I want to calculate a daily volatility surface in the research environment. But its hard for me to get option data. I only want to calculate one to five volatility surface per day but
opt_hist = qb.GetOptionHistory(opt.Symbol, datetime(2017, 1, 11, 10, 10), datetime(2017, 1, 12, 10, 10))
gives a bulk of options and ticker prices for every minute. It is also an unindexable object. So opt_hist[0] doesnt work. How to extract and sort options in the Research environment?
If I set
qb.GetOptionHistory(opt.Symbol, datetime(2017, 1, 11, 10, 10), datetime(2017, 1, 11, 10, 15))
I also get options for date(2017, 1, 12). Also when I restart the kernel. This is strange.
Link Liang
Hi Rupert,
To get all data of the option history requested, we could use `option_history.GetAllData()`. More information is here. The type of it is pandas.DataFrame, and you could find ways to sort it here. Here I've sorted then by askclose, and showing only first 5 rows of the DataFrame.
Hope it helps!
Squirrel24
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