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. The method to create the universe depends on if the Index Options you want require a target ticker.
Create Standard Universes
To create a universe of Index Options based on an index like VIX, SPX, or NDX, pass the index ticker to the AddIndexOption method.
var option = AddIndexOption("VIX");
_symbol = option.Symbol; option = self.AddIndexOption("VIX")
self.symbol = option.Symbol
The following table describes the AddIndexOption method arguments for standard universes:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
ticker | stringstr | The underlying Index ticker. To view the supported indices, see Supported Assets. | |
resolution | Resolution?Resolution/NoneType | The resolution of the market data. To view the supported resolutions, see Resolutions. | Nonenull |
market | stringstr | The Index Option market. | Market.USA |
fillForward | 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.
Create Non-Standard Universes
To create a universe of non-standard Index Options like weekly VIX contracts, pass the index Symbol and target Option ticker to the AddIndexOption method.
var indexSymbol = AddIndex("VIX").Symbol;
var option = AddIndexOption(indexSymbol, "VIXW");
_symbol = option.Symbol; index_symbol = self.AddIndex("VIX").Symbol
option = self.AddIndexOption(index_symbol, "VIXW")
self.symbol = option.Symbol
The following table describes the AddIndexOption method arguments for non-standard universes:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
underlying | Symbol | The underlying Index Symbol. To view the supported indices, see Supported Assets. | |
targetOption | stringstr | The target Option ticker. To view the supported target Options, see Supported Assets. | |
resolution | Resolution?Resolution/NoneType | The resolution of the market data. To view the supported resolutions, see Resolutions. The Index resolution must be less than or equal to the Index Option resolution. For example, if you set the Index resolution to minute, then you must set the Index Option resolution to minute, hour, or daily. | Nonenull |
market | stringstr | The Index Option market. | Market.USA |
fillForward | 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.
Configure Reality Models
To override the default pricing model of the Option, set a pricing model.
option.PriceModel = OptionPriceModels.CrankNicolsonFD();
option.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 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.
// Example 1: Select the front month call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly().FrontMonth()); // Example 2: Select the contracts (including weeklys) that expire in the next 90 days option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 90));
# Example 1: Select the front month call contracts option.SetFilter(lambda option_filter_universe: option_filter_universe.CallsOnly().FrontMonth()) # Example 2: Select the contracts (including weeklys) that expire in the next 90 days option.SetFilter(lambda option_filter_universe: option_filter_universe.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 90))
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)
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, 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 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
var contracts = chain
.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)
{
if (optionChains.TryGetValue(_symbol, out var chain))
{
var contracts = chain.Contracts;
}
} def OnData(self, slice: Slice) -> None:
chain = slice.OptionChains.get(self.symbol)
if chain:
# Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
contracts = [x for x in chain if x.Right == OptionRight.Put]
contracts = sorted(sorted(contracts, \
key = lambda x: abs(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 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;
var contracts = chain.Contracts;
}
}
public void OnData(OptionChains optionChains)
{
foreach (var kvp in optionChains)
{
var canoncialSymbol = kvp.Key;
var chain = kvp.Value;
var contracts = chain.Contracts;
}
} def OnData(self, slice: Slice) -> None:
for canonical_symbol, chain in slice.OptionChains.items():
contracts = chain.Contracts
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