Represents a universe of options data More...

Inheritance diagram for QuantConnect.Data.UniverseSelection.OptionUniverse:

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< BaseData >	GetEnumerator ()
	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< 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...

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< BaseData >	DeserializeMessage (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< Symbol >	FilteredContracts `[get, set]`
	Gets or sets the contracts selected by the universe More...

List< BaseData >	Data `[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< 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 a universe of options data

Definition at line 28 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 149 of file OptionUniverse.cs.

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◆ 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 156 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 165 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

config	Configuration object
date	Date of this source file
isLiveMode	true if we're in live mode, false for backtesting mode

Returns: String URL of source file.

Reimplemented from QuantConnect.Data.BaseData.

Definition at line 178 of file OptionUniverse.cs.

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◆ 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

config	Subscription data config setup object
stream	Stream reader of the source document
date	Date of the requested data
isLiveMode	true 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 195 of file OptionUniverse.cs.

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◆ 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

newDataPoint The new data point to add

Reimplemented from QuantConnect.Data.UniverseSelection.BaseDataCollection.

Definition at line 250 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 274 of file OptionUniverse.cs.

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◆ 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 284 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 292 of file OptionUniverse.cs.

◆ operator Symbol()

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

static

Implicit conversion into Symbol

Parameters

data	The option universe data to be converted

Definition at line 303 of file OptionUniverse.cs.

◆ ToSymbol()

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

Gets the symbol of the option

Definition at line 311 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 38 of file OptionUniverse.cs.

◆ Value

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

Price of the option/underlying

Definition at line 43 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 319 of file OptionUniverse.cs.

Property Documentation

◆ Open

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Open

get

Open price of the option/underlying

Definition at line 49 of file OptionUniverse.cs.

◆ High

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.High

get

High price of the option/underlying

Definition at line 61 of file OptionUniverse.cs.

◆ Low

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Low

get

Low price of the option/underlying

Definition at line 72 of file OptionUniverse.cs.

◆ Close

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Close

get

Close price of the option/underlying

Definition at line 83 of file OptionUniverse.cs.

◆ Volume

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.Volume

get

Volume of the option/underlying

Definition at line 94 of file OptionUniverse.cs.

◆ OpenInterest

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.OpenInterest

get

Open interest value of the option

Definition at line 105 of file OptionUniverse.cs.

◆ ImpliedVolatility

decimal QuantConnect.Data.UniverseSelection.OptionUniverse.ImpliedVolatility

get

Implied volatility value of the option

Definition at line 117 of file OptionUniverse.cs.

◆ Greeks

Greeks QuantConnect.Data.UniverseSelection.OptionUniverse.Greeks

get

Greeks values of the option

Definition at line 129 of file OptionUniverse.cs.

◆ EndTime

override DateTime QuantConnect.Data.UniverseSelection.OptionUniverse.EndTime

getset

Time that the data became available to use

Definition at line 141 of file OptionUniverse.cs.

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

Common/Data/UniverseSelection/OptionUniverse.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Static Public Attributes

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionUniverse() [1/3]

◆ OptionUniverse() [2/3]

◆ OptionUniverse() [3/3]

Member Function Documentation

◆ GetSource()

◆ Reader()

◆ Add()

◆ Clone()

◆ DefaultResolution()

◆ ToCsv()

◆ operator Symbol()

◆ ToSymbol()

Member Data Documentation

◆ ID

◆ Value

◆ CsvHeader

Property Documentation

◆ Open

◆ High

◆ Low

◆ Close

◆ Volume

◆ OpenInterest

◆ ImpliedVolatility

◆ Greeks

◆ EndTime