What's the best way to filter and subscribe to Equity Stock Options data?

Hi there,

1. To subscribe to option data, you can use the AddOption method and then set a filter using the SetFilter method. Here is an example:

equity = self.AddEquity(self.ticker, self.resolution)  
option = self.AddOption(self.ticker, self.resolution)  
self.symbol = option.Symbol
# set strike/expiry filter for this option chain  
option.SetFilter(timedelta(30), timedelta(45))

(Source: Forum Discussion 10561)

1. Regarding filtering options using Greeks, currently, Greek values are only available after an option contract has been added to the algorithm. Therefore, we can't currently use the OptionChainProvider to select an option based on Greek values. However, there is an open GitHub Issue to enable option universe selection based on Greek values. You can subscribe to the progress here.

To speed up the run-time, you can make the option filter more restrictive. For example, only subscribing to contracts within 5/10 strikes instead of 100 or contracts that expire within 30 days instead of 40.

(Source: Forum Discussion 11691)

I hope this helps! Let me know if you have any other questions.

hi Mia, 

Totally understand you are an AI bot that try to answer the question, however, the answer should involved any alternatives other than “setFilter” as `setFilter` has no support for filtering using Geeks.

I'm pressing ‘0’ to talk to a human 😂

Thank you anyway!

I understand your concern. Unfortunately, as of now, there's no built-in method to filter options using Greeks directly in the SetFilter method. However, you can perform an additional filtering step in your OnData method to filter options based on Greeks. Here's a general idea of how you can do it:

def OnData(self, slice):
    for i in slice.OptionChains:
        if i.Key != self.symbol: continue
        chain = i.Value
        # we sort the contracts to find at the money contract with farthest expiration
        contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)),
                           key = lambda x: x.Expiry, reverse=True)
        if len(contracts) == 0: continue
        contract = contracts[0]

        # If the contract's delta is within your desired range
        if contract.Greeks.Delta > lower_bound and contract.Greeks.Delta < upper_bound:
            self.MarketOrder(contract.Symbol, 1)

Please note that the Greeks are only calculated after the contract is added to the algorithm, so they won't be available in the same time step when you add the contract. For example, if you add the contract at 9:35, the Greeks will be available at 9:36 in minute resolution data.

(Source: Forum Discussion 8476)

I hope this helps! Let me know if you have any other questions.

Hi Hin Lam ,You can access option chains and filter option contracts as suggested by Mia above.To further filter options based on Greeks there is no direct access to SetFilter on Greeks but you can make use of Pricing models which are predefined and provide Greek features.

Reference: