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| 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 | Resolved |
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
JayJayD
Thank you very much BestOnionTrader123 for reporting the issue, the data is being processed right now and it'll be online by tomorrow morning.
QuantConnect Robot
JayJayD has marked this issue as in progress.
JayJayD
Data is in place.
https://www.quantconnect.com/data/tree/option/usa/minute/spyQuantConnect Robot
JayJayD has marked this issue as closed.
BestOnionTrader123
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