How to restrict Option History to a given time or part of a day with GetOptionHistory by Pushkar Verma

Pushkar Verma INVESTOR

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Hi,

Is there a way I can restrict GetOptionHistory to only fetch history for a given time or a smaller duration rather than a full day.

The following :

GetOptionHistory(so.Symbol, datetime(2017, 5, 1), Resolution.Minute)

returns history of OptionChains for each minute on the given date. What if in my strategy, I only want the histororical Option chains at a given time on a give date (e.g. return option chains at 10:30 on May 1, 2017)? Or maybe between 10:30 and 11:00?

If I only need history at a certain time, getting it for the whole day is overkill and slow the response time needlessly.

I tried this in the research environment hoping to only get the data at 10:30 but that still returned data for every minute for the given date (i.e. May 1, '17 in this example)

qb.GetOptionHistory(so.Symbol, datetime(2017, 5, 1,10,30), Resolution.Minute)

Also where can I find documentation for GetOptionHistory?

Thanks!

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Pushkar Verma

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Jing Wu

242.2k ,

Hi Pushkar Verma, we are considering adding a new parameter "datetime" to GetOptionHistory() method, then you can fetch history for a given minute time. You can look into the QuantBook on GitHub in reference to the GetOptionHistory()

https://github.com/QuantConnect/Lean/blob/master/Jupyter/QuantBook.cs

Pushkar Verma

36 ,

Hi Jing - Thanks for quick reponse and the consideration! How can I find out once the change is made?

Jing Wu

242.2k ,

Hi, Pushkar Verma, we will update the template on the research page.

Pushkar Verma

36 ,

Hi,

Checking on the status - I did not see any update on the template in research page. It would be greatly appreciated to get an idea of the dates, so I can plan my development accordingly.

Thanks

Pushkar Verma INVESTOR

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