Option Security Object Implementation for Option Assets More...

Inheritance diagram for QuantConnect.Securities.Option.Option:

Public Member Functions
	Option (SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, OptionSymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes)
	Constructor for the option security More...

	Option (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, OptionSymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes, SecurityCache securityCache, Security underlying)
	Constructor for the option security More...

decimal	GetAggregateExerciseAmount ()
	Aggregate exercise amount or aggregate contract value. It is the total amount of cash one will pay (or receive) for the shares of the underlying stock if he/she decides to exercise (or is assigned an exercise notice). This amount is not the premium paid or received for an equity option. More...

decimal	GetExerciseQuantity ()
	Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of all contracts held by this account, taking into account the contract's Right as well as the contract's current ContractUnitOfTrade, which may have recently changed due to a split/reverse split in the underlying security. More...

decimal	GetExerciseQuantity (decimal exerciseOrderQuantity)
	Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of the specified exerciseOrderQuantity , taking into account the contract's Right as well as the contract's current ContractUnitOfTrade, which may have recently changed due to a split/reverse split in the underlying security. More...

bool	IsAutoExercised (decimal underlyingPrice)
	Checks if option is eligible for automatic exercise on expiration More...

decimal	GetIntrinsicValue (decimal underlyingPrice)
	Intrinsic value function of the option More...

decimal	GetPayOff (decimal underlyingPrice)
	Option payoff function at expiration time More...

decimal	OutOfTheMoneyAmount (decimal underlyingPrice)
	Option out of the money function More...

OptionPriceModelResult	EvaluatePriceModel (Slice slice, OptionContract contract)
	For this option security object, evaluates the specified option contract to compute a theoretical price, IV and greeks More...

void	SetOptionAssignmentModel (PyObject pyObject)
	Sets the automatic option assignment model More...

void	SetOptionAssignmentModel (IOptionAssignmentModel optionAssignmentModel)
	Sets the automatic option assignment model More...

void	SetOptionExerciseModel (PyObject pyObject)
	Sets the option exercise model More...

void	SetOptionExerciseModel (IOptionExerciseModel optionExerciseModel)
	Sets the option exercise model More...

void	SetFilter (int minStrike, int maxStrike)
	Sets the ContractFilter to a new instance of the filter using the specified min and max strike values. Contracts with expirations further than 35 days out will also be filtered. More...

void	SetFilter (TimeSpan minExpiry, TimeSpan maxExpiry)
	Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values More...

void	SetFilter (int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry)
	Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values More...

void	SetFilter (int minStrike, int maxStrike, int minExpiryDays, int maxExpiryDays)
	Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values More...

void	SetFilter (Func< OptionFilterUniverse, OptionFilterUniverse > universeFunc)
	Sets the ContractFilter to a new universe selection function More...

void	SetFilter (PyObject universeFunc)
	Sets the ContractFilter to a new universe selection function More...

override void	SetDataNormalizationMode (DataNormalizationMode mode)
	Sets the data normalization mode to be used by this security More...

Public Member Functions inherited from QuantConnect.Securities.Security
	Security (SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, SecurityCache cache)
	Construct a new security vehicle based on the user options. More...

	Security (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, SecurityCache cache)
	Construct a new security vehicle based on the user options. More...

BaseData	GetLastData ()
	Get the last price update set to the security if any else null More...

virtual void	SetLocalTimeKeeper (LocalTimeKeeper localTimeKeeper)
	Sets the LocalTimeKeeper to be used for this Security. This is the source of this instance's time. More...

void	SetMarketPrice (BaseData data)
	Update any security properties based on the latest market data and time More...

void	Update (IReadOnlyList< BaseData > data, Type dataType, bool? containsFillForwardData=null)
	Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache More...

bool	IsCustomData ()
	Returns true if the security contains at least one subscription that represents custom data More...

void	SetLeverage (decimal leverage)
	Set the leverage parameter for this security More...

void	RefreshDataNormalizationModeProperty ()
	This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property More...

void	SetFeeModel (IFeeModel feelModel)
	Sets the fee model More...

void	SetFeeModel (PyObject feelModel)
	Sets the fee model More...

void	SetFillModel (IFillModel fillModel)
	Sets the fill model More...

void	SetFillModel (PyObject fillModel)
	Sets the fill model More...

void	SetSettlementModel (ISettlementModel settlementModel)
	Sets the settlement model More...

void	SetSettlementModel (PyObject settlementModel)
	Sets the settlement model More...

void	SetSlippageModel (ISlippageModel slippageModel)
	Sets the slippage model More...

void	SetSlippageModel (PyObject slippageModel)
	Sets the slippage model More...

void	SetVolatilityModel (IVolatilityModel volatilityModel)
	Sets the volatility model More...

void	SetVolatilityModel (PyObject volatilityModel)
	Sets the volatility model More...

void	SetBuyingPowerModel (IBuyingPowerModel buyingPowerModel)
	Sets the buying power model More...

void	SetBuyingPowerModel (PyObject pyObject)
	Sets the buying power model More...

void	SetMarginInterestRateModel (IMarginInterestRateModel marginInterestRateModel)
	Sets the margin interests rate model More...

void	SetMarginInterestRateModel (PyObject pyObject)
	Sets the margin interests rate model More...

void	SetMarginModel (IBuyingPowerModel marginModel)
	Sets the margin model More...

void	SetMarginModel (PyObject pyObject)
	Sets the margin model More...

void	SetShortableProvider (PyObject pyObject)
	Set Python Shortable Provider for this Security More...

void	SetShortableProvider (IShortableProvider shortableProvider)
	Set Shortable Provider for this Security More...

void	SetDataFilter (PyObject pyObject)
	Set Security Data Filter More...

void	SetDataFilter (ISecurityDataFilter dataFilter)
	Set Security Data Filter More...

override bool	TryGetMember (GetMemberBinder binder, out object result)
	This is a DynamicObject override. Not meant for external use. More...

override bool	TrySetMember (SetMemberBinder binder, object value)
	This is a DynamicObject override. Not meant for external use. More...

override bool	TryInvokeMember (InvokeMemberBinder binder, object[] args, out object result)
	This is a DynamicObject override. Not meant for external use. More...

void	Add (string key, object value)
	Adds the specified custom property. This allows us to use the security object as a dynamic object for quick storage. More...

bool	TryGet< T > (string key, out T value)
	Gets the specified custom property More...

T	Get< T > (string key)
	Gets the specified custom property More...

bool	Remove (string key)
	Removes a custom property. More...

bool	Remove< T > (string key, out T value)
	Removes a custom property. More...

void	Clear ()
	Removes every custom property that had been set. More...

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

Public Attributes
bool	IsOptionChain => Symbol.IsCanonical()
	Returns true if this is the option chain security, false if it is a specific option contract More...

bool	IsOptionContract => !Symbol.IsCanonical()
	Returns true if this is a specific option contract security, false if it is the option chain security More...

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

override decimal	BidPrice => Cache.BidPrice
	Gets the most recent bid price if available More...

override decimal	AskPrice => Cache.AskPrice
	Gets the most recent ask price if available More...

Public Attributes inherited from QuantConnect.Securities.Security
SecurityType	Type => Symbol.ID.SecurityType
	Type of the security. More...

bool	HasData => GetLastData() != null
	There has been at least one datapoint since our algorithm started running for us to determine price. More...

virtual bool	HoldStock => Holdings.HoldStock
	Read only property that checks if we currently own stock in the company. More...

virtual bool	Invested => HoldStock
	Alias for HoldStock - Do we have any of this security More...

virtual decimal	Price => Cache.Price
	Get the current value of the security. More...

virtual decimal	Leverage => Holdings.Leverage
	Leverage for this Security. More...

virtual decimal	High => Cache.High == 0 ? Price : Cache.High
	If this uses tradebar data, return the most recent high. More...

virtual decimal	Low => Cache.Low == 0 ? Price : Cache.Low
	If this uses tradebar data, return the most recent low. More...

virtual decimal	Close => Cache.Close == 0 ? Price : Cache.Close
	If this uses tradebar data, return the most recent close. More...

virtual decimal	Open => Cache.Open == 0 ? Price : Cache.Open
	If this uses tradebar data, return the most recent open. More...

virtual decimal	Volume => Cache.Volume
	Access to the volume of the equity today More...

virtual decimal	BidPrice => Cache.BidPrice == 0 ? Price : Cache.BidPrice
	Gets the most recent bid price if available More...

virtual decimal	BidSize => Cache.BidSize
	Gets the most recent bid size if available More...

virtual decimal	AskPrice => Cache.AskPrice == 0 ? Price : Cache.AskPrice
	Gets the most recent ask price if available More...

virtual decimal	AskSize => Cache.AskSize
	Gets the most recent ask size if available More...

virtual long	OpenInterest => Cache.OpenInterest
	Access to the open interest of the security today More...

Static Public Attributes
const int	DefaultSettlementDays = 1
	The default number of days required to settle an equity sale More...

static readonly TimeSpan	DefaultSettlementTime = new (8, 0, 0)
	The default time of day for settlement More...

Static Public Attributes inherited from QuantConnect.Securities.Security
const decimal	NullLeverage = 0
	A null security leverage value More...

Protected Member Functions
	Option (Symbol symbol, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, Security underlying)
	Creates instance of the Option class. More...

Protected Member Functions inherited from QuantConnect.Securities.Security
	Security (Symbol symbol, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IMarginInterestRateModel marginInterestRateModel)
	Construct a new security vehicle based on the user options. More...

	Security (SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IMarginInterestRateModel marginInterestRateModel)
	Temporary convenience constructor More...

virtual void	UpdateConsumersMarketPrice (BaseData data)
	Update market price of this Security More...

Properties
decimal	ScaledStrikePrice `[get]`
	Gets the strike price multiplied by the strike multiplier More...

int	ContractUnitOfTrade `[get, set]`
	When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands. More...

int	ContractMultiplier `[get, set]`
	The contract multiplier for the option security More...

SettlementType	ExerciseSettlement `[get, set]`
	Specifies if option contract has physical or cash settlement on exercise More...

Security	Underlying `[get, set]`
	Gets or sets the underlying security object. More...

IOptionPriceModel	PriceModel `[get, set]`
	Gets or sets the price model for this option security More...

IOptionExerciseModel	OptionExerciseModel `[get, set]`
	Fill model used to produce fill events for this security More...

IOptionAssignmentModel	OptionAssignmentModel `[get, set]`
	The automatic option assignment model More...

bool	EnableGreekApproximation `[get, set]`
	When enabled, approximates Greeks if corresponding pricing model didn't calculate exact numbers More...

IDerivativeSecurityFilter< OptionUniverse >	ContractFilter `[get, set]`
	Gets or sets the contract filter More...

Properties inherited from QuantConnect.Securities.Security
IShortableProvider	ShortableProvider `[get]`
	This securities IShortableProvider More...

IEnumerable< SubscriptionDataConfig >	Subscriptions `[get]`
	Gets all the subscriptions for this security More...

Symbol	Symbol `[get]`
	Symbol for the asset. More...

Cash	QuoteCurrency `[get]`
	Gets the Cash object used for converting the quote currency to the account currency More...

SymbolProperties	SymbolProperties `[get, protected set]`
	Gets the symbol properties for this security More...

Resolution	Resolution `[get]`
	Resolution of data requested for this security. More...

bool	IsFillDataForward `[get]`
	Indicates the data will use previous bars when there was no trading in this time period. This was a configurable datastream setting set in initialization. More...

bool	IsExtendedMarketHours `[get]`
	Indicates the security will continue feeding data after the primary market hours have closed. This was a configurable setting set in initialization. More...

DataNormalizationMode	DataNormalizationMode `[get]`
	Gets the data normalization mode used for this security More...

SubscriptionDataConfig	SubscriptionDataConfig `[get]`
	Gets the subscription configuration for this security More...

virtual bool	IsTradable `[get, set]`
	Gets or sets whether or not this security should be considered tradable More...

bool	IsDelisted `[get, set]`
	True if the security has been delisted from exchanges and is no longer tradable More...

SecurityCache	Cache `[get, set]`
	Data cache for the security to store previous price information. More...

SecurityHolding	Holdings `[get, set]`
	Holdings class contains the portfolio, cash and processes order fills. More...

SecurityExchange	Exchange `[get, set]`
	Exchange class contains the market opening hours, along with pre-post market hours. More...

IFeeModel	FeeModel `[get, set]`
	Fee model used to compute order fees for this security More...

IFillModel	FillModel `[get, set]`
	Fill model used to produce fill events for this security More...

ISlippageModel	SlippageModel `[get, set]`
	Slippage model use to compute slippage of market orders More...

ISecurityPortfolioModel	PortfolioModel `[get, set]`
	Gets the portfolio model used by this security More...

IBuyingPowerModel	BuyingPowerModel `[get, set]`
	Gets the buying power model used for this security More...

IBuyingPowerModel	MarginModel `[get, set]`
	Gets the buying power model used for this security, an alias for BuyingPowerModel More...

IMarginInterestRateModel	MarginInterestRateModel `[get, set]`
	Gets or sets the margin interest rate model More...

ISettlementModel	SettlementModel `[get, set]`
	Gets the settlement model used for this security More...

IVolatilityModel	VolatilityModel `[get, set]`
	Gets the volatility model used for this security More...

ISecurityDataFilter	DataFilter `[get, set]`
	Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms. More...

IPriceVariationModel	PriceVariationModel `[get, set]`
	Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database. More...

dynamic	Data `[get]`
	Provides dynamic access to data in the cache More...

virtual DateTime	LocalTime `[get]`
	Local time for this market More...

Fundamental	Fundamentals `[get]`
	Gets the fundamental data associated with the security if there is any, otherwise null. More...

object	this[string key] `[get, set]`
	Gets or sets the specified custom property through the indexer. This is a wrapper around the Get<T>(string) and Add(string,object) methods. More...

Properties inherited from QuantConnect.Interfaces.ISecurityPrice
decimal	Price `[get]`
	Get the current value of the security. More...

decimal	Close `[get]`
	If this uses trade bar data, return the most recent close. More...

decimal	Volume `[get]`
	Access to the volume of the equity today More...

decimal	BidPrice `[get]`
	Gets the most recent bid price if available More...

decimal	BidSize `[get]`
	Gets the most recent bid size if available More...

decimal	AskPrice `[get]`
	Gets the most recent ask price if available More...

decimal	AskSize `[get]`
	Gets the most recent ask size if available More...

long	OpenInterest `[get]`
	Access to the open interest of the security today More...

Symbol	Symbol `[get]`
	Symbol for the asset. More...

SymbolProperties	SymbolProperties `[get]`
	SymbolProperties of the symbol More...

Properties inherited from QuantConnect.Securities.IDerivativeSecurity
Security	Underlying `[get, set]`
	Gets or sets the underlying security for the derivative More...

Properties inherited from QuantConnect.Interfaces.IOptionPrice
ISecurityPrice	Underlying `[get]`
	Gets a reduced interface of the underlying security object. More...

Detailed Description

Option Security Object Implementation for Option Assets

See also: Security

Definition at line 38 of file Option.cs.

Constructor & Destructor Documentation

◆ Option() [1/3]

QuantConnect.Securities.Option.Option.Option	(	SecurityExchangeHours	exchangeHours,
		SubscriptionDataConfig	config,
		Cash	quoteCurrency,
		OptionSymbolProperties	symbolProperties,
		ICurrencyConverter	currencyConverter,
		IRegisteredSecurityDataTypesProvider	registeredTypes
	)

Constructor for the option security

Parameters

exchangeHours	Defines the hours this exchange is open
quoteCurrency	The cash object that represent the quote currency
config	The subscription configuration for this security
symbolProperties	The symbol properties for this security
currencyConverter	Currency converter used to convert CashAmount instances into units of the account currency
registeredTypes	Provides all data types registered in the algorithm

Used in testing

Definition at line 61 of file Option.cs.

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◆ Option() [2/3]

QuantConnect.Securities.Option.Option.Option	(	Symbol	symbol,
		SecurityExchangeHours	exchangeHours,
		Cash	quoteCurrency,
		OptionSymbolProperties	symbolProperties,
		ICurrencyConverter	currencyConverter,
		IRegisteredSecurityDataTypesProvider	registeredTypes,
		SecurityCache	securityCache,
		Security	underlying
	)

Constructor for the option security

Parameters

symbol	The symbol of the security
exchangeHours	Defines the hours this exchange is open
quoteCurrency	The cash object that represent the quote currency
symbolProperties	The symbol properties for this security
currencyConverter	Currency converter used to convert CashAmount instances into units of the account currency
registeredTypes	Provides all data types registered in the algorithm
securityCache	Cache to store security information
underlying	Future underlying security

Definition at line 101 of file Option.cs.

◆ Option() [3/3]

QuantConnect.Securities.Option.Option.Option	(	Symbol	symbol,
		Cash	quoteCurrency,
		SymbolProperties	symbolProperties,
		SecurityExchange	exchange,
		SecurityCache	cache,
		ISecurityPortfolioModel	portfolioModel,
		IFillModel	fillModel,
		IFeeModel	feeModel,
		ISlippageModel	slippageModel,
		ISettlementModel	settlementModel,
		IVolatilityModel	volatilityModel,
		IBuyingPowerModel	buyingPowerModel,
		ISecurityDataFilter	dataFilter,
		IPriceVariationModel	priceVariationModel,
		ICurrencyConverter	currencyConverter,
		IRegisteredSecurityDataTypesProvider	registeredTypesProvider,
		Security	underlying
	)

protected

Creates instance of the Option class.

Allows for the forwarding of the security configuration to the base Security constructor

Definition at line 136 of file Option.cs.

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Member Function Documentation

◆ GetAggregateExerciseAmount()

decimal QuantConnect.Securities.Option.Option.GetAggregateExerciseAmount ( )

Aggregate exercise amount or aggregate contract value. It is the total amount of cash one will pay (or receive) for the shares of the underlying stock if he/she decides to exercise (or is assigned an exercise notice). This amount is not the premium paid or received for an equity option.

Definition at line 283 of file Option.cs.

◆ GetExerciseQuantity() [1/2]

decimal QuantConnect.Securities.Option.Option.GetExerciseQuantity ( )

Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of all contracts held by this account, taking into account the contract's Right as well as the contract's current ContractUnitOfTrade, which may have recently changed due to a split/reverse split in the underlying security.

Long option positions result in exercise while short option positions result in assignment. This function uses the term exercise loosely to refer to both situations.

Definition at line 297 of file Option.cs.

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◆ GetExerciseQuantity() [2/2]

decimal QuantConnect.Securities.Option.Option.GetExerciseQuantity ( decimal exerciseOrderQuantity )

Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of the specified exerciseOrderQuantity , taking into account the contract's Right as well as the contract's current ContractUnitOfTrade, which may have recently changed due to a split/reverse split in the underlying security.

Long option positions result in exercise while short option positions result in assignment. This function uses the term exercise loosely to refer to both situations.

exerciseOrderQuantity The quantity of contracts being exercised as provided by the OptionExerciseOrder. A negative value indicates exercise (we are long and the order quantity is negative to bring us (closer) to zero. A positive value indicates assignment (we are short and the order quantity is positive to bring us (closer) to zero.

Definition at line 316 of file Option.cs.

◆ IsAutoExercised()

bool QuantConnect.Securities.Option.Option.IsAutoExercised ( decimal underlyingPrice )

Checks if option is eligible for automatic exercise on expiration

Definition at line 333 of file Option.cs.

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◆ GetIntrinsicValue()

decimal QuantConnect.Securities.Option.Option.GetIntrinsicValue ( decimal underlyingPrice )

Intrinsic value function of the option

Definition at line 341 of file Option.cs.

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◆ GetPayOff()

decimal QuantConnect.Securities.Option.Option.GetPayOff ( decimal underlyingPrice )

Option payoff function at expiration time

Parameters

underlyingPrice The price of the underlying

Returns

Definition at line 351 of file Option.cs.

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◆ OutOfTheMoneyAmount()

decimal QuantConnect.Securities.Option.Option.OutOfTheMoneyAmount ( decimal underlyingPrice )

Option out of the money function

Parameters

underlyingPrice The price of the underlying

Returns

Definition at line 361 of file Option.cs.

◆ EvaluatePriceModel()

OptionPriceModelResult QuantConnect.Securities.Option.Option.EvaluatePriceModel	(	Slice	slice,
		OptionContract	contract
	)

For this option security object, evaluates the specified option contract to compute a theoretical price, IV and greeks

Parameters

slice	The current data slice. This can be used to access other information available to the algorithm
contract	The option contract to evaluate

Returns: An instance of OptionPriceModelResult containing the theoretical price of the specified option contract

Implements QuantConnect.Interfaces.IOptionPrice.

Definition at line 396 of file Option.cs.

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◆ SetOptionAssignmentModel() [1/2]

void QuantConnect.Securities.Option.Option.SetOptionAssignmentModel ( PyObject pyObject )

Sets the automatic option assignment model

Parameters

pyObject The option assignment model to use

Definition at line 463 of file Option.cs.

◆ SetOptionAssignmentModel() [2/2]

void QuantConnect.Securities.Option.Option.SetOptionAssignmentModel ( IOptionAssignmentModel optionAssignmentModel )

Sets the automatic option assignment model

Parameters

optionAssignmentModel The option assignment model to use

Definition at line 487 of file Option.cs.

◆ SetOptionExerciseModel() [1/2]

void QuantConnect.Securities.Option.Option.SetOptionExerciseModel ( PyObject pyObject )

Sets the option exercise model

Parameters

pyObject The option exercise model to use

Definition at line 496 of file Option.cs.

◆ SetOptionExerciseModel() [2/2]

void QuantConnect.Securities.Option.Option.SetOptionExerciseModel ( IOptionExerciseModel optionExerciseModel )

Sets the option exercise model

Parameters

optionExerciseModel The option exercise model to use

Definition at line 520 of file Option.cs.

◆ SetFilter() [1/6]

void QuantConnect.Securities.Option.Option.SetFilter	(	int	minStrike,
		int	maxStrike
	)

Sets the ContractFilter to a new instance of the filter using the specified min and max strike values. Contracts with expirations further than 35 days out will also be filtered.

Parameters

minStrike	The min strike rank relative to market price, for example, -1 would put a lower bound of one strike under market price, where a +1 would put a lower bound of one strike over market price
maxStrike	The max strike rank relative to market place, for example, -1 would put an upper bound of on strike under market price, where a +1 would be an upper bound of one strike over market price

Definition at line 536 of file Option.cs.

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◆ SetFilter() [2/6]

void QuantConnect.Securities.Option.Option.SetFilter	(	TimeSpan	minExpiry,
		TimeSpan	maxExpiry
	)

Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values

Parameters

minExpiry	The minimum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in less than 10 days
maxExpiry	The maximum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in more than 10 days

Definition at line 549 of file Option.cs.

◆ SetFilter() [3/6]

void QuantConnect.Securities.Option.Option.SetFilter	(	int	minStrike,
		int	maxStrike,
		TimeSpan	minExpiry,
		TimeSpan	maxExpiry
	)

Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values

Parameters

minStrike	The min strike rank relative to market price, for example, -1 would put a lower bound of one strike under market price, where a +1 would put a lower bound of one strike over market price
maxStrike	The max strike rank relative to market place, for example, -1 would put an upper bound of on strike under market price, where a +1 would be an upper bound of one strike over market price
minExpiry	The minimum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in less than 10 days
maxExpiry	The maximum time until expiry to include, for example, TimeSpan.FromDays(10) would exclude contracts expiring in more than 10 days

Definition at line 568 of file Option.cs.

◆ SetFilter() [4/6]

void QuantConnect.Securities.Option.Option.SetFilter	(	int	minStrike,
		int	maxStrike,
		int	minExpiryDays,
		int	maxExpiryDays
	)

Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values

Parameters

minStrike	The min strike rank relative to market price, for example, -1 would put a lower bound of one strike under market price, where a +1 would put a lower bound of one strike over market price
maxStrike	The max strike rank relative to market place, for example, -1 would put an upper bound of on strike under market price, where a +1 would be an upper bound of one strike over market price
minExpiryDays	The minimum time, expressed in days, until expiry to include, for example, 10 would exclude contracts expiring in less than 10 days
maxExpiryDays	The maximum time, expressed in days, until expiry to include, for example, 10 would exclude contracts expiring in more than 10 days

Definition at line 589 of file Option.cs.

◆ SetFilter() [5/6]

void QuantConnect.Securities.Option.Option.SetFilter ( Func< OptionFilterUniverse, OptionFilterUniverse > universeFunc )

Sets the ContractFilter to a new universe selection function

Parameters

universeFunc new universe selection function

Definition at line 600 of file Option.cs.

◆ SetFilter() [6/6]

void QuantConnect.Securities.Option.Option.SetFilter ( PyObject universeFunc )

Sets the ContractFilter to a new universe selection function

Parameters

universeFunc new universe selection function

Definition at line 615 of file Option.cs.

◆ SetDataNormalizationMode()

override void QuantConnect.Securities.Option.Option.SetDataNormalizationMode ( DataNormalizationMode mode )

virtual

Sets the data normalization mode to be used by this security

Reimplemented from QuantConnect.Securities.Security.

Definition at line 653 of file Option.cs.

Here is the caller graph for this function:

Member Data Documentation

◆ DefaultSettlementDays

const int QuantConnect.Securities.Option.Option.DefaultSettlementDays = 1

static

The default number of days required to settle an equity sale

Definition at line 43 of file Option.cs.

◆ DefaultSettlementTime

readonly TimeSpan QuantConnect.Securities.Option.Option.DefaultSettlementTime = new (8, 0, 0)

static

The default time of day for settlement

Definition at line 48 of file Option.cs.

◆ IsOptionChain

bool QuantConnect.Securities.Option.Option.IsOptionChain => Symbol.IsCanonical()

Returns true if this is the option chain security, false if it is a specific option contract

Definition at line 202 of file Option.cs.

◆ IsOptionContract

bool QuantConnect.Securities.Option.Option.IsOptionContract => !Symbol.IsCanonical()

Returns true if this is a specific option contract security, false if it is the option chain security

Definition at line 207 of file Option.cs.

◆ StrikePrice

decimal QuantConnect.Securities.Option.Option.StrikePrice => Symbol.ID.StrikePrice

Gets the strike price

Definition at line 212 of file Option.cs.

◆ Expiry

DateTime QuantConnect.Securities.Option.Option.Expiry => Symbol.ID.Date

Gets the expiration date

Definition at line 226 of file Option.cs.

◆ Right

OptionRight QuantConnect.Securities.Option.Option.Right => Symbol.ID.OptionRight

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

Definition at line 231 of file Option.cs.

◆ Style

OptionStyle QuantConnect.Securities.Option.Option.Style => Symbol.ID.OptionStyle

Gets the option style

Definition at line 236 of file Option.cs.

◆ BidPrice

override decimal QuantConnect.Securities.Option.Option.BidPrice => Cache.BidPrice

Gets the most recent bid price if available

Definition at line 241 of file Option.cs.

◆ AskPrice

override decimal QuantConnect.Securities.Option.Option.AskPrice => Cache.AskPrice

Gets the most recent ask price if available

Definition at line 246 of file Option.cs.

Property Documentation

◆ ScaledStrikePrice

decimal QuantConnect.Securities.Option.Option.ScaledStrikePrice

get

Gets the strike price multiplied by the strike multiplier

Definition at line 218 of file Option.cs.

◆ ContractUnitOfTrade

int QuantConnect.Securities.Option.Option.ContractUnitOfTrade

getset

When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands.

Definition at line 253 of file Option.cs.

◆ ContractMultiplier

int QuantConnect.Securities.Option.Option.ContractMultiplier

getset

The contract multiplier for the option security

Definition at line 268 of file Option.cs.

◆ ExerciseSettlement

SettlementType QuantConnect.Securities.Option.Option.ExerciseSettlement

getset

Specifies if option contract has physical or cash settlement on exercise

Definition at line 370 of file Option.cs.

◆ Underlying

Security QuantConnect.Securities.Option.Option.Underlying

getset

Gets or sets the underlying security object.

Definition at line 378 of file Option.cs.

◆ PriceModel

IOptionPriceModel QuantConnect.Securities.Option.Option.PriceModel

getset

Gets or sets the price model for this option security

Definition at line 405 of file Option.cs.

◆ OptionExerciseModel

IOptionExerciseModel QuantConnect.Securities.Option.Option.OptionExerciseModel

getset

Fill model used to produce fill events for this security

Definition at line 413 of file Option.cs.

◆ OptionAssignmentModel

IOptionAssignmentModel QuantConnect.Securities.Option.Option.OptionAssignmentModel

getset

The automatic option assignment model

Definition at line 421 of file Option.cs.

◆ EnableGreekApproximation

bool QuantConnect.Securities.Option.Option.EnableGreekApproximation

getset

When enabled, approximates Greeks if corresponding pricing model didn't calculate exact numbers

Definition at line 430 of file Option.cs.

◆ ContractFilter

IDerivativeSecurityFilter<OptionUniverse> QuantConnect.Securities.Option.Option.ContractFilter

getset

Gets or sets the contract filter

Definition at line 455 of file Option.cs.

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

Common/Securities/Option/Option.cs

Public Member Functions

Public Attributes

Static Public Attributes

Protected Member Functions

Properties

Detailed Description

Constructor & Destructor Documentation

◆ Option() [1/3]

◆ Option() [2/3]

◆ Option() [3/3]

Member Function Documentation

◆ GetAggregateExerciseAmount()

◆ GetExerciseQuantity() [1/2]

◆ GetExerciseQuantity() [2/2]

◆ IsAutoExercised()

◆ GetIntrinsicValue()

◆ GetPayOff()

◆ OutOfTheMoneyAmount()

◆ EvaluatePriceModel()

◆ SetOptionAssignmentModel() [1/2]

◆ SetOptionAssignmentModel() [2/2]

◆ SetOptionExerciseModel() [1/2]

◆ SetOptionExerciseModel() [2/2]

◆ SetFilter() [1/6]

◆ SetFilter() [2/6]

◆ SetFilter() [3/6]

◆ SetFilter() [4/6]

◆ SetFilter() [5/6]

◆ SetFilter() [6/6]

◆ SetDataNormalizationMode()

Member Data Documentation

◆ DefaultSettlementDays

◆ DefaultSettlementTime

◆ IsOptionChain

◆ IsOptionContract

◆ StrikePrice

◆ Expiry

◆ Right

◆ Style

◆ BidPrice

◆ AskPrice

Property Documentation

◆ ScaledStrikePrice

◆ ContractUnitOfTrade

◆ ContractMultiplier

◆ ExerciseSettlement

◆ Underlying

◆ PriceModel

◆ OptionExerciseModel

◆ OptionAssignmentModel

◆ EnableGreekApproximation

◆ ContractFilter