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I'm having problems indexing/iterating through an options pandas dataframe.
I had an example that worked a long time ago, and when I tried it today, it doesn't work anymore.
In this example, h['2017-01-20', 785.0, 'Call'] used to work, but now it returns an error.
Iterating through the dataframe only returns the column names.
%matplotlib inline
# Imports
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Jupyter")
AddReference("QuantConnect.Indicators")
from System import *
from QuantConnect import *
from QuantConnect.Data.Market import TradeBar, QuoteBar
from QuantConnect.Jupyter import *
from QuantConnect.Indicators import *
from datetime import datetime, timedelta
import matplotlib.pyplot as plt
import pandas as pd
# Create an instance
qb = QuantBook()
goog = qb.AddOption("GOOG")
goog.SetFilter(-2, 2, timedelta(0), timedelta(30))
option_history = qb.GetOptionHistory(goog.Symbol, datetime(2017, 1, 4))
print(option_history.GetStrikes())
print(option_history.GetExpiryDates())
h = option_history.GetAllData()
h.head()
h.index.get_level_values(0)
h['2017-01-20', 785.0, 'Call']
for i in h:print(i)
Frontline
h.loc[(datetime(2017, 1, 20), 785.0, 'Call')]This shortcut seems to work
Dhl
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