Minimal example of requesting equity options on Databento with OCC symbology

opra_occ.py

import databento as db

client = db.Historical("YOUR_API_KEY")

# Requesting a specific strike
data = client.timeseries.get_range(
   dataset="OPRA.PILLAR",
   schema="cmbp-1",
   stype_in="raw_symbol",
   symbols=["SPY   241115P00525000"],
   start="2024-08-09T09:30-04:00",
   end="2024-08-09T10:00-04:00",
)
df = data.to_df()
print(df[["symbol", "bid_px_00", "ask_px_00"]].head())

# Working with individual raw symbols can be tedious. Many users find it easier to specify the 
# underlying's symbol and fetch all option symbols for that underlying in an option chain at once.
# This can be done using our parent symbology by passing in stype_in="parent" to your request.
data = client.timeseries.get_range(
    dataset="OPRA.PILLAR",
    schema="trades",
    stype_in="parent",
    symbols=["AAPL.OPT"],
    start="2024-08-09T09:30-04:00",
    end="2024-08-09T10:00-04:00",
)
df = data.to_df()
print(df[["symbol", "price"]])

output.log

                                                    symbol  bid_px_00  ask_px_00
ts_recv
2024-08-09 13:30:00.025137089+00:00  SPY   241115P00525000      16.33      16.53
2024-08-09 13:30:00.167110712+00:00  SPY   241115P00525000      16.33      16.52
2024-08-09 13:30:00.182316856+00:00  SPY   241115P00525000      16.34      16.51
2024-08-09 13:30:00.238455572+00:00  SPY   241115P00525000      16.34      16.50
2024-08-09 13:30:00.340439305+00:00  SPY   241115P00525000      16.34      16.51

output_parent.log

                                                    symbol  price
ts_recv
2024-08-09 13:30:00.008689345+00:00  AAPL  240809C00217500   0.06
2024-08-09 13:30:00.021880156+00:00  AAPL  240816C00230000   0.10
2024-08-09 13:30:00.032886565+00:00  AAPL  240920P00175000   0.77
2024-08-09 13:30:00.036991612+00:00  AAPL  240809P00202500   0.08
2024-08-09 13:30:00.109699333+00:00  AAPL  240816C00215000   2.23
...                                                    ...    ...
2024-08-09 13:59:58.801315993+00:00  AAPL  240816C00207500   6.80
2024-08-09 13:59:58.962219427+00:00  AAPL  240809C00212500   1.24
2024-08-09 13:59:59.036621416+00:00  AAPL  240816C00240000   0.02
2024-08-09 13:59:59.124512360+00:00  AAPL  240809C00212500   1.24
2024-08-09 13:59:59.858997181+00:00  AAPL  240809C00220000   0.02