Lean  $LEAN_TAG$
QuantConnect.Data.UniverseSelection.OptionUniverse Class Reference

Represents a universe of options data More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.OptionUniverse:
[legend]

Public Member Functions

 OptionUniverse ()
 Creates a new instance of the OptionUniverse class More...
 
 OptionUniverse (DateTime date, Symbol symbol, string csv)
 Creates a new instance of the OptionUniverse class More...
 
 OptionUniverse (OptionUniverse other)
 Creates a new instance of the OptionUniverse class as a copy of the given instance More...
 
override SubscriptionDataSource GetSource (SubscriptionDataConfig config, DateTime date, bool isLiveMode)
 Return the URL string source of the file. This will be converted to a stream More...
 
override 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. More...
 
override void Add (BaseData newDataPoint)
 Adds a new data point to this collection. If the data point is for the underlying, it will be stored in the BaseDataCollection.Underlying property. More...
 
override BaseData Clone ()
 Creates a copy of the instance More...
 
override Resolution DefaultResolution ()
 Gets the default resolution for this data and security type More...
 
Symbol ToSymbol ()
 Gets the symbol of the option More...
 
- Public Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
 BaseDataCollection ()
 Initializes a new default instance of the BaseDataCollection c;ass More...
 
 BaseDataCollection (DateTime time, Symbol symbol, IEnumerable< BaseData > data=null)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, IEnumerable< BaseData > data=null, BaseData underlying=null, HashSet< Symbol > filteredContracts=null)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, List< BaseData > data, BaseData underlying, HashSet< Symbol > filteredContracts)
 Initializes a new instance of the BaseDataCollection class More...
 
 BaseDataCollection (BaseDataCollection other)
 Copy constructor for BaseDataCollection More...
 
virtual Symbol UniverseSymbol (string market=null)
 Creates the universe symbol for the target market More...
 
override bool ShouldCacheToSecurity ()
 Indicates whether this contains data that should be stored in the security cache More...
 
virtual void AddRange (IEnumerable< BaseData > newDataPoints)
 Adds a new data points to this collection More...
 
IEnumerator< BaseDataGetEnumerator ()
 Returns an IEnumerator for this enumerable Object. The enumerator provides a simple way to access all the contents of a collection. 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 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 List< ResolutionSupportedResolutions ()
 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...
 

Static Public Member Functions

static string ToCsv (Symbol symbol, decimal open, decimal high, decimal low, decimal close, decimal volume, decimal? openInterest, decimal? impliedVolatility, Greeks greeks)
 Gets the CSV string representation of this universe entry More...
 
static implicit operator Symbol (OptionUniverse data)
 Implicit conversion into Symbol More...
 
- Static Public Member Functions inherited from QuantConnect.Data.BaseData
static IEnumerable< BaseDataDeserializeMessage (string serialized)
 Deserialize the message from the data server More...
 

Public Attributes

SecurityIdentifier ID => Symbol.ID
 The security identifier of the option symbol More...
 
override decimal Value => Close
 Price of the option/underlying 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...
 

Static Public Attributes

static string CsvHeader => "symbol_id,symbol_value,open,high,low,close,volume,open_interest,implied_volatility,delta,gamma,vega,theta,rho"
 Gets the CSV header string for this universe entry More...
 

Properties

decimal Open [get]
 Open price of the option/underlying More...
 
decimal High [get]
 High price of the option/underlying More...
 
decimal Low [get]
 Low price of the option/underlying More...
 
decimal Close [get]
 Close price of the option/underlying More...
 
decimal Volume [get]
 Volume of the option/underlying More...
 
decimal OpenInterest [get]
 Open interest value of the option More...
 
decimal ImpliedVolatility [get]
 Implied volatility value of the option More...
 
Greeks Greeks [get]
 Greeks values of the option More...
 
override DateTime EndTime [get, set]
 Time that the data became available to use More...
 
- Properties inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
BaseData Underlying [get, set]
 The associated underlying price data if any More...
 
HashSet< SymbolFilteredContracts [get, set]
 Gets or sets the contracts selected by the universe More...
 
List< BaseDataData [get, set]
 Gets the data list More...
 
override DateTime EndTime [get, set]
 Gets or sets the end time of this data 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...
 
- Properties inherited from QuantConnect.Securities.ISymbol
SecurityIdentifier ID [get]
 Gets the security identifier. More...
 

Additional Inherited Members

- Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
 BaseDataCollection (DateTime time, DateTime endTime, Symbol symbol, BaseData underlying, HashSet< Symbol > filteredContracts)
 Helper method to create an instance without setting the data list More...
 
- Static Protected Member Functions inherited from QuantConnect.Data.UniverseSelection.BaseDataCollection
static bool TryGetCachedSymbol (string ticker, out Symbol symbol)
 Tries to get a symbol from the cache More...
 
static void CacheSymbol (string ticker, Symbol symbol)
 Caches a symbol More...
 
- Static Protected Attributes inherited from QuantConnect.Data.BaseData
static readonly List< ResolutionAllResolutions
 A list of all Resolution More...
 
static readonly List< ResolutionDailyResolution = new List<Resolution> { Resolution.Daily }
 A list of Resolution.Daily More...
 
static readonly List< ResolutionMinuteResolution = new List<Resolution> { Resolution.Minute }
 A list of Resolution.Minute More...
 
static readonly List< ResolutionHighResolution = new List<Resolution> { Resolution.Minute, Resolution.Second, Resolution.Tick }
 A list of high Resolution, including minute, second, and tick. More...
 
static readonly List< ResolutionOptionResolutions = new List<Resolution> { Resolution.Daily, Resolution.Hour, Resolution.Minute }
 A list of resolutions support by Options More...
 

Detailed Description

Represents a universe of options data

Definition at line 29 of file OptionUniverse.cs.

Constructor & Destructor Documentation

◆ OptionUniverse() [1/3]

QuantConnect.Data.UniverseSelection.OptionUniverse.OptionUniverse ( )

Creates a new instance of the OptionUniverse class

Definition at line 152 of file OptionUniverse.cs.

Here is the caller graph for this function:

◆ OptionUniverse() [2/3]

QuantConnect.Data.UniverseSelection.OptionUniverse.OptionUniverse ( DateTime  date,
Symbol  symbol,
string  csv 
)

Creates a new instance of the OptionUniverse class

Definition at line 159 of file OptionUniverse.cs.

◆ OptionUniverse() [3/3]

QuantConnect.Data.UniverseSelection.OptionUniverse.OptionUniverse ( OptionUniverse  other)

Creates a new instance of the OptionUniverse class as a copy of the given instance

Definition at line 168 of file OptionUniverse.cs.

Member Function Documentation

◆ GetSource()

override SubscriptionDataSource QuantConnect.Data.UniverseSelection.OptionUniverse.GetSource ( SubscriptionDataConfig  config,
DateTime  date,
bool  isLiveMode 
)
virtual

Return the URL string source of the file. This will be converted to a stream

Parameters
configConfiguration object
dateDate of this source file
isLiveModetrue if we're in live mode, false for backtesting mode
Returns
String URL of source file.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 181 of file OptionUniverse.cs.

Here is the call graph for this function:

◆ Reader()

override BaseData QuantConnect.Data.UniverseSelection.OptionUniverse.Reader ( SubscriptionDataConfig  config,
StreamReader  stream,
DateTime  date,
bool  isLiveMode 
)
virtual

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.

Parameters
configSubscription data config setup object
streamStream reader of the source document
dateDate of the requested data
isLiveModetrue if we're in live mode, false for backtesting mode
Returns
Instance of the T:BaseData object generated by this line of the CSV

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 198 of file OptionUniverse.cs.

Here is the call graph for this function:

◆ Add()

override void QuantConnect.Data.UniverseSelection.OptionUniverse.Add ( BaseData  newDataPoint)
virtual

Adds a new data point to this collection. If the data point is for the underlying, it will be stored in the BaseDataCollection.Underlying property.

Parameters
newDataPointThe new data point to add

Reimplemented from QuantConnect.Data.UniverseSelection.BaseDataCollection.

Definition at line 253 of file OptionUniverse.cs.

◆ Clone()

override BaseData QuantConnect.Data.UniverseSelection.OptionUniverse.Clone ( )
virtual

Creates a copy of the instance

Returns
Clone of the instance

Reimplemented from QuantConnect.Data.UniverseSelection.BaseDataCollection.

Definition at line 277 of file OptionUniverse.cs.

Here is the call graph for this function:

◆ DefaultResolution()

override Resolution QuantConnect.Data.UniverseSelection.OptionUniverse.DefaultResolution ( )
virtual

Gets the default resolution for this data and security type

This is a method and not a property so that python custom data types can override it

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 287 of file OptionUniverse.cs.

◆ ToCsv()

static string QuantConnect.Data.UniverseSelection.OptionUniverse.ToCsv ( Symbol  symbol,
decimal  open,
decimal  high,
decimal  low,
decimal  close,
decimal  volume,
decimal?  openInterest,
decimal?  impliedVolatility,
Greeks  greeks 
)
static

Gets the CSV string representation of this universe entry

Definition at line 295 of file OptionUniverse.cs.

◆ operator Symbol()

static implicit QuantConnect.Data.UniverseSelection.OptionUniverse.operator Symbol ( OptionUniverse  data)
static

Implicit conversion into Symbol

Parameters
dataThe option universe data to be converted

Definition at line 306 of file OptionUniverse.cs.

◆ ToSymbol()

Symbol QuantConnect.Data.UniverseSelection.OptionUniverse.ToSymbol ( )

Gets the symbol of the option

Definition at line 314 of file OptionUniverse.cs.

Member Data Documentation

◆ ID

SecurityIdentifier QuantConnect.Data.UniverseSelection.OptionUniverse.ID => Symbol.ID

The security identifier of the option symbol

Definition at line 40 of file OptionUniverse.cs.

◆ Value

override decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Value => Close

Price of the option/underlying

Definition at line 46 of file OptionUniverse.cs.

◆ CsvHeader

string QuantConnect.Data.UniverseSelection.OptionUniverse.CsvHeader => "symbol_id,symbol_value,open,high,low,close,volume,open_interest,implied_volatility,delta,gamma,vega,theta,rho"
static

Gets the CSV header string for this universe entry

Definition at line 322 of file OptionUniverse.cs.

Property Documentation

◆ Open

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Open
get

Open price of the option/underlying

Definition at line 52 of file OptionUniverse.cs.

◆ High

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.High
get

High price of the option/underlying

Definition at line 64 of file OptionUniverse.cs.

◆ Low

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Low
get

Low price of the option/underlying

Definition at line 75 of file OptionUniverse.cs.

◆ Close

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Close
get

Close price of the option/underlying

Definition at line 86 of file OptionUniverse.cs.

◆ Volume

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Volume
get

Volume of the option/underlying

Definition at line 97 of file OptionUniverse.cs.

◆ OpenInterest

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.OpenInterest
get

Open interest value of the option

Definition at line 108 of file OptionUniverse.cs.

◆ ImpliedVolatility

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.ImpliedVolatility
get

Implied volatility value of the option

Definition at line 120 of file OptionUniverse.cs.

◆ Greeks

Greeks QuantConnect.Data.UniverseSelection.OptionUniverse.Greeks
get

Greeks values of the option

Definition at line 132 of file OptionUniverse.cs.

◆ EndTime

override DateTime QuantConnect.Data.UniverseSelection.OptionUniverse.EndTime
getset

Time that the data became available to use

Definition at line 144 of file OptionUniverse.cs.


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