NSE Option chain parsing in C#

 This is a very basic tutorial on displaying how to parse nse option chain in C# using html agility  utility.

If you guys are not aware about nse option chain. It is a table structure displaying details about call and put on NSE Index or any NSE FNO stock.

Its most important component is OI and IV for particualr Option. along with Option Price.
it helps you in identifying your trade stratagy either you have a mean reverting stratagy or a trend folow stratagy. It will help you in identifying it and also help you in predicting stoploss levels.

Through option chain two most calculations people derive is PCR ratio and Max Pain.

PCR Ratio is a ratio of call to put postitions in the market.
Max Pain is the strike price at which sellers or call and put will have the most impact.



So now going to Parsing it with Html Agility pack and displaying it on a Data grid.

  HttpClientHandler handler = new HttpClientHandler();
            handler.AutomaticDecompression = System.Net.DecompressionMethods.GZip | DecompressionMethods.Deflate;

            System.Net.Http.HttpClient client = new System.Net.Http.HttpClient(handler);

            System.Net.Http.HttpRequestMessage requestMessage = new System.Net.Http.HttpRequestMessage();
            requestMessage.RequestUri = new Uri(url);

            requestMessage.Headers.TryAddWithoutValidation("Accept-Encoding", "gzip, deflate, br");

 var responseMessage = client.SendAsync(requestMessage).Result;

                if (responseMessage.IsSuccessStatusCode)
                {
                    var responsetext = responseMessage.Content.ReadAsStringAsync().Result;
                    HtmlAgilityPack.HtmlDocument document = new HtmlAgilityPack.HtmlDocument();
                    document.LoadHtml(responsetext);
                    List<OptionChain> optionChains = new List<OptionChain>();
                    string message = "";

                    HtmlNodeCollection rows = document.DocumentNode.SelectNodes("//table[@id='octable']/tr");

                    for (int i = 0; i < rows.Count - 1; i++)
                    {
                        HtmlNodeCollection columns = rows[i].SelectNodes("td");

                        //for (int j = i; j < columns.Count - 1; j++)
                        {
                            OptionChain chain = new OptionChain();
                            double value = 0;
                            Double.TryParse(columns[1].InnerText, out value);
                            chain.Call_OI = value;
                            value = 0;
                            Double.TryParse(columns[2].InnerText, out value);
                            chain.CallChginOI = value;
                            value = 0;
                            Double.TryParse(columns[3].InnerText, out value);
                            chain.CallVolume = value;
                            value = 0;
                            Double.TryParse(columns[4].InnerText, out value);
                            chain.CallIV = value;
                            value = 0;
                            Double.TryParse(columns[5].InnerText, out value);
                            chain.CallLTP = value;
                            value = 0;
                            Double.TryParse(columns[6].InnerText, out value);
                            chain.CallNetChg = value;
                            value = 0;
                            Double.TryParse(columns[7].InnerText, out value);
                            chain.CallBidQty = value;
                            value = 0;
                            Double.TryParse(columns[8].InnerText, out value);
                            chain.CallBidPrice = value;
                            value = 0;
                            Double.TryParse(columns[9].InnerText, out value);
                            chain.CallAskPrice = value;
                            value = 0;
                            Double.TryParse(columns[10].InnerText, out value);
                            chain.CallAskQty = value;
                            value = 0;
                            Double.TryParse(columns[11].InnerText, out value);
                            chain.StrikePrice = value;
                            value = 0;
                            Double.TryParse(columns[12].InnerText, out value);
                            chain.PutBidQty = value;
                            value = 0;
                            Double.TryParse(columns[13].InnerText, out value);
                            chain.PutBidPrice = value;
                            value = 0;
                            Double.TryParse(columns[14].InnerText, out value);
                            chain.PutAskQty = value;
                            value = 0;
                            Double.TryParse(columns[15].InnerText, out value);
                            chain.PutAskPrice = value;
                            value = 0;
                            Double.TryParse(columns[16].InnerText, out value);
                            chain.PutNetChg = value;
                            value = 0;
                            Double.TryParse(columns[17].InnerText, out value);
                            chain.PutLTP = value;
                            value = 0;
                            Double.TryParse(columns[18].InnerText, out value);
                            chain.PutIV = value;
                            value = 0;
                            Double.TryParse(columns[19].InnerText, out value);
                            chain.PutVolume = value;
                            value = 0;
                            Double.TryParse(columns[20].InnerText, out value);
                            chain.PutChginOI = value;
                            value = 0;
                            Double.TryParse(columns[21].InnerText, out value);
                            chain.Put_OI = value;
                            value = 0;
                            optionChains.Add(chain);
                        }
                    }
                    return optionChains;
                }

So you can see once we have html document received from HttpClient, We converted the response into an htmlagility Htmldocument .

         HtmlAgilityPack.HtmlDocument document = new HtmlAgilityPack.HtmlDocument();
         document.LoadHtml(responsetext);

then we just searched for the table object in the document which stores this Option chain data.

         HtmlNodeCollection rows = document.DocumentNode.SelectNodes("//table[@id='octable']/tr");

After this we just iterated over the rows of the table and stored the details in a list object.


Once this data was available with us we done processing to find out PCR & MaxPain for this chain.
and displayed on the form.