Back

SPY 200226C00315000, Minute The issue starts from Feb 26th, 2020; and continues until Feb 26th, 2020

Ticker SPY 200226C00315000
From 2020-02-26 00:00:00
To 2020-02-26 00:00:00
Security Type Option
Market USA
Resolution Minute
Status Closed

I can pull SPY call options data for days before the 26th and after in February. The following shows how I can get data for the 24th, but not the 26th. This is for the Research environment.

Code:

qb = QuantBook()
spy = qb.AddEquity("SPY")
spy_underlying_price = qb.History(spy.Symbol,
datetime(2020, 2, 26, 9, 30, 59),
datetime(2020, 2, 26, 9, 31, 0),
Resolution.Second)
sup_c = spy_underlying_price['close'] # 314.75


spy_option = Symbol.CreateOption(spy.Symbol, Market.USA, OptionStyle.American, OptionRight.Call,
int(sup_c) + 1, # decimal strike
datetime(2020, 2, 26)) # datetime expiry
print("Option: " + spy_option.Value)
spy_option_prices = qb.History(spy_option,
datetime(2020, 2, 26, 9, 30, 0),
datetime(2020, 2, 26, 10, 0, 0),
Resolution.Minute)
'''Why does this return a blank data frame?'''
print(spy_option_prices)

spy_option_prior_exp_day = Symbol.CreateOption(spy.Symbol, Market.USA, OptionStyle.American, OptionRight.Call,
324, # decimal strike
datetime(2020, 2, 24)) # datetime expiry
spy_option_prices_prior_exp_day = qb.History(spy_option,
datetime(2020, 2, 24, 9, 30, 0),
datetime(2020, 2, 24, 10, 0, 0),
Resolution.Minute)

print("Option: " + spy_option_prior_exp_day.Value)
'''This has a filled data frame'''
print(spy_option_prices_prior_exp_day)

Output: (abbreviated)

Option: SPY 200226C00315000
Empty DataFrame
Columns: []
Index: []
Option: SPY 200224C00324000
askclose \
expiry strike type symbol time
2020-02-26 315.0 Call SPY XCCWB8AVKWVA|SPY 2T 2020-02-24 09:31:00 9.42
2020-02-24 09:32:00 9.88
2020-02-24 09:33:00 10.31
2020-02-24 09:34:00 10.39
2020-02-24 09:35:00 10.26

 

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.


Thank you very much BestOnionTrader123 for reporting the issue, the data is being processed right now and it'll be online by tomorrow morning.

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.


JayJayD has marked this issue as in progress.

0

Data is in place.

https://www.quantconnect.com/data/tree/option/usa/minute/spy

9081_1586432984.jpg

1

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.


JayJayD has marked this issue as closed.

0

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.


Loading...

This discussion is closed