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Can I iterate through an OptionChains class, and if so how? Or, must I iteratively apply .SetFilter.

I'd like to interate through an OptionsChains class to identify chains with different strikes or expirations.

In the code, although the chain variable is ennumerable, I cannot apply the MoveNext() method.   I infer there is no mechanism to iterate other than using a for or while operator and count my iterations.    Is this true?

Contranegatively,  I  can identify my chain, for example, In The Money, and then call another .SetFilter with a different  min/max strike and call another .OrderBy...  

I need to evaluate different puts and calls at different strikes and expirations to identify the most optimal collar.

 

Any help is most appreciated, thank you.

 

 

Update Backtest








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Hi Craig,

To apply the `MoveNext` method, we first need to get the enumerator from the chain.

var enumerator = chain.GetEnumerator();
while (enumerator.MoveNext()) {
Log("MoveNext");
}

See the attached backtest for a full example.

In regards to `SetFilter`, we don't recommend calling it in OnData. Instead, utilize the OptionChainProvider to get the list of option contracts.

Best,
Derek Melchin

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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.


That is brilliant!  Thank you Derek.   I figured I was on the right path, but just couldn't quite get there.  Thank you very much.

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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.


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