Asset Classes

public class FutureOptionsTradeBarHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        // Add a FOP universe.
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(universe => universe.FrontMonth());
        AddFutureOption(future.Symbol, universe => universe.FrontMonth().Strikes(-1, 0).CallsOnly());
    }

    // Get trailing data whenever a new FOP contract enters the universe.
    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            if (security.Type == SecurityType.FutureOption)
            {
                // Get the 3 trailing daily TradeBar objects of the security. 
                var history = History<TradeBar>(security.Symbol, 3, Resolution.Daily);
                // Iterate through each TradeBar and calculate its dollar volume.
                foreach (var bar in history)
                {
                    var t = bar.EndTime;
                    var dollarVolume = bar.Close * bar.Volume;
                }
            }
        }
    }
}

class FutureOptionsTradeBarHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        # Add a FOP universe.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(lambda universe: universe.front_month())
        self.add_future_option(future.symbol, lambda universe: universe.front_month().strikes(-1, 0).calls_only())

    # Get trailing data whenever a new FOP contract enters the universe.
    def on_securities_changed(self, changes):
        for security in changes.added_securities:
            if security.type == SecurityType.FUTURE_OPTION:
                # Get the 3 trailing daily TradeBar objects of the security in DataFrame format. 
                history = self.history(TradeBar, security.symbol, 3, Resolution.DAILY)

public class FutureOptionsQuoteBarHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        // Add a FOP universe.
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(universe => universe.FrontMonth());
        AddFutureOption(future.Symbol, universe => universe.FrontMonth().Strikes(-1, 0).CallsOnly());
    }

    // Get trailing data whenever a new FOP contract enters the universe.
    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            if (security.Type == SecurityType.FutureOption)
            {
                // Get the 3 trailing daily QuoteBar objects of the security. 
                var history = History<QuoteBar>(security.Symbol, 3, Resolution.Daily);
                // Iterate through the QuoteBar objects and calculate the spread.
                foreach (var bar in history)
                {
                    var t = bar.EndTime;
                    var spread = bar.Ask.Close - bar.Bid.Close;
                }
            }
        }
    }
}

class FutureOptionsQuoteBarHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        # Add a FOP universe.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(lambda universe: universe.front_month())
        self.add_future_option(future.symbol, lambda universe: universe.front_month().strikes(-1, 0).calls_only())

    # Get trailing data whenever a new FOP contract enters the universe.
    def on_securities_changed(self, changes):
        for security in changes.added_securities:
            if security.type == SecurityType.FUTURE_OPTION:
                # Get the 3 trailing daily QuoteBar objects of the security in DataFrame format. 
                history = self.history(QuoteBar, security.symbol, 3, Resolution.DAILY)

public class SliceHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        // Add some securities and datasets.
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(universe => universe.FrontMonth());
        AddFutureOption(future.Symbol, universe => universe.FrontMonth().Strikes(-1, 0).CallsOnly());
        // Add a Scheduled Event that runs at the start of each month.
        Schedule.On(DateRules.MonthStart(future.Symbol), TimeRules.AfterMarketOpen(future.Symbol, 60), Trade);
    }

    public void Trade()
    {
        // Get the historical Slice objects over the last 30 minutes for all the subcriptions in your algorithm.
        var history = History(30, Resolution.Minute);
        // Iterate through each historical Slice.
        foreach (var slice in history)
        {
            // Iterate through each TradeBar in this Slice.
            foreach (var kvp in slice.Bars)
            {
                var symbol = kvp.Key;
                var bar = kvp.Value;
            }
        }
    }
}

class SliceHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        # Add some securities and datasets.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(lambda universe: universe.front_month())
        self.add_future_option(future.symbol, lambda universe: universe.front_month().strikes(-1, 0).calls_only())
        # Add a Scheduled Event that runs at the start of each month.
        self.schedule.on(self.date_rules.month_start(future.symbol), self.time_rules.after_market_open(future.symbol, 60), self._trade)

    def _trade(self):
        # Get the historical Slice objects over the last 30 minutes for all the subcriptions in your algorithm.
        for slice_ in self.history(30, Resolution.MINUTE):
            # Iterate through each TradeBar in this Slice.
            for symbol, trade_bar in slice_.bars.items():
                close = trade_bar.close

public class FutureOptionIndicatorHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        // Add a FOP universe.
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(universe => universe.FrontMonth());
        AddFutureOption(future.Symbol, universe => universe.FrontMonth().Strikes(0, 0).CallsOnly());
    }

    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            if (security.Type != SecurityType.FutureOption)
            {
                continue;
            }
            // Get the 21-day SMA values of the contract for the last 5 trading days. 
            var history = IndicatorHistory(new SimpleMovingAverage(21), security.Symbol, 5, Resolution.Daily);
            // Get the maximum of the SMA values.
            var maxSMA = history.Max(indicatorDataPoint => indicatorDataPoint.Current.Value);
        }
    }
}

class FutureOptionIndicatorHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        # Add a FOP universe.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(lambda universe: universe.front_month())
        self.add_future_option(future.symbol, lambda universe: universe.front_month().strikes(0, 0).calls_only())

    def on_securities_changed(self, changes):
        for security in changes.added_securities:
            if security.type != SecurityType.FUTURE_OPTION:
                continue
            # Get the 21-day SMA values of the contract for the last 5 trading days. 
            history = self.indicator_history(SimpleMovingAverage(21), security.symbol, 5, Resolution.DAILY)

// Get the historical values of an indicator over the last 30 days, applying the indicator to the contract's volume.
var history = IndicatorHistory(indicator, symbol, TimeSpan.FromDays(30), selector: Field.Volume);

# Get the historical values of an indicator over the last 30 days, applying the indicator to the contract's volume.
history = self.indicator_history(indicator, symbol, timedelta(30), selector=Field.VOLUME)

public class FutureOptionMultiAssetIndicatorHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        // Add a FOP universe.
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(universe => universe.FrontMonth());
        AddFutureOption(future.Symbol, universe => universe.FrontMonth().Strikes(0, 0).CallsOnly());
    }

    public override void OnSecuritiesChanged(SecurityChanges changes)
    {
        foreach (var security in changes.AddedSecurities)
        {
            if (security.Type != SecurityType.FutureOption)
            {
                continue;
            }
            var option = security.Symbol;
            // Get the Symbol of the mirror contract.
            var mirror = QuantConnect.Symbol.CreateOption(
                option.Underlying, option.ID.Market, option.ID.OptionStyle,
                option.ID.OptionRight == OptionRight.Put ? OptionRight.Call : OptionRight.Put,
                option.ID.StrikePrice, option.ID.Date
            );
            // Create the indicator.
            var indicator = new ImpliedVolatility(option, RiskFreeInterestRateModel, new ConstantDividendYieldModel(0), mirror, OptionPricingModelType.ForwardTree);
            // Get the historical values of the indicator over the last 10 trading minutes.
            var history = IndicatorHistory(indicator, new[] {option.Underlying, option, mirror}, 10, Resolution.Minute);
            // Get the average IV value.
            var avgIV = history.Average(indicatorDataPoint => indicatorDataPoint.Current.Value);
        }
    }
}

class FutureOptionMultiAssetIndicatorHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        # Add a FOP universe.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(lambda universe: universe.front_month())
        self.add_future_option(future.symbol, lambda universe: universe.front_month().strikes(0, 0).calls_only())

    def on_securities_changed(self, changes):
        for security in changes.added_securities:
            if security.type != SecurityType.FUTURE_OPTION:
                continue           
            option = security.symbol
            # Get the Symbol of the mirror contract.
            mirror = Symbol.create_option(
                option.underlying, option.id.market, option.id.option_style, 
                OptionRight.Call if option.id.option_right == OptionRight.PUT else OptionRight.PUT,
                option.id.strike_price, option.id.date
            )
            # Create the indicator.
            indicator = ImpliedVolatility(
                option, self.risk_free_interest_rate_model, ConstantDividendYieldModel(0),
                mirror, OptionPricingModelType.FORWARD_TREE
            )
            # Get the historical values of the indicator over the last 10 minutes.
            history = self.indicator_history(indicator, [option.underlying, option, mirror], 10, Resolution.MINUTE)
            # Get the average IV value.
            iv_avg = history.data_frame.current.mean()

public class FutureOptionsTradingAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 1, 1);
        SetEndDate(2024, 12, 31); 
        SetCash(100000);
        SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));

        // Request ES option data for trading and signal generation.
        var future = AddFuture(Futures.Indices.SP500EMini);
        future.SetFilter(universe => universe.FrontMonth());
        // We are interested in ATM front-month options since they are the most popular.
        AddFutureOption(future.Symbol, universe => universe.Expiration(0, 90).Strikes(-3, 3));

        // Schedule event to enter and exit option contract position.
        Schedule.On(DateRules.EveryDay(future.Symbol), TimeRules.AfterMarketOpen(future.Symbol, 16), TradeOption);
        Schedule.On(DateRules.EveryDay(future.Symbol), TimeRules.BeforeMarketClose(future.Symbol, 15), () => Liquidate());
    }

    public void TradeOption()
    {
        // Get the option chain to trade.
        foreach (var chain in CurrentSlice.OptionChains.Values)
        {
            foreach (var option in chain)
            {
                // Request historical quote data for signal generation.
                var history = History<QuoteBar>(option.Symbol, 15, Resolution.Minute);
                // Calculate the total bid and ask for dollar volume to determine the capital directional force.
                var totalBidVolume = 0m;
                var totalAskVolume = 0m;
                foreach (var bar in history)
                {
                    if (bar.Bid != null)
                    {
                        totalBidVolume += bar.Bid.Close * bar.LastBidSize;
                    }
                    if (bar.Ask != null)
                    {
                        totalAskVolume += bar.Ask.Close * bar.LastAskSize;
                    }
                }

                // Follow the capital flow to trade.
                if (totalBidVolume > totalAskVolume)
                {
                    MarketOrder(option.Symbol, 1);
                }
                else
                {
                    MarketOrder(option.Symbol, -1);
                }
            }
        }
    }
}

class FutureOptionsTradingAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        self.set_start_date(2024, 1, 1)
        self.set_end_date(2024, 12, 31)  # Limit to a single day for 0DTE
        self.set_cash(100000)  # Starting cash

        # Request ES option data for trading and signal generation.
        future = self.add_future(Futures.Indices.SP_500_E_MINI)
        future.set_filter(lambda universe: universe.front_month())
        # We are interested in ATM front-month options since they are the most popular.
        self.add_future_option(future.symbol, lambda u: u.expiration(0, 90).strikes(-3, 3))
        
        # Schedule event to enter and exit option contract position.
        self.schedule.on(self.date_rules.every_day(future.symbol), self.time_rules.after_market_open(future.symbol, 16), self.trade_option)
        self.schedule.on(self.date_rules.every_day(future.symbol), self.time_rules.before_market_close(future.symbol, 15), self.liquidate)

    def trade_option(self) -> None:
        # Get the option chain to trade.
        for option_chain in self.current_slice.option_chains.values():
            for option in option_chain:
                # Request historical quote data for signal generation.
                history = self.history(QuoteBar, option.symbol, 15, Resolution.Minute)
                if not history.empty:
                    # Calculate the total bid and ask for dollar volume to determine the capital directional force.
                    total_bid_volume = 0
                    total_ask_volume = 0
                    if 'bidclose' in history:
                        total_bid_volume += (history['bidclose'] * history['bidsize']).sum()
                    if 'askclose' in history:
                        total_ask_volume += (history['askclose'] * history['asksize']).sum()

                    # Follow the capital flow to trade.
                    if total_bid_volume > total_ask_volume:
                        self.market_order(option.symbol, 1)
                    else:
                        self.market_order(option.symbol, -1)