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Hello QC Community,
Recently, I have started a school project to perform option purchases around earnings releases. However, I am finding difficulties with the processing time of the algorithm. The following code process 15 equity symbols where the strike prices are in range of -15 and +15 and DELTAX = 15 days, and DELTAY = 30. I would like to know if there is a range function or a workaround for the strike prices to speed things up. For example: Strikes(range(-10,-15),range(+10,+15)). So basically reducing the strike prices for only getting delta 0.15 for put and call options.
option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-15, +15)
.Expiration(timedelta(self.DELTAX), timedelta(self.DELTAY))
)
self.symbols.append(option.Symbol)
Derek Melchin
Hi Thomas,
The Strikes method only accepts a minimum and maximum strike price. For more precise control, we can define the option universe with a custom filter function. For example:
Best,
Derek Melchin
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Thomas van Buuren
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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