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Option Chain Data

Subscribes to real-time option chain data. While received through on_market_data, can be filtered using the option subscription.

Usage

from nubra_python_sdk.ticker import websocketdata
from nubra_python_sdk.start_sdk import InitNubraSdk, NubraEnv


# Initialize the Nubra SDK client
nubra = InitNubraSdk(NubraEnv.UAT)

##using totp login and .env file 
#nubra = InitNubraSdk(NubraEnv.UAT, totp_login= True ,env_creds = True)

# Define callback functions

def on_option_data(msg):
    print(f"[OPTION] {msg}")

def on_connect(msg):
    print("[status]", msg)

def on_close(reason):
    print(f"Closed: {reason}")

def on_error(err):
    print(f"Error: {err}")

# Initialize WebSocket
socket = websocketdata.NubraDataSocket(
    client=nubra,
    on_option_data=on_option_data,
    on_connect=on_connect,
    on_close=on_close,
    on_error=on_error
    )

socket.connect()
#Subscribe to different data types
socket.subscribe(["RELIANCE:20250626"], data_type="option", exchange ="NSE")

#Infinite loop on the main thread. Nothing after this will run.
#You have to use the pre-defined callbacks to manage subscriptions.
socket.keep_running()
Attribute Data Type Description
symbols List[str] List of option symbols with expiry (e.g., ['RELIANCE:20250626'])
data_type str "option"
exchange Optional[str] eg., "NSE" , "BSE" ;if excahnge is not passed default is "NSE"

Response: 

# Response object structure
class OptionChainWrapper:
    asset: str                    # Asset name (e.g., "RELIANCE")
    expiry: str                   # Expiry date in YYYYMMDD format
    at_the_money_strike: int      # At-the-money strike price
    current_price: int          # Current price of the underlying
    exchange: str               # eg. NSE, BSE

    # Call Options (CE)
    ce: List[OptionData]          # List of Call Option objects

    # Put Options (PE)
    pe: List[OptionData]          # List of Put Option objects

class OptionData:
    ref_id: int                                   # Reference ID               
    timestamp: int                                # Timestamp in Epoch
    strike_price: int                             # Strike price
    lot_size: int                                 # Lot size
    last_traded_price: Optional[int]            # Last traded price
    last_traded_price_change: Optional[float]     # Last traded price change
    iv: Optional[float]                           # Implied volatility
    delta: Optional[float]                        # Delta value
    gamma: Optional[float]                        # Gamma value
    theta: Optional[float]                        # Theta value
    vega: Optional[float]                         # Vega value
    volume: Optional[int]                         # Volume
    open_interest: Optional[int]                  # Open interest
    previous_open_interest: Optional[int]         # Open interest change

Error Handling

The WebSocket connection includes built-in error handling through the on_error callback. Common errors include: - Connection failures - Authentication errors - Subscription errors - Data parsing errors

Best Practices

  1. Always run WebSocket connections in a separate thread to prevent blocking the main application
  2. Implement proper error handling using the provided callbacks
  3. Use the keep_running() method to maintain the connection
  4. Close the connection properly when done using the close() method
  5. Monitor connection status using the on_connect and on_close callbacks
  6. Use the on_market_data callback as the primary data receiver, while using specific subscriptions to filter data types
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