Universes
Future Options
Introduction
A Future Option universe lets you select a basket of Option contracts on the contracts in a Futures universe.
Create Universes
To add a universe of Future Option contracts, in the Initialize method, define a Future universe and then pass the canonical Symbol to the AddFutureOption method.
var future = AddFuture(Futures.Metals.Gold); future.SetFilter(0, 90); AddFutureOption(future.Symbol);
future = self.AddFuture(Futures.Metals.Gold) future.SetFilter(0, 90) self.AddFutureOption(future.Symbol)
The following table describes the AddFutureOption method arguments:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
symbol | Symbol | The continuous Future contract Symbol. To view the supported assets in the US Future Options dataset, see Supported Assets. | |
optionFilter | Func<OptionFilterUniverse, OptionFilterUniverse>Callable[[OptionFilterUniverse], OptionFilterUniverse] | A function that selects Future Option contracts | nullNone |
To override the default pricing model of the Option, set a pricing model in a security initializer.
// In Initialize
var seeder = SecuritySeeder.Null;
SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, seeder, this));
// Outside of the algorithm class
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 the price model
if (security.Type == SecurityType.FutureOption) // Option type
{
security.PriceModel = OptionPriceModels.CrankNicolsonFD();
}
}
} # In Initialize
seeder = SecuritySeeder.Null
self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, seeder, self))
# Outside of the algorithm class
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 the price model
if security.Type == SecurityType.FutureOption: # Option type
security.PriceModel = OptionPriceModels.CrankNicolsonFD()
To override the initial guess of implied volatility, set and warm up the underlying volatility model.
Filter Contracts
By default, LEAN subscribes to the Option contracts that have the following characteristics:
- Standard type (exclude weeklys)
- Within 1 strike price of the underlying asset price
- Expire within 31 days
LEAN adds all of the Option contracts that meet the filter requirements to the Slice it passes to the OnData method. To adjust the universe of contracts, pass a filter function to the AddFutureOption method.
AddFutureOption(future.Symbol, optionFilterUniverse => optionFilterUniverse.Strikes(-1, 1));
self.AddFutureOption(future.Symbol, lambda option_filter_universe: option_filter_universe.Strikes(-1, 1))
The following table describes the filter methods of the OptionFilterUniverse class:
| Method | Description |
|---|---|
Strikes(int minStrike, int maxStrike)Strikes(minStrike: int, maxStrike: int) | Selects contracts that are within minStrike strikes below the underlying price and maxStrike strikes above the underlying price |
CallsOnly() | Selects call contracts |
PutsOnly() | Selects put contracts |
StandardsOnly() | Selects standard contracts |
IncludeWeeklys() | Selects non-standard weeklys contracts |
WeeklysOnly() | Selects weekly contracts |
FrontMonth() | Selects the front month contract |
BackMonths() | Selects the non-front month contracts |
BackMonth() | Selects the back month contracts |
Expiration(TimeSpan minExpiry, TimeSpan maxExpiry)Expiration(minExpiry: timedelta, maxExpiry: timedelta) | Selects contracts that expire within a range of dates relative to the current day |
Expiration(int minExpiryDays, int maxExpiryDays)Expiration(minExpiryDays: int, maxExpiryDays: int) | Selects contracts that expire within a range of dates relative to the current day |
Contracts(IEnumerable<Symbol> contracts)Contracts(contracts: List[Symbol]) | Selects a list of contracts |
Contracts(Func<IEnumerable<Symbol>, IEnumerable< Symbol>> contractSelector)Contracts(contractSelector: Callable[[List[Symbol]], List[Symbol]]) | Selects contracts that a selector function selects |
OnlyApplyFilterAtMarketOpen() | Instructs the engine to only filter contracts on the first time step of each market day |
The preceding methods return an OptionFilterUniverse, so you can chain the methods together.
AddFutureOption(future.Symbol, optionFilterUniverse => optionFilterUniverse.Strikes(-1, 1).CallsOnly());
self.AddFutureOption(future.Symbol, lambda option_filter_universe: option_filter_universe.Strikes(-1, 1).CallsOnly())
To perform thorough filtering on the OptionFilterUniverse, define an isolated filter method.
# In Initialize
AddFutureOption(future.Symbol, Selector);
private OptionFilterUniverse Selector(OptionFilterUniverse optionFilterUniverse)
{
var symbols = optionFilterUniverse.PutsOnly();
var strike = symbols.Select(symbol => symbol.ID.StrikePrice).Min();
symbols = symbols.Where(symbol => symbol.ID.StrikePrice == strike);
return optionFilterUniverse.Contracts(symbols);
} # In Initialize
self.AddFutureOption(future.Symbol, self.contract_selector)
def contract_selector(self, option_filter_universe: OptionFilterUniverse) -> OptionFilterUniverse:
symbols = option_filter_universe.PutsOnly()
strike = min([symbol.ID.StrikePrice for symbol in symbols])
symbols = [symbol for symbol in symbols if symbol.ID.StrikePrice == strike]
return option_filter_universe.Contracts(symbols)
Some of the preceding filter methods only set an internal enumeration in the OptionFilterUniverse that it uses later on in the filter process. This subset of filter methods don't immediately reduce the number of contract Symbol objects in the OptionFilterUniverse.
By default, LEAN adds contracts to the OptionChain that pass the filter criteria at every time step in your algorithm. If a contract has been in the universe for a duration that matches the MinimumTimeInUniverse setting and it no longer passes the filter criteria, LEAN removes it from the chain.
Navigate Option Chains
OptionChain objects represent an entire chain of Option contracts for a single underlying security. They have the following properties:
To get the OptionChain, loop through the OptionChains property. After you get the OptionChain, you can sort and filter the Option contracts in the chain.
public override void OnData(Slice slice)
{
foreach (var kvp in slice.OptionChains)
{
var optionChain = kvp.Value;
// Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
var contracts = optionChain
.Where(x => x.Right == OptionRight.Put)
.OrderByDescending(x => x.Expiry)
.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.Take(5);
// Select the contract with the delta closest to -0.5
var contract = contracts.OrderBy(x => Math.Abs(-0.5m - x.Greeks.Delta)).FirstOrDefault();
}
}
public void OnData(OptionChains optionChains)
{
foreach (var kvp in optionChains)
{
var optionChain = kvp.Value;
}
} def OnData(self, slice: Slice) -> None:
for _, option_chain in slice.OptionChains.items():
# Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
contracts = [x for x in option_chain if x.Right == OptionRight.Put]
contracts = sorted(sorted(contracts, \
key = lambda x: abs(option_chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Expiry, reverse=True)[:5]
# Select the contract with the delta closest to -0.5
contract = sorted(contracts, key=lambda x: abs(-0.5 - x.Greeks.Delta))[0]
You can also iterate through the FuturesChains first.
public override void OnData(Slice slice)
{
foreach (var kvp in slice.FuturesChains)
{
var continuousContractSymbol = kvp.Key;
var futuresChain = kvp.Value;
// Select a Future Contract and create its canonical FOP Symbol
var futuresContract = futuresChain.First();
var canonicalFOPSymbol = QuantConnect.Symbol.CreateCanonicalOption(futuresContract.Symbol);
if (slice.OptionChains.TryGetValue(canonicalFOPSymbol, out var fopChain))
{
foreach (var contract in fopChain)
{
//
}
}
}
}
public void OnData(FuturesChains futuresChains)
{
foreach (var kvp in futuresChains)
{
var continuousContractSymbol = kvp.Key;
var futuresChain = kvp.Value;
}
} def OnData(self, slice: Slice) -> None:
for continuous_future_symbol, futures_chain in slice.FuturesChains.items():
# Select a Future Contract and create its canonical FOP Symbol
futures_contract = [contract for contract in futures_chain][0]
canonical_fop_symbol = Symbol.CreateCanonicalOption(futures_contract.Symbol)
fop_chain = slice.OptionChains.get(canonical_fop_symbol)
if fop_chain:
for contract in fop_chain:
pass
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