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Option price using OptionUniverse

Hi,

I'm trying to use OptionUniverseSelectionModel in order to get daily option data 
(using the optionChain/ optionProvider is VERY slow, even with consolidators, because in QC we must use minute data with options  )

but I cant get the option price  (the price is 0 )... any advice?

 

 

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.


Hi Gil Sapir 

Sorry about the long wait. :-)

Your algorithm does not try to implement daily consolidators for options.
In the attached backtest, we can see the skeleton of a possible implementation. I am using the Good Design Patterns that we recommend in the Algorithm Framework. 

Basically, we implement a dictionary of daily consolidators keyed by options' symbols.
When a new option contract is added to the universe, we create a consolidator using self.Consolidate helper method and when the contract is removed from the universe, positions are liquidated and we remove the consolidator from the SubscriptionManager.

I would also recommend using a every 120-min Scheduled Event instead of the 120-min consolidator attached to SPY, since SPY can be an option underlying. Also, in the callback method sellOptions we can use self.CurrentSlice.OptionsChains to access the OptionsContract objects.

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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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