Datasets

Equity Options

Introduction

This page explains how to request, manipulate, and visualize historical Equity Options data.

Prerequisites

Working knowledge of C#.

Working knowedge of Python and pandas. If you are not familiar with pandas, see the pandas documentation.

Create Subscriptions

Follow these steps to subscribe to an Equity Option security:

  1. Load the required assembly files and data types.
  2. #load "../Initialize.csx"
    #load "../QuantConnect.csx"
    
    using QuantConnect;
    using QuantConnect.Data;
    using QuantConnect.Data.Market;
    using QuantConnect.Algorithm;
    using QuantConnect.Securities;
    using QuantConnect.Securities.Option;
    using QuantConnect.Research;
  3. Create a QuantBook.
  4. var qb = new QuantBook();
    qb = QuantBook()
  5. Subscribe to the underlying Equity with raw data normalization and save a reference to the Equity Symbol.
  6. var equitySymbol = qb.AddEquity("SPY", dataNormalizationMode: DataNormalizationMode.Raw).Symbol;
    equity_symbol = qb.AddEquity("SPY", dataNormalizationMode=DataNormalizationMode.Raw).Symbol

    To view the supported underlying assets in the US Equity Options dataset, see the Data Explorer.

  7. Call the AddOption method with the underlying Equity Symbol.
  8. var option = qb.AddOption(equitySymbol);
    option = qb.AddOption(equity_symbol)
  9. (Optional) Set a contract filter.
  10. option.SetFilter(-1, 1, 0, 90);
    option.SetFilter(-1, 1, 0, 90)

    The filter determines which contracts the GetOptionHistory method returns. If you don't set a filter, the default filter selects the contracts that have the following characteristics:

    • Standard type (exclude weeklys)
    • Within 1 strike price of the underlying asset price
    • Expire within 31 days
  11. (Optional) Set the price model.
  12. option.PriceModel = OptionPriceModels.BjerksundStensland();
    option.PriceModel = OptionPriceModels.BjerksundStensland()

If you want historical data on individual contracts and their OpenInterest, follow these steps to subscribe to the individual Equity Option contracts:

  1. Call the GetOptionsContractList method with the underlying Equity Symbol and a datetimeDateTime.
  2. var startDate = new DateTime(2021, 12, 31);
    var contractSymbols = qb.OptionChainProvider.GetOptionContractList(equitySymbol, startDate);
    start_date = datetime(2021, 12, 31)
    contract_symbols = qb.OptionChainProvider.GetOptionContractList(equity_symbol, start_date)

    This method returns a list of Symbol objects that reference the Option contracts that were trading at the given time.

  3. Select the Symbol of the OptionContract object(s) for which you want to get historical data.
  4. To filter and select contracts, you can use the following properties of each Symbol object:

    PropertyDescription
    ID.DateThe expiration date of the contract.
    ID.StrikePriceThe strike price of the contract.
    ID.OptionRight The contract type. The OptionRight enumeration has the following members:
    ID.OptionStyle The contract style. The OptionStyle enumeration has the following members:
    var contractSymbol = contractSymbols.Where(s => 
        s.ID.OptionRight == OptionRight.Call &&
        s.ID.StrikePrice == 477 &&
        s.ID.Date == new DateTime(2022, 1, 21)).First();
    contract_symbol = [s for s in contract_symbols 
        if s.ID.OptionRight == OptionRight.Call 
            and s.ID.StrikePrice == 477 
            and s.ID.Date == datetime(2022, 1, 21)][0]
  5. Call the AddOptionContract method with an OptionContract Symbol and disable fill-forward.
  6. var optionContract = qb.AddOptionContract(contractSymbol, fillDataForward: false);
    option_contract = qb.AddOptionContract(contract_symbol, fillDataForward = False)

    Disable fill-forward because there are only a few OpenInterest data points per day.

  7. (Optional) Set the price model.
  8. optionContract.PriceModel = OptionPriceModels.BjerksundStensland();
    option_contract.PriceModel = OptionPriceModels.BjerksundStensland()

Get Historical Data

You need a subscription before you can request historical data for Equity Option contracts. On the time dimension, you can request an amount of historical data based on a trailing number of bars, a trailing period of time, or a defined period of time. On the contract dimension, you can request historical data for a single contract, a subset of the contracts you created subscriptions for in your notebook, or all of the contracts in your notebook.

Before you request historical data, call the SetStartDate method with a datetimeDateTime to reduce the risk of look-ahead bias.

qb.SetStartDate(startDate);
qb.SetStartDate(start_date)

If you call the SetStartDate method, the date that you pass to the method is the latest date for which your history requests will return data.

Trailing Number of Bars

To get historical data for a number of trailing bars, call the History method with the contract Symbol object(s) and an integer.

// Slice objects
var singleHistorySlice = qb.History(contractSymbol, 10);
var subsetHistorySlice = qb.History(new[] {contractSymbol}, 10);
var allHistorySlice = qb.History(10);

// TradeBar objects
var singleHistoryTradeBars = qb.History<TradeBar>(contractSymbol, 10);
var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {contractSymbol}, 10);
var allHistoryTradeBars = qb.History<TradeBar>(qb.Securities.Keys, 10);

// QuoteBar objects
var singleHistoryQuoteBars = qb.History<QuoteBar>(contractSymbol, 10);
var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {contractSymbol}, 10);
var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, 10);

// OpenInterest objects
var singleHistoryOpenInterest = qb.History<OpenInterest>(contractSymbol, 400);
var subsetHistoryOpenInterest = qb.History<OpenInterest>(new[] {contractSymbol}, 400);
var allHistoryOpenInterest = qb.History<OpenInterest>(qb.Securities.Keys, 400);
# DataFrame of trade and quote data
single_history_df = qb.History(contract_symbol, 10)
subset_history_df = qb.History([contract_symbol], 10)
all_history_df = qb.History(qb.Securities.Keys, 10)

# DataFrame of trade data
single_history_trade_bar_df = qb.History(TradeBar, contract_symbol, 10)
subset_history_trade_bar_df = qb.History(TradeBar, [contract_symbol], 10)
all_history_trade_bar_df = qb.History(TradeBar, qb.Securities.Keys, 10)

# DataFrame of quote data
single_history_quote_bar_df = qb.History(QuoteBar, contract_symbol, 10)
subset_history_quote_bar_df = qb.History(QuoteBar, [contract_symbol], 10)
all_history_quote_bar_df = qb.History(QuoteBar, qb.Securities.Keys, 10)

# DataFrame of open interest data
single_history_open_interest_df = qb.History(OpenInterest, contract_symbol, 400)
subset_history_open_interest_df = qb.History(OpenInterest, [contract_symbol], 400)
all_history_open_interest_df = qb.History(OpenInterest, qb.Securities.Keys, 400)

# Slice objects
all_history_slice = qb.History(10)

# TradeBar objects
single_history_trade_bars = qb.History[TradeBar](contract_symbol, 10)
subset_history_trade_bars = qb.History[TradeBar]([contract_symbol], 10)
all_history_trade_bars = qb.History[TradeBar](qb.Securities.Keys, 10)

# QuoteBar objects
single_history_quote_bars = qb.History[QuoteBar](contract_symbol, 10)
subset_history_quote_bars = qb.History[QuoteBar]([contract_symbol], 10)
all_history_quote_bars = qb.History[QuoteBar](qb.Securities.Keys, 10)

# OpenInterest objects
single_history_open_interest = qb.History[OpenInterest](contract_symbol, 400)
subset_history_open_interest = qb.History[OpenInterest]([contract_symbol], 400)
all_history_open_interest = qb.History[OpenInterest](qb.Securities.Keys, 400)

The preceding calls return the most recent bars, excluding periods of time when the exchange was closed.

Trailing Period of Time

To get historical data for a trailing period of time, call the History method with the contract Symbol object(s) and a TimeSpantimedelta.

// Slice objects
var singleHistorySlice = qb.History(contractSymbol, TimeSpan.FromDays(3));
var subsetHistorySlice = qb.History(new[] {contractSymbol}, TimeSpan.FromDays(3));
var allHistorySlice = qb.History(10);

// TradeBar objects
var singleHistoryTradeBars = qb.History<TradeBar>(contractSymbol, TimeSpan.FromDays(3));
var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {contractSymbol}, TimeSpan.FromDays(3));
var allHistoryTradeBars = qb.History<TradeBar>(TimeSpan.FromDays(3));

// QuoteBar objects
var singleHistoryQuoteBars = qb.History<QuoteBar>(contractSymbol, TimeSpan.FromDays(3), Resolution.Minute);
var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {contractSymbol}, TimeSpan.FromDays(3), Resolution.Minute);
var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, TimeSpan.FromDays(3), Resolution.Minute);
    
// OpenInterest objects
var singleHistoryOpenInterest = qb.History<OpenInterest>(contractSymbol, TimeSpan.FromDays(2));
var subsetHistoryOpenInterest = qb.History<OpenInterest>(new[] {contractSymbol}, TimeSpan.FromDays(2));
var allHistoryOpenInterest = qb.History<OpenInterest>(qb.Securities.Keys, TimeSpan.FromDays(2));
# DataFrame of trade and quote data
single_history_df = qb.History(contract_symbol, timedelta(days=3))
subset_history_df = qb.History([contract_symbol], timedelta(days=3))
all_history_df = qb.History(qb.Securities.Keys, timedelta(days=3))

# DataFrame of trade data
single_history_trade_bar_df = qb.History(TradeBar, contract_symbol, timedelta(days=3))
subset_history_trade_bar_df = qb.History(TradeBar, [contract_symbol], timedelta(days=3))
all_history_trade_bar_df = qb.History(TradeBar, qb.Securities.Keys, timedelta(days=3))

# DataFrame of quote data
single_history_quote_bar_df = qb.History(QuoteBar, contract_symbol, timedelta(days=3))
subset_history_quote_bar_df = qb.History(QuoteBar, [contract_symbol], timedelta(days=3))
all_history_quote_bar_df = qb.History(QuoteBar, qb.Securities.Keys, timedelta(days=3))

# DataFrame of open interest data
single_history_open_interest_df = qb.History(OpenInterest, contract_symbol, timedelta(days=3))
subset_history_open_interest_df = qb.History(OpenInterest, [contract_symbol], timedelta(days=3))
all_history_open_interest_df = qb.History(OpenInterest, qb.Securities.Keys, timedelta(days=3))

# Slice objects
all_history_slice = qb.History(timedelta(days=3))

# TradeBar objects
single_history_trade_bars = qb.History[TradeBar](contract_symbol, timedelta(days=3))
subset_history_trade_bars = qb.History[TradeBar]([contract_symbol], timedelta(days=3))
all_history_trade_bars = qb.History[TradeBar](qb.Securities.Keys, timedelta(days=3))

# QuoteBar objects
single_history_quote_bars = qb.History[QuoteBar](contract_symbol, timedelta(days=3), Resolution.Minute)
subset_history_quote_bars = qb.History[QuoteBar]([contract_symbol], timedelta(days=3), Resolution.Minute)
all_history_quote_bars = qb.History[QuoteBar](qb.Securities.Keys, timedelta(days=3), Resolution.Minute)

# OpenInterest objects
single_history_open_interest = qb.History[OpenInterest](contract_symbol, timedelta(days=2))
subset_history_open_interest = qb.History[OpenInterest]([contract_symbol], timedelta(days=2))
all_history_open_interest = qb.History[OpenInterest](qb.Securities.Keys, timedelta(days=2))

The preceding calls return the most recent bars, excluding periods of time when the exchange was closed.

Defined Period of Time

To get historical data for individual Equity Option contracts during a specific period of time, call the History method with the Equity Option contract Symbol object(s), a start DateTimedatetime, and an end DateTimedatetime. The start and end times you provide are based in the notebook time zone.

var startTime = new DateTime(2021, 12, 1);
var endTime = new DateTime(2021, 12, 31);

// Slice objects
var singleHistorySlice = qb.History(contractSymbol, startTime, endTime);
var subsetHistorySlice = qb.History(new[] {contractSymbol}, startTime, endTime);
var allHistorySlice = qb.History(startTime, endTime);

// TradeBar objects
var singleHistoryTradeBars = qb.History<TradeBar>(contractSymbol, startTime, endTime);
var subsetHistoryTradeBars = qb.History<TradeBar>(new[] {contractSymbol}, startTime, endTime);
var allHistoryTradeBars = qb.History<TradeBar>(qb.Securities.Keys, startTime, endTime);

// QuoteBar objects
var singleHistoryQuoteBars = qb.History<QuoteBar>(contractSymbol, startTime, endTime, Resolution.Minute);
var subsetHistoryQuoteBars = qb.History<QuoteBar>(new[] {contractSymbol}, startTime, endTime, Resolution.Minute);
var allHistoryQuoteBars = qb.History<QuoteBar>(qb.Securities.Keys, startTime, endTime, Resolution.Minute);
    
// OpenInterest objects
var singleHistoryOpenInterest = qb.History<OpenInterest>(contractSymbol, startTime, endTime);
var subsetHistoryOpenInterest = qb.History<OpenInterest>(new[] {contractSymbol}, startTime, endTime);
var allHistoryOpenInterest = qb.History<OpenInterest>(qb.Securities.Keys, startTime, endTime);
start_time = datetime(2021, 12, 1)
end_time = datetime(2021, 12, 31)

# DataFrame of trade and quote data
single_history_df = qb.History(contract_symbol, start_time, end_time)
subset_history_df = qb.History([contract_symbol], start_time, end_time)
all_history_df = qb.History(qb.Securities.Keys, start_time, end_time)

# DataFrame of trade data
single_history_trade_bar_df = qb.History(TradeBar, contract_symbol, start_time, end_time)
subset_history_trade_bar_df = qb.History(TradeBar, [contract_symbol], start_time, end_time)
all_history_trade_bar_df = qb.History(TradeBar, qb.Securities.Keys, start_time, end_time)

# DataFrame of quote data
single_history_quote_bar_df = qb.History(QuoteBar, contract_symbol, start_time, end_time)
subset_history_quote_bar_df = qb.History(QuoteBar, [contract_symbol], start_time, end_time)
all_history_quote_bar_df = qb.History(QuoteBar, qb.Securities.Keys, start_time, end_time)

# DataFrame of open interest data
single_history_open_interest_df = qb.History(OpenInterest, contract_symbol, start_time, end_time)
subset_history_open_interest_df = qb.History(OpenInterest, [contract_symbol], start_time, end_time)
all_history_trade_open_interest_df = qb.History(OpenInterest, qb.Securities.Keys, start_time, end_time)

# TradeBar objects
single_history_trade_bars = qb.History[TradeBar](contract_symbol, start_time, end_time)
subset_history_trade_bars = qb.History[TradeBar]([contract_symbol], start_time, end_time)
all_history_trade_bars = qb.History[TradeBar](qb.Securities.Keys, start_time, end_time)

# QuoteBar objects
single_history_quote_bars = qb.History[QuoteBar](contract_symbol, start_time, end_time, Resolution.Minute)
subset_history_quote_bars = qb.History[QuoteBar]([contract_symbol], start_time, end_time, Resolution.Minute)
all_history_quote_bars = qb.History[QuoteBar](qb.Securities.Keys, start_time, end_time, Resolution.Minute)
    
# OpenInterest objects
single_history_open_interest = qb.History[OpenInterest](contract_symbol, start_time, end_time)
subset_history_open_interest = qb.History[OpenInterest]([contract_symbol], start_time, end_time)
all_history_open_interest = qb.History[OpenInterest](qb.Securities.Keys, start_time, end_time)

To get historical data for all of the Equity Option contracts that pass your filter during a specific period of time, call the GetOptionHistory method with the underlying Equity Symbol object, a start DateTimedatetime, and an end DateTimedatetime.

option_history = qb.GetOptionHistory(equity_symbol, end_time-timedelta(days=2), end_time, Resolution.Minute, fillForward=False, extendedMarket=False)

The preceding calls return data that have a timestamp within the defined period of time.

Resolutions

The following table shows the available resolutions and data formats for Equity Option contract subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
Tick

Second

Minutegreen checkgreen check
Hourgreen checkgreen check
Dailygreen checkgreen check

Markets

LEAN groups all of the US Equity Option exchanges under Market.USA, so you don't need to pass a Market to the AddOption or AddOptionContract methods.

Wrangle Data

You need some historical data to perform wrangling operations. The process to manipulate the historical data depends on its data type. To display pandas objects, run a cell in a notebook with the pandas object as the last line. To display other data formats, call the print method.

You need some historical data to perform wrangling operations. Use LINQ to wrangle the data and then call the Console.WriteLine method in a Jupyter Notebook to display the data. The process to manipulate the historical data depends on its data type.

DataFrame Objects

If your history request returns a DataFrame, the DataFrame has the following index levels:

  1. Contract expiry
  2. Contract strike price
  3. Contract type (call or put)
  4. Contract Symbol
  5. The EndTime of the data sample

The columns of the DataFrame are the data properties. Depending on how you request data, the DataFrame may contain data for the underlying security, which causes some of the index levels to be an empty string for the corresponding rows.

To select the rows of the contract(s) that expire at a specific time, index the loc property of the DataFrame with the expiry time.

all_history_df.loc[datetime(2022, 1, 21)]

If you remove the first three index levels, you can index the DataFrame with just the contract Symbol, similiar to how you would with non-derivative asset classes. To remove the first three index levels, call the droplevel method.

all_history_df.index = all_history_df.index.droplevel([0,1,2])

To select the historical data of a single Equity Options contract, index the loc property of the DataFrame with the contract Symbol.

all_history_df.loc[contract_symbol]
DataFrame of one Equity Options

To select a column of the DataFrame, index it with the column name.

all_history_df.loc[contract_symbol]['close']
Series of close values

If you request historical data for multiple Equity Option contracts, you can transform the DataFrame so that it's a time series of close values for all of the Equity Option contracts. To transform the DataFrame, select the column you want to display for each Equity Option contract and then call the unstack method.

all_history_df['close'].unstack(level=0)

The DataFrame is transformed so that the column indices are the Symbol of each security and each row contains the close value.

Slice Objects

If the History method returns Slice objects, iterate through the Slice objects to get each one. The Slice objects may not have data for all of your Equity Options subscriptions. To avoid issues, check if the Slice contains data for your Equity Option contract before you index it with the Equity Options Symbol.

foreach (var slice in allHistorySlice)
{
    if (slice.Bars.ContainsKey(contractSymbol))
    {
        var tradeBar = slice.Bars[contractSymbol];
    }
    if (slice.QuoteBars.ContainsKey(contractSymbol))
    {
        var quoteBar = slice.QuoteBars[contractSymbol];
    }
}
for slice in all_history_slice:
    if slice.Bars.ContainsKey(contract_symbol):
        trade_bar = slice.Bars[contract_symbol]
    if slice.QuoteBars.ContainsKey(contract_symbol):
        quote_bar = slice.QuoteBars[contract_symbol]

You can also iterate through each TradeBar and QuoteBar in the Slice.

foreach (var slice in allHistorySlice)
{
    foreach (var kvp in slice.Bars)
    {
        var symbol = kvp.Key;
        var tradeBar = kvp.Value;
    }
    foreach (var kvp in slice.QuoteBars)
    {
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
    }
}
for slice in all_history_slice:
    for kvp in slice.Bars:
        symbol = kvp.Key
        trade_bar = kvp.Value
    for kvp in slice.QuoteBars:
        symbol = kvp.Key
        quote_bar = kvp.Value

You can also use LINQ to select each TradeBar in the Slice for a given Symbol

var tradeBars = allHistorySlice.Where(slice => slice.Bars.ContainsKey(contractSymbol)).Select(slice => slice.Bars[contractSymbol]);

TradeBar Objects

If the History method returns TradeBar objects, iterate through the TradeBar objects to get each one.

foreach (var tradeBar in singleHistoryTradeBars)
{
    Console.WriteLine(tradeBar);
}
for trade_bar in single_history_trade_bars:
    print(trade_bar)

If the History method returns TradeBars, iterate through the TradeBars to get the TradeBar of each Equity Option contract. The TradeBars may not have data for all of your Equity Options subscriptions. To avoid issues, check if the TradeBars object contains data for your security before you index it with the Equity Options Symbol.

foreach (var tradeBars in allHistoryTradeBars)
{
    if (tradeBars.ContainsKey(contractSymbol))
    {
        var tradeBar = tradeBars[contractSymbol];
    }
}
for trade_bars in all_history_trade_bars:
    if trade_bars.ContainsKey(contract_symbol):
        trade_bar = trade_bars[contract_symbol]

You can also iterate through each of the TradeBars.

foreach (var tradeBars in allHistoryTradeBars)
{
    foreach (var kvp in tradeBars)
    {
        var symbol = kvp.Key;
        var tradeBar = kvp.Value;
    }
}
for trade_bars in all_history_trade_bars:
    for kvp in trade_bars:
        symbol = kvp.Key
        trade_bar = kvp.Value

QuoteBar Objects

If the History method returns QuoteBar objects, iterate through the QuoteBar objects to get each one.

foreach (var quoteBar in singleHistoryQuoteBars)
{
    Console.WriteLine(quoteBar);
}
for quote_bar in single_history_quote_bars:
    print(quote_bar)

If the History method returns QuoteBars, iterate through the QuoteBars to get the QuoteBar of each Equity Option contract. The QuoteBars may not have data for all of your Equity Options subscriptions. To avoid issues, check if the QuoteBars object contains data for your security before you index it with the Equity Options Symbol.

foreach (var quoteBars in allHistoryQuoteBars)
{
    if (quoteBars.ContainsKey(contractSymbol))
    {
        var quoteBar = quoteBars[contractSymbol];
    }
}
for quote_bars in all_history_quote_bars:
    if quote_bars.ContainsKey(contract_symbol):
        quote_bar = quote_bars[contract_symbol]

You can also iterate through each of the QuoteBars.

foreach (var quoteBars in allHistoryQuoteBars)
{
    foreach (var kvp in quoteBars)
    {
        var symbol = kvp.Key;
        var quoteBar = kvp.Value;
    }
}
for quote_bars in all_history_quote_bars:
    for kvp in quote_bars:
        symbol = kvp.Key
        quote_bar = kvp.Value

OpenInterest Objects

If the History method returns OpenInterest objects, iterate through the OpenInterest objects to get each one.

foreach (var openInterest in singleHistoryOpenInterest)
{
    Console.WriteLine(openInterest);
}
for open_interest in single_history_open_interest:
    print(open_interest)

If the History method returns a dictionary of OpenInterest objects, iterate through the dictionary to get the OpenInterest of each Equity Option contract. The dictionary of OpenInterest objects may not have data for all of your Equity Options contract subscriptions. To avoid issues, check if the dictionary contains data for your contract before you index it with the Equity Options contract Symbol.

foreach (var openInterestDict in allHistoryOpenInterest)
{
    if (openInterestDict.ContainsKey(contractSymbol))
    {
        var openInterest = openInterestDict[contractSymbol];
    }
}
for open_interest_dict in all_history_open_interest:
    if open_interest_dict.ContainsKey(contract_symbol):
        open_interest = open_interest_dict[contract_symbol]

You can also iterate through each of the OpenInterest dictionaries.

foreach (var openInterestDict in allHistoryOpenInterest)
{
    foreach (var kvp in openInterestDict)
    {
        var symbol = kvp.Key;
        var openInterest = kvp.Value;
    }
}
for open_interest_dict in all_history_open_interest:
    for kvp in open_interest_dict:
        symbol = kvp.Key
        open_interest = kvp.Value

OptionHistory Objects

The GetOptionHistory method returns an OptionHistory object. To convert the OptionHistory object to a DataFrame that contains the trade and quote information of each contract and the underlying, call the GetAllData method.

option_history.GetAllData()

To get the expiration dates of all the contracts in an OptionHistory object, call the GetExpiryDates method.

option_history.GetExpiryDates()

To get the strike prices of all the contracts in an OptionHistory object, call the GetStrikes method.

option_history.GetStrikes()

Plot Data

Jupyter Notebooks don't currently support libraries to plot historical data, but we are working on adding the functionality. Until we add the functionality, use Python to plot historical Equity Options data.

You need some historical Equity Options data to produce plots. You can use many of the supported plotting libraries to visualize data in various formats. For example, you can plot candlestick and line charts.

Candlestick Chart

Follow these steps to plot candlestick charts:

  1. Get some historical data.
  2. history = qb.History(contract_symbol, datetime(2021, 12, 30), datetime(2021, 12, 31))
  3. Drop the first four index levels of the DataFrame that returns.
  4. history.index = history.index.droplevel([0,1,2,3])
  5. Import the plotly library.
  6. import plotly.graph_objects as go
  7. Create a Candlestick.
  8. candlestick = go.Candlestick(x=history.index,
                                 open=history['open'],
                                 high=history['high'],
                                 low=history['low'],
                                 close=history['close'])
  9. Create a Layout.
  10. layout = go.Layout(title=go.layout.Title(text=f'{symbol.Value} OHLC'),
                       xaxis_title='Date',
                       yaxis_title='Price',
                       xaxis_rangeslider_visible=False)
  11. Create a Figure.
  12. fig = go.Figure(data=[candlestick], layout=layout)
  13. Call the show method.
  14. fig.show()

    The Jupyter Notebook displays a candlestick chart of the Option contract's price.

Candlestick shart of a contract's price

Line Chart

Follow these steps to plot line charts using built-in methods:

  1. Get some historical data.
  2. history = qb.History(OpenInterest, contract_symbol, datetime(2021, 12, 1), datetime(2021, 12, 31))
  3. Drop the first three index levels of the DataFrame that returns.
  4. history.index = history.index.droplevel([0, 1, 2])
  5. Select the open interest data.
  6. history = history['openinterest'].unstack(level=0)
  7. Rename the column to the Symbol of the contract.
  8. history.columns = [
        Symbol.GetAlias(SecurityIdentifier.Parse(x), equity_symbol)
            for x in history.columns]
  9. Call the plot method with a title.
  10. history.plot(title="Open Interest")
  11. Call the show method.
  12. plt.show()

    The Jupyter Notebook displays a line chart of open interest data.

line chart of open interest

Price Models

Follow these steps to get the values of theoretical prices, implied volatility, and Greeks:

  1. Create subscriptions and set the price model.
  2. Set the underlying volatility model.
  3. qb.Securities[equity_symbol].VolatilityModel = StandardDeviationOfReturnsVolatilityModel(30, Resolution.Daily)

    You need to reset the volatility before you start calculating the theoretical prices, implied volatility, and Greeks.

  4. Get historical data for the underlying Equity and the Option contract(s).
  5. Iterate through the historical data and calculate the values.
  6. df = pd.DataFrame()
    for slice in history:
        underlying_price = None
        underlying_volatility = None
    
        # Update the security with QuoteBar information
        for bar in slice.QuoteBars.Values:
            qb.Securities[bar.Symbol].SetMarketPrice(bar)
    
        # Update the security with TradeBar information
        for bar in slice.Bars.Values:
            symbol = bar.Symbol
            security = qb.Securities[symbol]
            security.SetMarketPrice(bar)
    
            if security.Type == SecurityType.Equity:
                underlying_volatility = security.VolatilityModel.Volatility
                underlying_price = security.Price
                continue
            
            # Create the Option contract
            contract = OptionContract.Create(symbol, symbol.Underlying, bar.EndTime, security, underlying_price)
            contract.LastPrice = bar.Close
    
            # Evaluate the price model to get the IV, Greeks, and theoretical price
            result = security.PriceModel.Evaluate(security, None, contract)
            greeks = result.Greeks
            
            # Append the data to the DataFrame
            data = {
                "IV" : result.ImpliedVolatility,
                "Delta": greeks.Delta,
                "Gamma": greeks.Gamma,
                "Vega": greeks.Vega,
                "Rho": greeks.Rho,
                "Theta": greeks.Theta,
                "LastPrice": contract.LastPrice,
                "Close": security.Close,
                "theoreticalPrice" : result.TheoreticalPrice,
                "underlyingPrice": underlying_price,
                "underlyingVolatility": underlying_volatility
            }
            right = "Put" if symbol.ID.OptionRight == 1 else "Call"
            index = pd.MultiIndex.from_tuples([(symbol.ID.Date, symbol.ID.StrikePrice, right, symbol.Value, bar.EndTime)], names=["expiry", "strike", "type", "symbol", "endTime"])
            df = pd.concat([df, pd.DataFrame(data, index=index)])

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