Contents
Index Options
Requesting Data
Introduction
Request Index Options data in your algorithm to receive a feed of contract prices in the OnData
method. For more information about the specific dataset we use for backtests, see the US Index Options dataset listing.
Create Subscriptions
Before you can subscribe to an Index Option contract, you must configure the underlying Index and get the contract Symbol
.
Configure the Underlying Index
If you want to subscribe to the underlying Index in the Initialize
method, set the underlying volatility model of the Index and warm it up.
var index = AddIndex("SPX"); index.VolatilityModel = new StandardDeviationOfReturnsVolatilityModel(30); _symbol = index.Symbol; SetWarmup(30, Resolution.Daily);
index = self.AddIndex("SPX") index.VolatilityModel = StandardDeviationOfReturnsVolatilityModel(30) self.symbol = index.Symbol self.SetWarmup(30, Resolution.Daily)
If you trade Options for many Indices in your algorithm, add this logic to a security initializer.
// In Initialize var seeder = SecuritySeeder.Null; SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, seeder, this)); class MySecurityInitializer : BrokerageModelSecurityInitializer { private QCAlgorithm _algorithm; public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, QCAlgorithm algorithm) : base(brokerageModel, securitySeeder) { _algorithm = algorithm; } public override void Initialize(Security security) { // First, call the superclass definition // This method sets the reality models of each security using the default reality models of the brokerage model base.Initialize(security); // Next, set and warm up the volatility model if (security.Type == SecurityType.Index) { security.VolatilityModel = new StandardDeviationOfReturnsVolatilityModel(30); foreach (var tradeBar in _algorithm.History(security.Symbol, 30, Resolution.Daily)) { security.VolatilityModel.Update(security, tradeBar); } } } }
# In Initialize seeder = SecuritySeeder.Null self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, seeder, self)) class MySecurityInitializer(BrokerageModelSecurityInitializer): def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder, algorithm: QCAlgorithm) -> None: super().__init__(brokerage_model, security_seeder) self.algorithm = algorithm def Initialize(self, security: Security) -> None: # First, call the superclass definition # This method sets the reality models of each security using the default reality models of the brokerage model super().Initialize(security) # Next, set and warm up the volatility model if security.Type == SecurityType.Index: security.VolatilityModel = StandardDeviationOfReturnsVolatilityModel(30) trade_bars = self.algorithm.History[TradeBar](security.Symbol, 30, Resolution.Daily) for trade_bar in trade_bars: security.VolatilityModel.Update(security, trade_bar)
Get Contract Symbols
To get Index Option contract Symbol
objects, call the CreateOption
method or use the OptionChainProvider
. If you use the CreateOption
method, you need to know the specific contract details.
_symbol = QuantConnect.Symbol.Create("SPX", SecurityType.Index, Market.USA); _contractSymbol = QuantConnect.Symbol.CreateOption(_symbol, Market.USA, OptionStyle.European, OptionRight.Call, 3650, new DateTime(2022, 6, 17));
self.symbol = Symbol.Create("SPX", SecurityType.Index, Market.USA) self.contract_symbol = Symbol.CreateOption(self.symbol, Market.USA, OptionStyle.European, OptionRight.Call, 3650, datetime(2022, 6, 17))
Another way to get an Index Option contract Symbol
is to use the OptionChainProvider
. The GetOptionContractList
method of OptionChainProvider
returns a list of Symbol
objects that reference the available Option contracts for a given underlying Index on a given date.
var contractSymbols = OptionChainProvider.GetOptionContractList(_symbol, Time); var expiry = contractSymbols.Select(symbol => symbol.ID.Date).Min(); var filteredSymbols = contractSymbols.Where(symbol => symbol.ID.Date == expiry && symbol.ID.OptionRight == OptionRight.Call); _contractSymbol = filteredSymbols.OrderByDescending(symbol => symbol.ID.StrikePrice).Last();
contract_symbols = self.OptionChainProvider.GetOptionContractList(self.symbol, self.Time) expiry = min([symbol.ID.Date for symbol in contract_symbols]) filtered_symbols = [symbol for symbol in contract_symbols if symbol.ID.Date == expiry and symbol.ID.OptionRight == OptionRight.Call] self.contract_symbol = sorted(filtered_symbols, key=lambda symbol: symbol.ID.StrikePrice)[0]
The OptionRight
enumeration has the following members:
Subscribe to Contracts
To create an Index Option contract subscription, pass the contract Symbol
to the AddIndexOptionContract
method. Save a reference to the contract Symbol
so you can easily access the contract in the OptionChain that LEAN passes to the OnData
method. To set the price model of the Option, set its PriceModel
property.
var option = AddIndexOptionContract(_contractSymbol); option.PriceModel = OptionPriceModels.BlackScholes();
option = self.AddIndexOptionContract(self.contract_symbol) option.PriceModel = OptionPriceModels.BlackScholes()
The AddIndexOptionContract
method creates a subscription for a single Index Option contract and adds it to your user-defined universe. To create a dynamic universe of Index Option contracts, add an Index Option universe.
Warm Up Contract Prices
If you subscribe to an Index Option contract with AddIndexOptionContract
, you'll need to wait until the next Slice
to receive data and trade the contract. To trade the contract in the same time step you subscribe to the contract, set the current price of the contract in a security initializer.
var seeder = new FuncSecuritySeeder(GetLastKnownPrices); SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, seeder, this));
seeder = FuncSecuritySeeder(self.GetLastKnownPrices) self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, seeder, self))
Supported Assets
To view the supported assets in the US Index Options dataset, see the Supported Indices.
Resolutions
The following table shows the available resolutions and data formats for Index Option contract subscriptions:
Resolution | TradeBar | QuoteBar | Trade Tick | Quote Tick |
---|---|---|---|---|
Tick | ||||
Second | ||||
Minute | ![]() | ![]() | ||
Hour | ![]() | ![]() | ||
Daily | ![]() | ![]() |
The default resolution for Index Option subscriptions is Resolution.Minute
. To change the resolution, pass a resolution
argument to the AddIndexOptionContract
method.
AddIndexOptionContract(_contractSymbol, Resolution.Hour);
self.AddIndexOptionContract(self.contract_symbol, Resolution.Hour)
To create custom resolution periods, see Consolidating Data.
Remove Subscriptions
To remove a contract subscription that you created with AddIndexOptionContract
, call the RemoveOptionContract
method. This method is an alias for RemoveSecurity
.
RemoveOptionContract(_contractSymbol);
self.RemoveOptionContract(self.contract_symbol)
The RemoveOptionContract
method cancels your open orders for the contract and liquidates your holdings.