Represents an entire chain of option contracts for a single underying security. This type is IEnumerable<OptionContract> More...

Inheritance diagram for QuantConnect.Data.Market.OptionChain:

[legend]

Public Member Functions
	OptionChain (Symbol canonicalOptionSymbol, DateTime time, bool flatten=true)
	Initializes a new instance of the OptionChain class More...

	OptionChain (Symbol canonicalOptionSymbol, DateTime time, BaseData underlying, IEnumerable< BaseData > trades, IEnumerable< BaseData > quotes, IEnumerable< OptionContract > contracts, IEnumerable< Symbol > filteredContracts, bool flatten=true)
	Initializes a new instance of the OptionChain class More...

	OptionChain (Symbol canonicalOptionSymbol, DateTime time, IEnumerable< OptionUniverse > contracts, SymbolProperties symbolProperties, bool flatten=true)
	Initializes a new option chain for a list of contracts as OptionUniverse instances More...

T	GetAux< T > (Symbol symbol)
	Gets the auxiliary data with the specified type and symbol More...

DataDictionary< T >	GetAux< T > ()
	Gets all auxiliary data of the specified type as a dictionary keyed by symbol More...

Dictionary< Symbol, List< BaseData > >	GetAuxList< T > ()
	Gets all auxiliary data of the specified type as a dictionary keyed by symbol More...

List< T >	GetAuxList< T > (Symbol symbol)
	Gets a list of auxiliary data with the specified type and symbol More...

IEnumerator< OptionContract >	GetEnumerator ()
	Returns an enumerator that iterates through the collection. More...

override BaseData	Clone ()
	Return a new instance clone of this object, used in fill forward More...

Public Member Functions inherited from QuantConnect.Data.BaseData
	BaseData ()
	Constructor for initialising the dase data class More...

virtual BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...

virtual BaseData	Reader (SubscriptionDataConfig config, StreamReader stream, DateTime date, bool isLiveMode)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. More...

virtual SubscriptionDataSource	GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
	Return the URL string source of the file. This will be converted to a stream More...

virtual bool	RequiresMapping ()
	Indicates if there is support for mapping More...

virtual bool	IsSparseData ()
	Indicates that the data set is expected to be sparse More...

virtual bool	ShouldCacheToSecurity ()
	Indicates whether this contains data that should be stored in the security cache More...

virtual Resolution	DefaultResolution ()
	Gets the default resolution for this data and security type More...

virtual List< Resolution >	SupportedResolutions ()
	Gets the supported resolution for this data and security type More...

virtual DateTimeZone	DataTimeZone ()
	Specifies the data time zone for this data type. This is useful for custom data types More...

void	UpdateTrade (decimal lastTrade, decimal tradeSize)
	Updates this base data with a new trade More...

void	UpdateQuote (decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
	Updates this base data with new quote information More...

void	UpdateBid (decimal bidPrice, decimal bidSize)
	Updates this base data with the new quote bid information More...

void	UpdateAsk (decimal askPrice, decimal askSize)
	Updates this base data with the new quote ask information More...

virtual void	Update (decimal lastTrade, decimal bidPrice, decimal askPrice, decimal volume, decimal bidSize, decimal askSize)
	Update routine to build a bar/tick from a data update. More...

virtual BaseData	Clone (bool fillForward)
	Return a new instance clone of this object, used in fill forward More...

override string	ToString ()
	Formats a string with the symbol and value. More...

virtual BaseData	Reader (SubscriptionDataConfig config, string line, DateTime date, DataFeedEndpoint dataFeed)
	Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object each time it is called. More...

virtual string	GetSource (SubscriptionDataConfig config, DateTime date, DataFeedEndpoint datafeed)
	Return the URL string source of the file. This will be converted to a stream More...

Public Attributes
PyObject	DataFrame => _dataframe.Value
	The data frame representation of the option chain More...

Public Attributes inherited from QuantConnect.Data.BaseData
virtual decimal	Price => Value
	As this is a backtesting platform we'll provide an alias of value as price. More...

Properties
BaseData	Underlying `[get, set]`
	Gets the most recent trade information for the underlying. This may be a Tick or a TradeBar More...

Ticks	Ticks `[get]`
	Gets all ticks for every option contract in this chain, keyed by option symbol More...

TradeBars	TradeBars `[get]`
	Gets all trade bars for every option contract in this chain, keyed by option symbol More...

QuoteBars	QuoteBars `[get]`
	Gets all quote bars for every option contract in this chain, keyed by option symbol More...

OptionContracts	Contracts `[get]`
	Gets all contracts in the chain, keyed by option symbol More...

HashSet< Symbol >	FilteredContracts `[get]`
	Gets the set of symbols that passed the Option.ContractFilter More...

Properties inherited from QuantConnect.Data.BaseData
MarketDataType	DataType = MarketDataType.Base `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

bool	IsFillForward `[get]`
	True if this is a fill forward piece of data More...

DateTime	Time `[get, set]`
	Current time marker of this data packet. More...

virtual DateTime	EndTime `[get, set]`
	The end time of this data. Some data covers spans (trade bars) and as such we want to know the entire time span covered More...

Symbol	Symbol = Symbol.Empty `[get, set]`
	Symbol representation for underlying Security More...

virtual decimal	Value `[get, set]`
	Value representation of this data packet. All data requires a representative value for this moment in time. For streams of data this is the price now, for OHLC packets this is the closing price. More...

Properties inherited from QuantConnect.Data.IBaseData
MarketDataType	DataType `[get, set]`
	Market Data Type of this data - does it come in individual price packets or is it grouped into OHLC. More...

DateTime	Time `[get, set]`
	Time keeper of data – all data is timeseries based. More...

DateTime	EndTime `[get, set]`
	End time of data More...

decimal	Value `[get, set]`
	All timeseries data is a time-value pair: More...

decimal	Price `[get]`
	Alias of Value. More...

Properties inherited from QuantConnect.Data.ISymbolProvider
Symbol	Symbol `[get, set]`
	Gets the Symbol More...

Additional Inherited Members
Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseData >	DeserializeMessage (string serialized)
	Deserialize the message from the data server More...

Static Protected Attributes inherited from QuantConnect.Data.BaseData
static readonly List< Resolution >	AllResolutions
	A list of all Resolution More...

static readonly List< Resolution >	DailyResolution = new List<Resolution> { Resolution.Daily }
	A list of Resolution.Daily More...

static readonly List< Resolution >	MinuteResolution = new List<Resolution> { Resolution.Minute }
	A list of Resolution.Minute More...

static readonly List< Resolution >	HighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
	A list of high Resolution, including minute, second, and tick. More...

static readonly List< Resolution >	OptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
	A list of resolutions support by Options More...

Detailed Description

Represents an entire chain of option contracts for a single underying security. This type is IEnumerable<OptionContract>

Definition at line 33 of file OptionChain.cs.

Constructor & Destructor Documentation

◆ OptionChain() [1/3]

QuantConnect.Data.Market.OptionChain.OptionChain	(	Symbol	canonicalOptionSymbol,
		DateTime	time,
		bool	flatten = `true`
	)

Initializes a new instance of the OptionChain class

Parameters

canonicalOptionSymbol	The symbol for this chain.
time	The time of this chain
flatten	Whether to flatten the data frame

Definition at line 124 of file OptionChain.cs.

◆ OptionChain() [2/3]

QuantConnect.Data.Market.OptionChain.OptionChain	(	Symbol	canonicalOptionSymbol,
		DateTime	time,
		BaseData	underlying,
		IEnumerable< BaseData >	trades,
		IEnumerable< BaseData >	quotes,
		IEnumerable< OptionContract >	contracts,
		IEnumerable< Symbol >	filteredContracts,
		bool	flatten = `true`
	)

Initializes a new instance of the OptionChain class

Parameters

canonicalOptionSymbol	The symbol for this chain.
time	The time of this chain
underlying	The most recent underlying trade data
trades	All trade data for the entire option chain
quotes	All quote data for the entire option chain
contracts	All contracts for this option chain
filteredContracts	The filtered list of contracts for this option chain
flatten	Whether to flatten the data frame

Definition at line 149 of file OptionChain.cs.

◆ OptionChain() [3/3]

QuantConnect.Data.Market.OptionChain.OptionChain	(	Symbol	canonicalOptionSymbol,
		DateTime	time,
		IEnumerable< OptionUniverse >	contracts,
		SymbolProperties	symbolProperties,
		bool	flatten = `true`
	)

Initializes a new option chain for a list of contracts as OptionUniverse instances

Parameters

canonicalOptionSymbol	The canonical option symbol
time	The time of this chain
contracts	The list of contracts data
symbolProperties	The option symbol properties
flatten	Whether to flatten the data frame

Definition at line 220 of file OptionChain.cs.

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Member Function Documentation

◆ GetAux< T >() [1/2]

T QuantConnect.Data.Market.OptionChain.GetAux< T > ( Symbol symbol )

Gets the auxiliary data with the specified type and symbol

Template Parameters

T	The type of auxiliary data

Parameters

symbol The symbol of the auxiliary data

Returns: The last auxiliary data with the specified type and symbol

Definition at line 246 of file OptionChain.cs.

◆ GetAux< T >() [2/2]

DataDictionary<T> QuantConnect.Data.Market.OptionChain.GetAux< T > ( )

Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Template Parameters

T	The type of auxiliary data

Returns: A dictionary containing all auxiliary data of the specified type

Definition at line 262 of file OptionChain.cs.

◆ GetAuxList< T >() [1/2]

Dictionary<Symbol, List<BaseData> > QuantConnect.Data.Market.OptionChain.GetAuxList< T > ( )

Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Template Parameters

T	The type of auxiliary data

Returns: A dictionary containing all auxiliary data of the specified type

Definition at line 286 of file OptionChain.cs.

◆ GetAuxList< T >() [2/2]

List<T> QuantConnect.Data.Market.OptionChain.GetAuxList< T > ( Symbol symbol )

Gets a list of auxiliary data with the specified type and symbol

Template Parameters

T	The type of auxiliary data

Parameters

symbol The symbol of the auxiliary data

Returns: The list of auxiliary data with the specified type and symbol

Definition at line 302 of file OptionChain.cs.

◆ GetEnumerator()

IEnumerator<OptionContract> QuantConnect.Data.Market.OptionChain.GetEnumerator ( )

Returns an enumerator that iterates through the collection.

Returns: An enumerator that can be used to iterate through the collection.

Definition at line 319 of file OptionChain.cs.

◆ Clone()

override BaseData QuantConnect.Data.Market.OptionChain.Clone ( )

virtual

Return a new instance clone of this object, used in fill forward

Returns: A clone of the current object

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 339 of file OptionChain.cs.

Member Data Documentation

◆ DataFrame

PyObject QuantConnect.Data.Market.OptionChain.DataFrame => _dataframe.Value

The data frame representation of the option chain

Definition at line 97 of file OptionChain.cs.

Property Documentation

◆ Underlying

BaseData QuantConnect.Data.Market.OptionChain.Underlying

getset

Gets the most recent trade information for the underlying. This may be a Tick or a TradeBar

Definition at line 45 of file OptionChain.cs.

◆ Ticks

Ticks QuantConnect.Data.Market.OptionChain.Ticks

get

Gets all ticks for every option contract in this chain, keyed by option symbol

Definition at line 54 of file OptionChain.cs.

◆ TradeBars

TradeBars QuantConnect.Data.Market.OptionChain.TradeBars

get

Gets all trade bars for every option contract in this chain, keyed by option symbol

Definition at line 63 of file OptionChain.cs.

◆ QuoteBars

QuoteBars QuantConnect.Data.Market.OptionChain.QuoteBars

get

Gets all quote bars for every option contract in this chain, keyed by option symbol

Definition at line 72 of file OptionChain.cs.

◆ Contracts

OptionContracts QuantConnect.Data.Market.OptionChain.Contracts

get

Gets all contracts in the chain, keyed by option symbol

Definition at line 80 of file OptionChain.cs.

◆ FilteredContracts

HashSet<Symbol> QuantConnect.Data.Market.OptionChain.FilteredContracts

get

Gets the set of symbols that passed the Option.ContractFilter

Definition at line 89 of file OptionChain.cs.

The documentation for this class was generated from the following file:

Common/Data/Market/OptionChain.cs

Public Member Functions

Public Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionChain() [1/3]

◆ OptionChain() [2/3]

◆ OptionChain() [3/3]

Member Function Documentation

◆ GetAux< T >() [1/2]

◆ GetAux< T >() [2/2]

◆ GetAuxList< T >() [1/2]

◆ GetAuxList< T >() [2/2]

◆ GetEnumerator()

◆ Clone()

Member Data Documentation

◆ DataFrame

Property Documentation

◆ Underlying

◆ Ticks

◆ TradeBars

◆ QuoteBars

◆ Contracts

◆ FilteredContracts