When backtesting with options I have seen that it is much more efficient to select the contract you are interested in and use AddOptionContract than to use AddOption for the security at the beginning.
The problem is that I have been unable to get an Option Price Model to work using the AddOptionContract approach? Is is possible to use price models with AddOptionContract? Is there any example available?
Thanks,
Felipe
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Hi xxxxxx xxxxxx,
Yes. You can use SetSecurityInitializer:
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def Initialize(self)
self.SetSecurityInitializer(self.OptionInitializer)
def OptionInitializer(self, security):
if security.Type == SecurityType.Option
security.PriceModel = OptionPriceModels.CrankNicolsonFD()or you can set it right after the contract is added:
option = AddOptionContract(symbol)
option.PriceModel = OptionPriceModels.CrankNicolsonFD()
Thanks Alexandre, it worked perfectly.
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.
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