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Hi all,
I am investigating an options hedging strategy (starting with the SPY underlying).
For the sake of efficiency I would like to use the OptionChainProvider.GetOptionContractList method.
I was wondering whether there was an easy way to filter out the (less liquid) weekly expiries from that list?
Thanks in advance!
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Derek Melchin
Hi Pierre,
To filter out weekly contracts, we can use
contracts = self.OptionChainProvider.GetOptionContractList(self.equity_symbol, data.Time) contracts = [c for c in contracts if not OptionSymbol.IsWeekly(c)]See the attached backtest for reference.
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.
Pierre Vidal
Thanks a lot Derek,
I was not aware of that OptionSymbol class, which looks like what I need!
Best regards
Pierre Vidal
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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