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I am working with a constantly updating universe of option underlyings. For this reason I think for my purposes it is not suitable to use consolidated bars. The analysis only needs to happen weekly, and each week there could be new tickers in the universe. Inside OnData I need to access daily historical data for the underlying equities. I would like to access thousands of days of data.
I am a little uncomfortable with the fact that is seems only Minute Resolution is available for self.History. Using minute data I'd need to load 390,000 data points to make 1,000 daily bars. This is a waste of resources, I hope there is a better way.
So for example, on some day, a new equity with options is added to the universe. On that day, inside OnData, how would I access 2,000 daily bars of equity price history?
Tim De Lise
Sorry perhaps we can put in the delete function in this forum, apparently Daily is now supported for History.
OOps
Jared Broad
You might also want to checkout the OptionChainProvider; this lets you look at the strikes, etc of the options without requesting data for them. In theory you could review the Underlyings; and then use the OptionChainProvider to ask for the specific option contract you need.
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Tim De Lise
OK thanks I will look at that. I am actually interested in the history of the underlying at this point, and not the history of the individual option contracts, but thats great to know.
Tim De Lise
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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