Asset Classes

public class IndexOptionTradeBarHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var index = AddIndex("SPX");
        var symbol = OptionChain(index.Symbol).OrderBy(c => c.OpenInterest).Last().Symbol;
        // Get the 5 trailing daily TradeBar objects of the security. 
        var history = History<TradeBar>(symbol, 5, 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 IndexOptionTradeBarHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        index = self.add_index('SPX')
        symbol = sorted(self.option_chain(index.symbol), key=lambda c: c.open_interest)[-1].symbol
        # Get the 5 trailing daily TradeBar objects of the security in DataFrame format. 
        history = self.history(TradeBar, symbol, 5, Resolution.DAILY)

public class IndexOptionQuoteBarHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var index = AddIndex("SPX");
        var symbol = OptionChain(index.Symbol).OrderBy(c => c.OpenInterest).Last().Symbol;
        // Get the 5 trailing minute QuoteBar objects of the security. 
        var history = History<QuoteBar>(symbol, 5, Resolution.Minute);
        // 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 IndexOptionQuoteBarHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        index = self.add_index('SPX')
        symbol = sorted(self.option_chain(index.symbol), key=lambda c: c.open_interest)[-1].symbol
        # Get the 5 trailing minute QuoteBar objects of the security in DataFrame format. 
        history = self.history(QuoteBar, symbol, 5, Resolution.MINUTE)

public class SliceHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 1);
        SetEndDate(2024, 12, 31);
        // Add some securities and datasets.
        var index = AddIndex("SPX");
        var contract = OptionChain(index.Symbol).OrderBy(c => c.OpenInterest).Last();
        AddOptionContract(contract.Symbol);
        // Get the historical Slice objects over the last 5 days for all the subcriptions in your algorithm.
        var history = History(5, Resolution.Daily);
        // 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, 1)
        self.set_end_date(2024, 12, 31)
        # Add some securities and datasets.
        index = self.add_index('SPX')
        contract = sorted(self.option_chain(index.symbol), key=lambda c: c.open_interest)[-1]
        self.add_option_contract(contract.symbol)
        # Get the historical Slice objects over the last 5 days for all the subcriptions in your algorithm.
        history = self.history(5, Resolution.DAILY)
        # Iterate through each historical Slice.
        for slice_ in history:
            # Iterate through each TradeBar in this Slice.
            for symbol, trade_bar in slice_.bars.items():
                close = trade_bar.close

public class IndexOptionOpenInterestHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of a security.
        var index = AddIndex("SPX");
        var symbol = OptionChain(index.Symbol).OrderBy(c => c.OpenInterest).Last().Symbol;
        // Get the 5 trailing daily OpenInterest objects of the security. 
        var history = History<OpenInterest>(symbol, 5, Resolution.Daily);
        // Iterate through each OpenInterest and get it's value.
        foreach (var oi in history)
        {
            var t = oi.EndTime;
            var openInterest = oi.Value;
        }
    }
}

class IndexOptionOpenInterestHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of a security.
        index = self.add_index('SPX')
        symbol = sorted(self.option_chain(index.symbol), key=lambda c: c.open_interest)[-1].symbol
        # Get the 5 trailing daily OpenInterest objects of the security in DataFrame format. 
        history = self.history(OpenInterest, symbol, 5, Resolution.DAILY)

public class IndexOptionDailyOptionChainHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 23);
        SetEndDate(2024, 12, 31);
        // Add an Index Option universe.
        var option = AddIndexOption("SPX");
        // Get the trailing 5 daily Option chains.
        var history = History<OptionUniverse>(option.Symbol, 5);
        // Iterate through each day of the history.
        foreach (var optionUniverse in history)
        {
            var t = optionUniverse.EndTime;
            // Select the 2 contracts with the most volume.
            var mostTraded = optionUniverse.Select(c => c as OptionUniverse).OrderByDescending(c => c.Volume).Take(2);
        }
    }
}

class IndexOptionDailyOptionChainHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 23)
        self.set_end_date(2024, 12, 31)
        # Add an Index Option universe.
        option = self.add_index_option('SPX')
        # Get the trailing 5 daily Option chains in DataFrame format.
        history = self.history(option.symbol, 5, flatten=True)

public class IndexOptionIndicatorHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of the Option contract.
        var underlying = AddIndex("SPX").Symbol;
        var symbol = OptionChain(underlying).OrderBy(c => c.OpenInterest).Last().Symbol;
        // Get the 21-day SMA values of the contract for the last 5 trading days. 
        var history = IndicatorHistory(new SimpleMovingAverage(21), symbol, 5, Resolution.Daily);
        // Get the maximum of the SMA values.
        var maxSMA = history.Max(indicatorDataPoint => indicatorDataPoint.Current.Value);
    }
}

class IndexOptionIndicatorHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of the Option contract.
        underlying = self.add_index('SPX').symbol
        symbol = sorted(self.option_chain(underlying), key=lambda c: c.open_interest)[-1].symbol
        # Get the 21-day SMA values of the contract for the last 5 trading days. 
        history = self.indicator_history(SimpleMovingAverage(21), symbol, 5, Resolution.DAILY)

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

public class IndexOptionMultiAssetIndicatorHistoryAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        SetStartDate(2024, 12, 19);
        SetEndDate(2024, 12, 31);
        // Get the Symbol of the underlying asset.
        var underlying = AddIndex("SPX").Symbol;
        // Get the Option contract Symbol.
        var option = OptionChain(underlying).OrderBy(c => c.OpenInterest).Last().Symbol;
        // Get the Symbol of the mirror contract.
        var mirror = QuantConnect.Symbol.CreateOption(
            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 DividendYieldProvider(underlying), mirror, OptionPricingModelType.ForwardTree);
        // Get the historical values of the indicator over the last 60 trading minutes.
        var history = IndicatorHistory(indicator, new[] {underlying, option, mirror}, 60, Resolution.Minute);
        // Get the average IV value.
        var avgIV = history.Average(indicatorDataPoint => indicatorDataPoint.Current.Value);
    }
}

class IndexOptionMultiAssetIndicatorHistoryAlgorithm(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2024, 12, 19)
        self.set_end_date(2024, 12, 31)
        # Get the Symbol of the underlying asset.
        underlying = self.add_index('SPX').symbol
        # Get the Option contract Symbol.
        option = sorted(self.option_chain(underlying), key=lambda c: c.open_interest)[-1].symbol
        # Get the Symbol of the mirror contract.
        mirror = Symbol.create_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, DividendYieldProvider(underlying),
            mirror, OptionPricingModelType.FORWARD_TREE
        )
        # Get the historical values of the indicator over the last 60 trading minutes.
        history = self.indicator_history(indicator, [underlying, option, mirror], 60, Resolution.MINUTE)
        # Get the average IV value.
        iv_avg = history.data_frame.current.mean()