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Option hourly resolution

I can't get the option chains to work when I set the resolution to Hour in AddOption. It does work when I set it to Minute. However, I'd like to get my backtest resuls quickly, and I believe that an hourly resolution is good enough. Is there anything I'm missing here?

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Hi Ken M, option data has minute resolution only.

In order to get hourly bars, you should use consolidators, one for each contract.

Here is an example with futures, the implementation for options is basically the same.

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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.


How do we use the consolidator created for futures, but with option chains?

I would like to consolidate options chains to more than hourly, say every 4 hours.

Thanks

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Hi Mathieu,
 

It is certainly possible to use consolidators with options chains, and I've provided a link to an example here. Hopefully this will help you with you algorithm, and if there are additional issues that you encounter, post in the forum and the community can help you solve them!

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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.


Update Backtest





0

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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