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Options SetFilter by strike percent

If I want to get the option chain of stock from -5% to +5% how can I do that?

the only option I can think of is asking for all the option chain and calculate myself in the "ondata"

but I'm sure it's not very effective.

any suggestions?

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Hi Gil,

Yes, we can do that in OnData() method. I've attached a backtest to get the option chain of stock from -5% to  +5%, please check out the code and log. For more information about option data, please visit this page. Thanks!

 

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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.


Hi, 

but in the line:

option.SetFilter(-2, 2, timedelta(0), timedelta(182))
You limit the strikes to be +2 and -2 from the underlying price.
so if you do the same backtest with +50%, -50% you will get the same results
if I have 5 tickers and I want the strikes at -5% and +5% - I can't do it without asking for
all the strikes in the "SetFilter"
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Daniel Chen ?

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Update Backtest





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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.


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