Defines a single option contract at a specific expiration and strike price More...

Inheritance diagram for QuantConnect.Data.Market.OptionContract:

Public Member Functions
	OptionContract (ISecurityPrice security)
	Initializes a new instance of the OptionContract class More...

	OptionContract (OptionUniverse contractData, SymbolProperties symbolProperties)
	Initializes a new option contract from a given OptionUniverse instance More...

override string	ToString ()
	Returns a string that represents the current object. More...

Static Public Member Functions
static OptionContract	Create (BaseData baseData, ISecurityPrice security, BaseData underlying)
	Creates a OptionContract More...

static OptionContract	Create (DateTime endTime, ISecurityPrice security, BaseData underlying)
	Creates a OptionContract More...

static OptionContract	Create (OptionUniverse contractData, SymbolProperties symbolProperties)
	Creates a new option contract from a given OptionUniverse instance, using its data to form a quote bar to source pricing data More...

static implicit	operator Symbol (OptionContract contract)
	Implicit conversion into Symbol More...

Public Attributes
SecurityIdentifier	ID => Symbol.ID
	The security identifier of the option symbol More...

Symbol	UnderlyingSymbol => Symbol.Underlying
	Gets the underlying security's symbol More...

decimal	Strike => Symbol.ID.StrikePrice
	Gets the strike price More...

decimal	ScaledStrike => Strike * _symbolProperties.StrikeMultiplier
	Gets the strike price multiplied by the strike multiplier More...

DateTime	Expiry => Symbol.ID.Date
	Gets the expiration date More...

OptionRight	Right => Symbol.ID.OptionRight
	Gets the right being purchased (call [right to buy] or put [right to sell]) More...

OptionStyle	Style => Symbol.ID.OptionStyle
	Gets the option style More...

decimal	TheoreticalPrice => _optionData.TheoreticalPrice
	Gets the theoretical price of this option contract as computed by the IOptionPriceModel More...

decimal	ImpliedVolatility => _optionData.ImpliedVolatility
	Gets the implied volatility of the option contract as computed by the IOptionPriceModel More...

Greeks	Greeks => _optionData.Greeks
	Gets the greeks for this contract More...

decimal	OpenInterest => _optionData.OpenInterest
	Gets the open interest More...

decimal	LastPrice => _optionData.LastPrice
	Gets the last price this contract traded at More...

long	Volume => _optionData.Volume
	Gets the last volume this contract traded at More...

decimal	BidPrice => _optionData.BidPrice
	Gets the current bid price More...

long	BidSize => _optionData.BidSize
	Get the current bid size More...

decimal	AskPrice => _optionData.AskPrice
	Gets the ask price More...

long	AskSize => _optionData.AskSize
	Gets the current ask size More...

decimal	UnderlyingLastPrice => _optionData.UnderlyingLastPrice
	Gets the last price the underlying security traded at More...

Properties
Symbol	Symbol `[get, set]`
	Gets the option contract's symbol More...

DateTime	Time `[get, set]`
	Gets the local date time this contract's data was last updated More...

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

Properties inherited from QuantConnect.Securities.ISymbol
SecurityIdentifier	ID `[get]`
	Gets the security identifier. More...

Detailed Description

Defines a single option contract at a specific expiration and strike price

Definition at line 28 of file OptionContract.cs.

Constructor & Destructor Documentation

◆ OptionContract() [1/2]

QuantConnect.Data.Market.OptionContract.OptionContract ( ISecurityPrice security )

Initializes a new instance of the OptionContract class

Parameters

security The option contract security

Definition at line 146 of file OptionContract.cs.

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◆ OptionContract() [2/2]

QuantConnect.Data.Market.OptionContract.OptionContract	(	OptionUniverse	contractData,
		SymbolProperties	symbolProperties
	)

Initializes a new option contract from a given OptionUniverse instance

Parameters

contractData	The option universe contract data to use as source for this contract
symbolProperties	The contract symbol properties

Definition at line 157 of file OptionContract.cs.

Member Function Documentation

◆ ToString()

override string QuantConnect.Data.Market.OptionContract.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

◆ Create() [1/3]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	BaseData	baseData,
		ISecurityPrice	security,
		BaseData	underlying
	)

static

Creates a OptionContract

Parameters

baseData
security	Provides price properties for a Security
underlying	Last underlying security trade data

Returns: Option contract

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◆ Create() [2/3]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	DateTime	endTime,
		ISecurityPrice	security,
		BaseData	underlying
	)

static

Creates a OptionContract

Parameters

endTime	local date time this contract's data was last updated
security	provides price properties for a Security
underlying	last underlying security trade data

Returns: Option contract

Definition at line 198 of file OptionContract.cs.

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◆ Create() [3/3]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	OptionUniverse	contractData,
		SymbolProperties	symbolProperties
	)

static

Creates a new option contract from a given OptionUniverse instance, using its data to form a quote bar to source pricing data

Parameters

contractData	The option universe contract data to use as source for this contract
symbolProperties	The contract symbol properties

Definition at line 215 of file OptionContract.cs.

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◆ operator Symbol()

static implicit QuantConnect.Data.Market.OptionContract.operator Symbol ( OptionContract contract )

static

Implicit conversion into Symbol

Parameters

contract The option contract to be converted

Definition at line 229 of file OptionContract.cs.

Member Data Documentation

◆ ID

SecurityIdentifier QuantConnect.Data.Market.OptionContract.ID => Symbol.ID

The security identifier of the option symbol

Definition at line 46 of file OptionContract.cs.

◆ UnderlyingSymbol

Symbol QuantConnect.Data.Market.OptionContract.UnderlyingSymbol => Symbol.Underlying

Gets the underlying security's symbol

Definition at line 51 of file OptionContract.cs.

◆ Strike

decimal QuantConnect.Data.Market.OptionContract.Strike => Symbol.ID.StrikePrice

Gets the strike price

Definition at line 56 of file OptionContract.cs.

◆ ScaledStrike

decimal QuantConnect.Data.Market.OptionContract.ScaledStrike => Strike * _symbolProperties.StrikeMultiplier

Gets the strike price multiplied by the strike multiplier

Definition at line 61 of file OptionContract.cs.

◆ Expiry

DateTime QuantConnect.Data.Market.OptionContract.Expiry => Symbol.ID.Date

Gets the expiration date

Definition at line 66 of file OptionContract.cs.

◆ Right

OptionRight QuantConnect.Data.Market.OptionContract.Right => Symbol.ID.OptionRight

Gets the right being purchased (call [right to buy] or put [right to sell])

Definition at line 71 of file OptionContract.cs.

◆ Style

OptionStyle QuantConnect.Data.Market.OptionContract.Style => Symbol.ID.OptionStyle

Gets the option style

Definition at line 76 of file OptionContract.cs.

◆ TheoreticalPrice

decimal QuantConnect.Data.Market.OptionContract.TheoreticalPrice => _optionData.TheoreticalPrice

Gets the theoretical price of this option contract as computed by the IOptionPriceModel

Definition at line 81 of file OptionContract.cs.

◆ ImpliedVolatility

decimal QuantConnect.Data.Market.OptionContract.ImpliedVolatility => _optionData.ImpliedVolatility

Gets the implied volatility of the option contract as computed by the IOptionPriceModel

Definition at line 86 of file OptionContract.cs.

◆ Greeks

Greeks QuantConnect.Data.Market.OptionContract.Greeks => _optionData.Greeks

Gets the greeks for this contract

Definition at line 91 of file OptionContract.cs.

◆ OpenInterest

decimal QuantConnect.Data.Market.OptionContract.OpenInterest => _optionData.OpenInterest

Gets the open interest

Definition at line 105 of file OptionContract.cs.

◆ LastPrice

decimal QuantConnect.Data.Market.OptionContract.LastPrice => _optionData.LastPrice

Gets the last price this contract traded at

Definition at line 110 of file OptionContract.cs.

◆ Volume

long QuantConnect.Data.Market.OptionContract.Volume => _optionData.Volume

Gets the last volume this contract traded at

Definition at line 115 of file OptionContract.cs.

◆ BidPrice

decimal QuantConnect.Data.Market.OptionContract.BidPrice => _optionData.BidPrice

Gets the current bid price

Definition at line 120 of file OptionContract.cs.

◆ BidSize

long QuantConnect.Data.Market.OptionContract.BidSize => _optionData.BidSize

Get the current bid size

Definition at line 125 of file OptionContract.cs.

◆ AskPrice

decimal QuantConnect.Data.Market.OptionContract.AskPrice => _optionData.AskPrice

Gets the ask price

Definition at line 130 of file OptionContract.cs.

◆ AskSize

long QuantConnect.Data.Market.OptionContract.AskSize => _optionData.AskSize

Gets the current ask size

Definition at line 135 of file OptionContract.cs.

◆ UnderlyingLastPrice

decimal QuantConnect.Data.Market.OptionContract.UnderlyingLastPrice => _optionData.UnderlyingLastPrice

Gets the last price the underlying security traded at

Definition at line 140 of file OptionContract.cs.

Property Documentation

◆ Symbol

Symbol QuantConnect.Data.Market.OptionContract.Symbol

getset

Gets the option contract's symbol

Definition at line 38 of file OptionContract.cs.

◆ Time

DateTime QuantConnect.Data.Market.OptionContract.Time

getset

Gets the local date time this contract's data was last updated

Definition at line 98 of file OptionContract.cs.

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

Common/Data/Market/OptionContract.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ OptionContract() [1/2]

◆ OptionContract() [2/2]

Member Function Documentation

◆ ToString()

◆ Create() [1/3]

◆ Create() [2/3]

◆ Create() [3/3]

◆ operator Symbol()

Member Data Documentation

◆ ID

◆ UnderlyingSymbol

◆ Strike

◆ ScaledStrike

◆ Expiry

◆ Right

◆ Style

◆ TheoreticalPrice

◆ ImpliedVolatility

◆ Greeks

◆ OpenInterest

◆ LastPrice

◆ Volume

◆ BidPrice

◆ BidSize

◆ AskPrice

◆ AskSize

◆ UnderlyingLastPrice

Property Documentation

◆ Symbol

◆ Time