=<PriceEffect.DEBIT: 'Debit'>, change_in_buying_power=Decimal('125.004'), change_in_buying_power_effect=<PriceEffect.DEBIT: 'Debit'>, current_buying_power=Decimal('1000.0'), current_buying_power_effect=<PriceEffect.CREDIT: 'Credit'>, new_buying_power=Decimal('874.996'), new_buying_power_effect=<PriceEffect.CREDIT: 'Credit'>, isolated_order_margin_requirement=Decimal('125.0'), isolated_order_margin_requirement_effect=<PriceEffect.DEBIT: 'Debit'>, is_spread=False, impact=Decimal('125.004'), effect=<PriceEffect.DEBIT: 'Debit'>), fee_calculation=FeeCalculation(regulatory_fees=Decimal('0.0'), regulatory_fees_effect=<PriceEffect.NONE: 'None'>, clearing_fees=Decimal('0.004'), clearing_fees_effect=<PriceEffect.DEBIT: 'Debit'>, commission=Decimal('0.0'), commission_effect=<PriceEffect.NONE: 'None'>, proprietary_index_option_fees=Decimal('0.0'), proprietary_index_option_fees_effect=<PriceEffect.NONE: 'None'>, total_fees=Decimal('0.004'), total_fees_effect=<PriceEffect.DEBIT: 'Debit'>), order=PlacedOrder(account_number='5WV69754', time_in_force=<OrderTimeInForce.DAY: 'Day'>, order_type=<OrderType.LIMIT: 'Limit'>, size='5', underlying_symbol='USO', underlying_instrument_type=<InstrumentType.EQUITY: 'Equity'>, status=<OrderStatus.RECEIVED: 'Received'>, cancellable=True, editable=True, edited=False, updated_at=datetime.datetime(1970, 1, 1, 0, 0, tzinfo=datetime.timezone.utc), legs=[Leg(instrument_type=<InstrumentType.EQUITY: 'Equity'>, symbol='USO', action=<OrderAction.BUY_TO_OPEN: 'Buy to Open'>, quantity=Decimal('5'), remaining_quantity=Decimal('5'), fills=[])], id=None, price=Decimal('50.0'), price_effect=<PriceEffect.DEBIT: 'Debit'>, gtc_date=None, value=None, value_effect=None, stop_trigger=None, contingent_status=None, confirmation_status=None, cancelled_at=None, cancel_user_id=None, cancel_username=None, replacing_order_id=None, replaces_order_id=None, in_flight_at=None, live_at=None, received_at=None, reject_reason=None, user_id=None, username=None, terminal_at=None, complex_order_id=None, complex_order_tag=None, preflight_id=None, order_rule=None), complex_order=None, warnings=[Message(code='tif_next_valid_sesssion', message='Your order will begin working during next valid session.', preflight_id=None)], errors=None)
 
+Options chain/streaming greeks
+------------------------------
+
+.. code-block:: python
+
+   from tastytrade.instruments import get_option_chain
+   from datetime import date
+
+   chain = get_option_chain(session, 'SPLG')
+   subs_list = [chain[date(2023, 6, 16)][0].streamer_symbol]
+
+   greeks = await streamer.oneshot(EventType.GREEKS, subs_list)
+   print(greeks)
+
+>>> [Greeks(eventSymbol='.SPLG230616C23', eventTime=0, eventFlags=0, index=7235129486797176832, time=1684559855338, sequence=0, price=26.3380972233688, volatility=0.396983376650804, delta=0.999999999996191, gamma=4.81989763184255e-12, theta=-2.5212017514875e-12, rho=0.01834504287973133, vega=3.7003015672215e-12)]
+
 For more examples, check out the `documentation <https://tastyworks-api.readthedocs.io/en/latest/>`_.
 
 Disclaimer

tastytrade/instruments.py

@@ -105,6 +105,43 @@ class NestedOptionChainExpiration(TastytradeJsonDataclass):
     strikes: list[Strike]
 
 
+class NestedFutureOptionChainExpiration(TastytradeJsonDataclass):
+    """
+    Dataclass representing an expiration in a nested future options chain.
+    """
+    root_symbol: str
+    notional_value: Decimal
+    underlying_symbol: str
+    strike_factor: Decimal
+    days_to_expiration: int
+    option_root_symbol: str
+    expiration_date: date
+    expires_at: datetime
+    asset: str
+    expiration_type: str
+    display_factor: Decimal
+    option_contract_symbol: str
+    stops_trading_at: datetime
+    settlement_type: str
+    strikes: list[Strike]
+    tick_sizes: list[TickSize]
+
+
+class NestedFutureOptionFuture(TastytradeJsonDataclass):
+    """
+    Dataclass representing an underlying future in a nested future options chain.
+    """
+    root_symbol: str
+    days_to_expiration: int
+    expiration_date: date
+    expires_at: datetime
+    next_active_month: bool
+    symbol: str
+    active_month: bool
+    stops_trading_at: datetime
+    maturity_date: Optional[date] = None
+
+
 class FutureEtfEquivalent(TastytradeJsonDataclass):
     """
     Dataclass that represents the ETF equivalent for a future (aka, the number
@@ -449,7 +486,7 @@ class NestedOptionChain(TastytradeJsonDataclass):
     expirations: list[NestedOptionChainExpiration]
 
     @classmethod
-    def get_nested_option_chain(cls, session: Session, symbol: str) -> 'NestedOptionChain':
+    def get_chain(cls, session: Session, symbol: str) -> 'NestedOptionChain':
         """
         Gets the option chain for the given symbol in nested format.
 
@@ -830,6 +867,51 @@ def get_future_option(
         return cls(**data)
 
 
+class NestedFutureOptionSubchain(TastytradeJsonDataclass):
+    """
+    Dataclass that represents a Tastytrade nested future option chain for a
+    specific futures underlying symbol.
+    """
+    underlying_symbol: str
+    root_symbol: str
+    exercise_style: str
+    expirations: list[NestedFutureOptionChainExpiration]
+
+
+class NestedFutureOptionChain(TastytradeJsonDataclass):
+    """
+    Dataclass that represents a Tastytrade nested option chain object. Contains
+    information about the option chain and a method to fetch one for a symbol.
+
+    The nested option chain is a bit neater than calling :meth:`get_future_option_chain`
+    but if you want to create actual :class:`FutureOption` objects you'll need to make an
+    extra API request or two.
+    """
+    futures: list[NestedFutureOptionFuture]
+    option_chains: list[NestedFutureOptionSubchain]
+
+    @classmethod
+    def get_chain(cls, session: Session, symbol: str) -> 'NestedFutureOptionChain':
+        """
+        Gets the futures option chain for the given symbol in nested format.
+
+        :param session: the session to use for the request.
+        :param symbol: the symbol to get the option chain for.
+
+        :return: a :class:`NestedFutureOptionChain` object.
+        """
+        symbol = symbol.replace('/', '')
+        response = requests.get(
+            f'{session.base_url}/futures-option-chains/{symbol}/nested',
+            headers=session.headers
+        )
+        validate_response(response)
+
+        data = response.json()['data']
+
+        return cls(**data)
+
+
 class Warrant(TastytradeJsonDataclass):
     """
     Dataclass that represents a Tastytrade warrant object. Contains
@@ -953,7 +1035,7 @@ def get_future_option_chain(session: Session, symbol: str) -> dict[date, list[Fu
 
     :return: a dict mapping expiration date to a list of :class:`FutureOption` objects.
     """
-    symbol = symbol.replace('/', '%2F')
+    symbol = symbol.replace('/', '')
     response = requests.get(
         f'{session.base_url}/futures-option-chains/{symbol}',
         headers=session.headers