Getting all strikes of option chain

Based on the information provided in the extracts, it seems like you are using the OptionChainProvider.GetOptionContractList method to retrieve the option contracts. This method returns a list of option contracts for a given underlying symbol and date.

Here is an example of how you can use this method to get all the contracts for a certain expiration and then filter them by strike:

contract_symbols = self.OptionChainProvider.GetOptionContractList(self.symbol, self.Time)
expiry = min([symbol.ID.Date for symbol in contract_symbols])
filtered_symbols = [symbol for symbol in contract_symbols if symbol.ID.Date == expiry]

In this code, expiry is the earliest expiration date among all the contracts. The filtered_symbols list contains all the contracts that expire on this date.

If you want to sort this list by strike, you can do so like this:

sorted_symbols = sorted(filtered_symbols, key=lambda symbol: symbol.ID.StrikePrice)

Now, sorted_symbols is a list of contracts sorted by strike price in ascending order. The first contract in this list is the one with the lowest strike.

If the lowest strike retrievable is higher than the underlying at the same time, it might be because there are no contracts with a lower strike available in the market at that time. The availability of option contracts with certain strikes and expirations depends on the market and is not something that can be controlled through the QuantConnect API.

For more information, you can refer to the QuantConnect documentation.

Actually I used the following line in OnData:

option_chain = slice.OptionChains.get(self.option_symbol, None)

So I actually am getting the options chain existing in a certain slice.

In using your code:

contract_symbols = self.OptionChainProvider.GetOptionContractList(self.symbol, self.Time)

It does not use the particular slice, so can it be used in OnData to get the current chain?

Yes, you can use the OptionChainProvider.GetOptionContractList method in the OnData method to get the current option chain. However, please note that this method returns all the option contracts for the given underlying symbol and date, not just the ones in the current slice.

The slice.OptionChains.get(self.option_symbol, None) line of code you're using is getting the option chain for the option_symbol from the current slice. If the option chain for this symbol is not in the slice, it returns None.

Here's how you can use the OptionChainProvider.GetOptionContractList method in OnData:

def OnData(self, slice):
    contract_symbols = self.OptionChainProvider.GetOptionContractList(self.symbol, self.Time)
    # rest of your code

In this code, contract_symbols is a list of all option contracts for self.symbol on the current date (self.Time). You can then filter and sort this list as needed.

Remember that the availability of option contracts in the slice or in the list returned by GetOptionContractList depends on the market. If a contract with a certain strike or expiration is not available, it means that there is no such contract in the market at the current time.

For more information, you can refer to the QuantConnect documentation.

I tested your suggestion to use the OptionChainProvider it provides indeed many options however only from quarterly expirations i.e. once in 3 months…  

The OptionChainProvider.GetOptionContractList method returns all the option contracts available in the market for the given underlying symbol and date. If it's only returning quarterly expirations, it might be because those are the only contracts available in the market at the current time.

However, if you're interested in weekly contracts, you might want to check if the underlying symbol has weekly options available. For example, the SPX index has both standard (monthly) and weekly options. The weekly options are denoted with the symbol "SPXW".

Here's an example of how you can request weekly contracts:

# Weekly contracts
self.canonical_symbol = Symbol.CreateCanonicalOption(self.symbol, Market.USA, "?SPXW") 
contract_symbols = self.OptionChainProvider.GetOptionContractList(self.canonical_symbol, self.Time)
expiry = min([symbol.ID.Date for symbol in contract_symbols])
filtered_symbols = [symbol for symbol in contract_symbols if symbol.ID.Date == expiry and symbol.ID.OptionRight == OptionRight.Call]
self.contract_symbol = sorted(filtered_symbols, key=lambda symbol: symbol.ID.StrikePrice)[0]

In this code, self.canonical_symbol is the canonical symbol for the weekly options of self.symbol. The GetOptionContractList method is then used to get the list of weekly option contracts.

Please note that not all underlying symbols have weekly options available. The availability of weekly options depends on the market.

For more information, you can refer to the QuantConnect documentation.

Ok 

One more question, can the OptionsProvider class provide a list of the options conracts rather then the option symbols you suggested?

Or otherwise, how can the Option Contract objects be retrieved from the Option Symbol object?

The OptionChainProvider.GetOptionContractList method returns a list of Symbol objects, not contract objects. Each Symbol object represents an option contract and contains the details of the contract, such as the underlying symbol, market, option style, option right, strike price, and expiration date.

If you want to get the actual contract objects, you can use the AddOptionContract method. This method adds the specified option contract to the algorithm and returns the Option object that represents the contract. Here's an example:

for symbol in contract_symbols:
    option = self.AddOptionContract(symbol, Resolution.Minute)
    # option is an Option object that represents the contract

In this code, option is an Option object that represents the contract. You can access the properties of the contract through this object.

Please note that adding a contract to the algorithm subscribes the algorithm to the data of the contract. If you add a lot of contracts, it might slow down your algorithm.

For more information, you can refer to the QuantConnect documentation.

In QuantConnect, the Symbol object is used to represent an option contract. The Symbol object contains all the details of the contract, such as the underlying symbol, market, option style, option right, strike price, and expiration date.

If you have a Symbol object, you can access these details like this:

symbol = ...  # a Symbol object representing an option contract

# details of the contract
underlying_symbol = symbol.Underlying
market = symbol.Market
option_style = symbol.ID.OptionStyle
option_right = symbol.ID.OptionRight
strike_price = symbol.ID.StrikePrice
expiration_date = symbol.ID.Date

In this code, symbol is a Symbol object that represents an option contract. The Underlying, Market, OptionStyle, OptionRight, StrikePrice, and Date properties of the Symbol object give the underlying symbol, market, option style, option right, strike price, and expiration date of the contract, respectively.

If you want to get the actual Option object that represents the contract, you can use the AddOptionContract method. This method adds the specified option contract to the algorithm and returns the Option object that represents the contract. Here's an example:

option = self.AddOptionContract(symbol, Resolution.Minute)
# option is an Option object that represents the contract

In this code, option is an Option object that represents the contract. You can access the properties of the contract through this object.

Please note that adding a contract to the algorithm subscribes the algorithm to the data of the contract. If you add a lot of contracts, it might slow down your algorithm.

For more information, you can refer to the QuantConnect documentation.

Is it possible to access the current ask and bid price of the option from the symbol object?

Any response to my last question please?

Hi Nathan, you can get the ask and bid price of options from the Option object.

chain = slice.OptionChains.get(self.symbol, None)
for contract in chain:
	bid_price = contract.BidPrice
	ask_price = contract.AskPrice

You can refer to this simple backtest attached.