Universes
Index Options
Create Universes
To add a universe of Index Option contracts, in the Initialize method, call the AddIndexOption method. This method returns an Option object, which contains the canonical Symbol. You can't trade with the canonical Option Symbol, but save a reference to it so you can easily access the Option contracts in the OptionChain that LEAN passes to the OnData method.
var option = AddIndexOption("VIX");
_symbol = option.Symbol; option = self.AddIndexOption("VIX")
self.symbol = option.Symbol
The following table describes the AddIndexOption method arguments:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
ticker | stringstr | The underlying Index ticker. To view the available indices, see Supported Indices. | |
resolution | Resolution?Resolution/NoneType | The resolution of the market data. | Nonenull |
market | stringstr | The Index Option market. | Market.USA |
fillDataForward | bool | If true, the current slice contains the last available data even if there is no data at the current time. | Truetrue |
If you add an Option universe for an underlying Index that you don't have a subscription for, LEAN automatically subscribes to the underlying Index.
To set the price model of the Option, set its PriceModel property.
option.PriceModel = OptionPriceModels.CrankNicolsonFD();
option.PriceModel = OptionPriceModels.CrankNicolsonFD()
Filter Contracts
By default, LEAN adds all of the available Option contracts to the Slice it passes to the OnData method. To narrow down the universe of Option contracts, in the Initialize method, call the SetFilter method of the Option object. The following table describes the available filter techniques:
| Method | Description |
|---|---|
SetFilter(int minStrike, int maxStrike)SetFilter(minStrike: int, maxStrike: int) | Selects the contracts that have a strike price within a minimum and maximum strike level relative to the underlying price. For example, say the underlying price is $302 and there are strikes at every $5. If you set minStrike to -1 and maxStrike to 1, LEAN selects the contracts that have a strike of $300 or $305. |
SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry)SetFilter(minExpiry: timedelta, maxExpiry: timedelta) | Selects the contracts that expire within the range you set. |
SetFilter(int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry)SetFilter(minStrike: int, maxStrike: int, minExpiry: timedelta, maxExpiry: timedelta) | Selects the contracts that expire and have a strike within the range you set. |
SetFilter(Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc)SetFilter(universeFunc: callable[OptionFilterUniverse, OptionFilterUniverse]) | Selects the contracts that a function selects. |
// Select contracts that have a strike price within 1 strike level above and below the underlying price option.SetFilter(minStrike: -1, maxStrike: 1); // Select contracts that expire within 30 days option.SetFilter(minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30)); // Select contracts that have a strike price within 1 strike level and expire within 30 days option.SetFilter(minStrike: -1, maxStrike: 1, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30)); // Select call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly());
# Select contracts that have a strike price within 1 strike level above and below the underlying price option.SetFilter(minStrike=-1, maxStrike=1) # Select contracts that expire within 30 days option.SetFilter(minExpiry=timedelta(days=0), maxExpiry=timedelta(days=30)) # Select contracts that have a strike price within 1 strike level and expire within 30 days option.SetFilter(minStrike=-1, maxStrike=1, minExpiry=timedelta(days=0), maxExpiry=timedelta(days=30)) # Select call contracts option.SetFilter(lambda option_filter_universe: option_filter_universe.CallsOnly())
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.
// Select the front month call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly().FrontMonth());
# Select the front month call contracts option.SetFilter(lambda option_filter_universe: option_filter_universe.CallsOnly().FrontMonth())
To perform thorough filtering on the OptionFilterUniverse, define an isolated filter method.
// In Initialize
option.SetFilter(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
option.SetFilter(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)
By default, LEAN adds contracts to the OptionChain that pass the filter criteria at every time step in your algorithm. In backtests, if a contract in the chain doesn't pass the filter criteria, LEAN removes it from the chain at the start of the next day. In live trading, LEAN removes these contracts from the chain every 15 minutes.
Navigate Option Chains
OptionChain objects represent and entire chain of Option contracts for a single underlying security. They have the following properties:
To get the OptionChain, index the OptionChains property of the Slice with the canonical Symbol. After you get the OptionChain, you can sort and filter the Option contracts in the chain.
public override void OnData(Slice slice)
{
if (slice.OptionChains.TryGetValue(_symbol, out var chain))
{
// Example: Find an at-the-money (ATM) put contract with the farthest expiration
var contract = chain
.OrderByDescending(x => x.Expiry)
.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.ThenByDescending(x => x.Right)
.FirstOrDefault();
}
}
public void OnData(OptionChains optionChains)
{
if (optionChains.TryGetValue(_symbol, out var chain))
{
//
}
} def OnData(self, slice: Slice) -> None:
chain = slice.OptionChains.get(self.symbol)
if chain:
# Example: Find an at-the-money (ATM) put contract with the farthest expiration
contract = sorted(sorted(sorted(chain, \
key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Expiry, reverse=True), \
key = lambda x: x.Right, reverse=True)[0]
You can also loop through the OptionChains property to get each OptionChain.
public override void OnData(Slice slice)
{
foreach (var kvp in slice.OptionChains)
{
var canoncialSymbol = kvp.Key;
var chain = kvp.Value;
}
}
public void OnData(OptionChains optionChains)
{
foreach (var kvp in optionChains)
{
var canoncialSymbol = kvp.Key;
var chain = kvp.Value;
}
} def OnData(self, slice: Slice) -> None:
for canonical_symbol, chain in slice.OptionChains.items():
pass
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