Getting Greek values in OptionChainProvider.

Hi Thomas

Since you are not subscribed to the option Security object, I guess you cannot do it in this way?! but it's possible on slice.OptionChains method in OnData. Sadly it of course will be slower to call excessive security objects jammed your computational power.

Cheers
Louis

Hi Thomas van Buuren and Louis,
The SetFilter helper method does not allow to filter contracts based on Greeks value. We recommend using the following code snippet to filter out various types of options(ITM, OTM, ATM).
We don't need to add contracts inside our OnSecuritiesChanged method. The algorithm has already subscribed to the contracts, and then it is sent to the given event handler.
 

for kvp in slice.OptionChains:
    if kvp.Key != self.symbol:
        continue
    optionchain = kvp.Value
    # differentiate the call and put options
    call = [x for x in optionchain if x.Right == OptionRight.Call]
    put = [x for x in optionchain if x.Right == OptionRight.Put]
    price = optionchain.Underlying.Price
    # choose ITM contracts
    contracts = [x for x in call if price - x.Strike > 0]
    # or choose ATM contracts
    contracts = [x for x in call if price - x.Strike == 0]
    # or choose OTM contracts
    contracts = [x for x in call if price - x.Strike < 0]
    # sort the contracts by their expiration dates
    contracts = sorted(contracts, key = lambda x: x.Expiry, reverse = True)

Best,
Varad Kabade

Hi Thomas van Buuren  and Louis Szeto .

I'm a discretionary options trader, so I understand the importance of selecting contracts using precise Deltas. I saw this thread and decided to write up a simple example that does so.

Louis: your example is a good one as well, though note that you need to warm up for at least 30 days for the correct greeks to be calculated --currently you are warming up for 7 days. 

Hope this helps: 

Hi .ekz., Louis Szeto, and Varad kabade,

Thanks for the information and input. However, I only want to subscribe to option contracts that are specifically needed, for fifteen equity symbols. The backtest runs for four years. When using SetFilter, one backtest will cost 4/5 hours to complete. The ones that Lious and Varad are suggesting are about receiving the OptionChains without subscribing to the options in the Initialize method. Meaning that we only subscribe to the returned filtered option (Varad) or when the algorithm market orders an option (Lious), correct? Is there any documentation that elaborates these specific situations?

Hi Thomas,
 

The ones that Lious and Varad are suggesting are about receiving the OptionChains without subscribing to the options in the Initialize method

This is incorrect. We cannot use OptionChainProvider because we are trying to sort the contract by the delta values. To speed up the run-time, we can make the option filter more restrictive. For example, only subscribing to contracts within 5 strikes instead of 60 or contracts that expire within 30 days instead of 180. Also, please check this tutorial.
Best,
Varad Kabade