Hello!
I have installed the nuget package for Visual Studio:
https://www.nuget.org/packages/QuantConnect.Lean/
Now I am really struggling on how to set up a code in C# to retreive historical data for an option. I have looked at many examples but they seem to be incomplete in the documentation:
For example the below code is incomplete. How can I create a complete code here that works for C#?
qb = QuantBook();
var option = AddOption("SPY", Resolution.Minute);
option.SetFilter(-10, 10, 0, 180);
var option_history = GetOptionHistory(option.Symbol, new DateTime(2017, 1, 4, 10 ,0, 0), new DateTime(2017, 1, 4, 10 ,5, 0),sort = True);
df = option_history.GetAllData();
print(df.tail());
Rahul Chowdhury
Hey Andreas,
The example you posted is for the research environment in python. You can access historical data for options in the C# backtesting environment. You can do this using a history call for the symbol of the contract you are interested in. You can learn more about options here.
Here is a simple example of using of retrieving the historical data for an options contract.
Andreas S
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