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I'm trying to limit my universe to securites which have options. Right now, I'm doing this:
def UniverseSelection(self, coarse):
# ...
hard = list(filter(lambda c: (c.Market == "usa") and \
(c.Price > 0) and (c.HasFundamentalData) and (self.OptionChainProvider.GetOptionContractList(c.Symbol, self.Time) != None), coarse))
# ...
However, this is really inefficient. I'm wondering if there is a better way to do this.
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Derek Melchin
Hi AK M,
This is currently the best approach. However, to ensure efficiency, we only need to perform this check on each securities once. For instance, if we check whether AAPL has options, we don't need to check again the next time universe selection is run.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
AK M
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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