Option symbol changes when it's removed from universe by Joseph Cheung2

Joseph Cheung2 INVESTOR

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Hi,

I can't figure out why when I remove an option symbol from the universe, its symbol changes to something else.

I attached the python code where I logged security symbol when security is added or removed and here's an example of what's logged:

2019-01-02 09:31:00 Added:SPY   190118P00246000, Underlying:SPY R735QTJ8XC9X, Strike:246.0, Type: 1, Date:2019-01-18 00:00:00

2019-01-03 00:00:00 Removed:SPY 310F3UW6H4U06|SPY R735QTJ8XC9X, Underlying:SPY R735QTJ8XC9X, Strike:246.0, Type: 1, Date:2019-01-18 00:00:00

Option symbol was `SPY 190118P00246000` when it's added but it became `SPY 310F3UW6H4U06|SPY R735QTJ8XC9X` when it's removed.

Can anyone explain why it's like this? Is it a bug?

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Joseph Cheung2

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Alexandre Catarino

Hi Joseph Cheung2 ,

Lean has a SymbolCache class that provides a string->Symbol mapping to allow for user-defined strings to be lifted into a Symbol. When a security is added to the algorithms, a string representation is added to the symbol cache for mapping. In the Options' case, the string representation follows the OSI symbology.

Consequently, when we get the string of an option's Symbol, we get its OSI ticker. When an option is removed from the algorithm, it is also removed from the symbol cache. In this case, when we print the string of an option's Symbol, we get the string representation of its SecurityIdentifier.

However, the OSI ticker is also present as Symbol.Value, so if we use:

        for removed in changes.RemovedSecurities:

            if removed.Symbol.SecurityType == SecurityType.Option:

                algorithm.Debug("Removed:{}, Underlying:{}, Strike:{}, Type: {}, Date:{}".format(

                    removed.Symbol.Value,

                    removed.Symbol.ID.Underlying,

                    removed.Symbol.ID.StrikePrice,

                    removed.Symbol.ID.OptionRight,

                    removed.Symbol.ID.Date))

we will get the desired ticker.

Joseph Cheung2 INVESTOR

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