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Option Data - Timestamp on Price / Underlying Last Price

Hi,

Is there any chance we can get the timestamp data for when the option trade was and when the underlying last price was?

If this is too specific, perhaps just a relative timestamp? 

I am trying to look at reducing some noise in the price of some complex structures which are somewhat sensitive. Even in minute resolution, if the price of the underlying moves between one option leg trade and another, the resulting complex trade price can be distorted very significantly. 

Using a relative timestamp to try and reduce the odds of this happening could be very useful.

As far as implementation, I'd think adding DateTime to the contract would be best: UnderlyingLastTime and LastTime? 

Or a relative time decimal in seconds, TimeBetween?

 

Thanks

Update Backtest







Option contract object has properties

1) UnderlyingLastPrice: Gets the last price the underlying security traded at  

2) Time : Gets the local date time this contract's data was last updated 

In OnData(Slice slice), you can get the slice time of the underlying with slice[underlying_symbol].Time

if slice.ContainsKey(Underlying_symbol))

{

var time = slice[underlying_symbol].Time

}

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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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