To provide a base class for option indicator More...

Inheritance diagram for QuantConnect.Indicators.OptionIndicatorBase:

Public Member Functions
override void	Reset ()
	Resets this indicator and all sub-indicators More...

Static Public Member Functions
static OptionPricingModelType	GetOptionModel (OptionPricingModelType? optionModel, OptionStyle optionStyle)
	Gets the option pricing model based on the option style, if not specified More...

Public Attributes
DateTime	Expiry => OptionSymbol.ID.Date
	Gets the expiration time of the option More...

OptionRight	Right => OptionSymbol.ID.OptionRight
	Gets the option right (call/put) of the option More...

decimal	Strike => OptionSymbol.ID.StrikePrice
	Gets the strike price of the option More...

OptionStyle	Style => OptionSymbol.ID.OptionStyle
	Gets the option style (European/American) of the option More...

bool	UseMirrorContract => _oppositeOptionSymbol != null
	Flag if mirror option is implemented for parity type calculation More...

Protected Member Functions
	OptionIndicatorBase (string name, Symbol option, IRiskFreeInterestRateModel riskFreeRateModel, IDividendYieldModel dividendYieldModel, Symbol mirrorOption=null, OptionPricingModelType? optionModel=null, int period=2)
	Initializes a new instance of the OptionIndicatorBase class More...

override decimal	ComputeNextValue (IndicatorDataPoint input)
	Computes the next value of this indicator from the given state. This will round the result to 7 decimal places. More...

abstract decimal	Calculate (IndicatorDataPoint input)
	Computes the next value of this indicator from the given state. More...

Protected Attributes
Symbol	_underlyingSymbol => OptionSymbol.Underlying
	Underlying security's symbol object More...

Properties
Symbol	OptionSymbol `[get]`
	Option's symbol object More...

Symbol	_oppositeOptionSymbol `[get]`
	Mirror option symbol (by option right), for implied volatility More...

OptionPricingModelType	_optionModel `[get, set]`
	Option pricing model used to calculate indicator More...

IRiskFreeInterestRateModel	_riskFreeInterestRateModel `[get]`
	Risk-free rate model More...

IDividendYieldModel	_dividendYieldModel `[get]`
	Dividend yield model, for continuous dividend yield More...

Identity	RiskFreeRate `[get, set]`
	Risk Free Rate More...

Identity	DividendYield `[get, set]`
	Dividend Yield More...

IndicatorBase< IndicatorDataPoint >	Price `[get]`
	Gets the option price level More...

IndicatorBase< IndicatorDataPoint >	OppositePrice `[get]`
	Gets the mirror option price level, for implied volatility More...

IndicatorBase< IndicatorDataPoint >	UnderlyingPrice `[get]`
	Gets the underlying's price level More...

int	WarmUpPeriod `[get, set]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Properties inherited from QuantConnect.Indicators.IIndicatorWarmUpPeriodProvider
int	WarmUpPeriod `[get]`
	Required period, in data points, for the indicator to be ready and fully initialized. More...

Detailed Description

To provide a base class for option indicator

Definition at line 24 of file OptionIndicatorBase.cs.

Constructor & Destructor Documentation

◆ OptionIndicatorBase()

QuantConnect.Indicators.OptionIndicatorBase.OptionIndicatorBase	(	string	name,
		Symbol	option,
		IRiskFreeInterestRateModel	riskFreeRateModel,
		IDividendYieldModel	dividendYieldModel,
		Symbol	mirrorOption = `null`,
		OptionPricingModelType?	optionModel = `null`,
		int	period = `2`
	)

protected

Initializes a new instance of the OptionIndicatorBase class

Parameters

name	The name of this indicator
option	The option to be tracked
riskFreeRateModel	Risk-free rate model
dividendYieldModel	Dividend yield model
mirrorOption	The mirror option for parity calculation
period	The lookback period of volatility
optionModel	The option pricing model used to estimate the Greek/IV

Definition at line 116 of file OptionIndicatorBase.cs.

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Member Function Documentation

◆ ComputeNextValue()

override decimal QuantConnect.Indicators.OptionIndicatorBase.ComputeNextValue ( IndicatorDataPoint input )

protected

Computes the next value of this indicator from the given state. This will round the result to 7 decimal places.

Parameters

input The input given to the indicator

Returns: A new value for this indicator

Definition at line 156 of file OptionIndicatorBase.cs.

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◆ Calculate()

abstract decimal QuantConnect.Indicators.OptionIndicatorBase.Calculate ( IndicatorDataPoint input )

protectedpure virtual

Computes the next value of this indicator from the given state.

Parameters

input The input given to the indicator

Returns: A new value for this indicator

Implemented in QuantConnect.Indicators.ImpliedVolatility, and QuantConnect.Indicators.OptionGreeksIndicatorBase.

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◆ Reset()

override void QuantConnect.Indicators.OptionIndicatorBase.Reset ( )

Resets this indicator and all sub-indicators

Definition at line 171 of file OptionIndicatorBase.cs.

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◆ GetOptionModel()

static OptionPricingModelType QuantConnect.Indicators.OptionIndicatorBase.GetOptionModel	(	OptionPricingModelType?	optionModel,
		OptionStyle	optionStyle
	)

static

Gets the option pricing model based on the option style, if not specified

Parameters

optionModel	The optional option pricing model, which will be returned if not null
optionStyle	The option style

Returns: The option pricing model based on the option style, if not specified

Definition at line 191 of file OptionIndicatorBase.cs.

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Member Data Documentation

◆ _underlyingSymbol

Symbol QuantConnect.Indicators.OptionIndicatorBase._underlyingSymbol => OptionSymbol.Underlying

protected

Underlying security's symbol object

Definition at line 39 of file OptionIndicatorBase.cs.

◆ Expiry

DateTime QuantConnect.Indicators.OptionIndicatorBase.Expiry => OptionSymbol.ID.Date

Gets the expiration time of the option

Definition at line 59 of file OptionIndicatorBase.cs.

◆ Right

OptionRight QuantConnect.Indicators.OptionIndicatorBase.Right => OptionSymbol.ID.OptionRight

Gets the option right (call/put) of the option

Definition at line 64 of file OptionIndicatorBase.cs.

◆ Strike

decimal QuantConnect.Indicators.OptionIndicatorBase.Strike => OptionSymbol.ID.StrikePrice

Gets the strike price of the option

Definition at line 69 of file OptionIndicatorBase.cs.

◆ Style

OptionStyle QuantConnect.Indicators.OptionIndicatorBase.Style => OptionSymbol.ID.OptionStyle

Gets the option style (European/American) of the option

Definition at line 74 of file OptionIndicatorBase.cs.

◆ UseMirrorContract

bool QuantConnect.Indicators.OptionIndicatorBase.UseMirrorContract => _oppositeOptionSymbol != null

Flag if mirror option is implemented for parity type calculation

Definition at line 104 of file OptionIndicatorBase.cs.

Property Documentation

◆ OptionSymbol

Symbol QuantConnect.Indicators.OptionIndicatorBase.OptionSymbol

get

Option's symbol object

Definition at line 29 of file OptionIndicatorBase.cs.

◆ _oppositeOptionSymbol

Symbol QuantConnect.Indicators.OptionIndicatorBase._oppositeOptionSymbol

getprotected

Mirror option symbol (by option right), for implied volatility

Definition at line 34 of file OptionIndicatorBase.cs.

◆ _optionModel

OptionPricingModelType QuantConnect.Indicators.OptionIndicatorBase._optionModel

getsetprotected

Option pricing model used to calculate indicator

Definition at line 44 of file OptionIndicatorBase.cs.

◆ _riskFreeInterestRateModel

IRiskFreeInterestRateModel QuantConnect.Indicators.OptionIndicatorBase._riskFreeInterestRateModel

getprotected

Risk-free rate model

Definition at line 49 of file OptionIndicatorBase.cs.

◆ _dividendYieldModel

IDividendYieldModel QuantConnect.Indicators.OptionIndicatorBase._dividendYieldModel

getprotected

Dividend yield model, for continuous dividend yield

Definition at line 54 of file OptionIndicatorBase.cs.

◆ RiskFreeRate

Identity QuantConnect.Indicators.OptionIndicatorBase.RiskFreeRate

getset

Risk Free Rate

Definition at line 79 of file OptionIndicatorBase.cs.

◆ DividendYield

Identity QuantConnect.Indicators.OptionIndicatorBase.DividendYield

getset

Dividend Yield

Definition at line 84 of file OptionIndicatorBase.cs.

◆ Price

IndicatorBase<IndicatorDataPoint> QuantConnect.Indicators.OptionIndicatorBase.Price

get

Gets the option price level

Definition at line 89 of file OptionIndicatorBase.cs.

◆ OppositePrice

IndicatorBase<IndicatorDataPoint> QuantConnect.Indicators.OptionIndicatorBase.OppositePrice

get

Gets the mirror option price level, for implied volatility

Definition at line 94 of file OptionIndicatorBase.cs.

◆ UnderlyingPrice

IndicatorBase<IndicatorDataPoint> QuantConnect.Indicators.OptionIndicatorBase.UnderlyingPrice

get

Gets the underlying's price level

Definition at line 99 of file OptionIndicatorBase.cs.

◆ WarmUpPeriod

int QuantConnect.Indicators.OptionIndicatorBase.WarmUpPeriod

getset

Required period, in data points, for the indicator to be ready and fully initialized.

Definition at line 148 of file OptionIndicatorBase.cs.

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

Indicators/OptionIndicatorBase.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Protected Member Functions

Protected Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ OptionIndicatorBase()

Member Function Documentation

◆ ComputeNextValue()

◆ Calculate()

◆ Reset()

◆ GetOptionModel()

Member Data Documentation

◆ _underlyingSymbol

◆ Expiry

◆ Right

◆ Strike

◆ Style

◆ UseMirrorContract

Property Documentation

◆ OptionSymbol

◆ _oppositeOptionSymbol

◆ _optionModel

◆ _riskFreeInterestRateModel

◆ _dividendYieldModel

◆ RiskFreeRate

◆ DividendYield

◆ Price

◆ OppositePrice

◆ UnderlyingPrice

◆ WarmUpPeriod