Total delta of portfolio

To calculate the total delta of your portfolio, you can iterate over the securities in your portfolio and sum up their quantities. Here's an example in Python:

total_delta = sum([security_holding.Quantity for security_holding in self.Portfolio.Values])

In this code, self.Portfolio.Values gives you a collection of all the SecurityHolding objects in your portfolio. Each SecurityHolding object represents your holdings of a particular security and has a Quantity property that tells you how many units of the security you hold. By summing up the Quantity of all your holdings, you get the total delta of your portfolio.

Please note that this calculation assumes that all securities in your portfolio have the same unit of quantity. If you're trading securities that have different units (for example, stocks and futures), you might need to adjust the quantities to a common unit before summing them up.

Source: QuantConnect Documentation

What if my portfolio is a variety of options with each having its own delta? 

The code you have shown calculates the total quantity of the portfolio not the total delta

I see, if your portfolio consists of options, each option contract will indeed have its own delta. Unfortunately, the information extracts provided do not contain a direct method to calculate the total delta of a portfolio of options.

However, in QuantConnect, you can use the OptionPriceModels to calculate the Greeks of an option, including the delta. The delta of an option can be accessed using the Greeks property of the OptionHolding class. Here's an example:

total_delta = sum([option_holding.Greeks.Delta for option_holding in self.Portfolio.Values if option_holding.Type == SecurityType.Option])

This code iterates over all the OptionHolding objects in your portfolio, sums up their deltas, and assigns the result to total_delta. Please note that this code assumes that all the SecurityHolding objects in self.Portfolio.Values are of type OptionHolding. If your portfolio contains other types of securities, you should filter them out before calculating the total delta.

Please note that this is a hypothetical example and the actual implementation may vary based on the specifics of your algorithm and the securities in your portfolio.

Source: QuantConnect Documentation

OptionHolding does not have a member Greeks…?

I apologize for the confusion. You're correct, the OptionHolding class does not have a Greeks property. The Greeks property is available in the OptionContract class.

To calculate the total delta of your portfolio, you would need to iterate over the option contracts in the OptionChain and sum up their deltas. Here's an example:

total_delta = 0
for kvp in slice.OptionChains:
    chain = kvp.Value
    for contract in chain.Contracts.Values:
        total_delta += contract.Greeks.Delta

In this code, slice.OptionChains gives you a collection of all the OptionChain objects in your portfolio. Each OptionChain object represents a chain of option contracts for a particular underlying security. By iterating over the contracts in each chain and summing up their deltas, you get the total delta of your portfolio.

Please note that this code assumes that you have requested the option data and it is available in the slice object passed to your OnData method.

Source: QuantConnect Documentation

But how do I know my position in each option in the chain, is it accessible from OptionContract?

You can access your position in each option contract through the Portfolio object. The Portfolio object has a method __getitem__ that allows you to access the SecurityHolding object for a given symbol. Here's an example:

total_delta = 0
for kvp in slice.OptionChains:
    chain = kvp.Value
    for contract in chain.Contracts.Values:
        holding = self.Portfolio[contract.Symbol]
        total_delta += contract.Greeks.Delta * holding.Quantity

In this code, self.Portfolio[contract.Symbol] gives you the SecurityHolding object for the option contract, which tells you how many units of the contract you hold. By multiplying the delta of each contract by the quantity you hold and summing up the results, you get the total delta of your portfolio.

Please note that this code assumes that you have requested the option data and it is available in the slice object passed to your OnData method.

Source: QuantConnect Documentation