Back

OptionChainProvider & Greeks

Hi All,

As I work through with OptionChainProvider, it provides a lot more flexibility to add specific contracts, rather than the broad universe provided by AddOption and SetFilter. It has a marked effect on the speed (and in fact lets me test much longer algorithms before timing out due to spending more than 10 minutes in a timestep.)

I'm learning that, even though OptionChainProvider lets you use RemoveSecurity, ever having had those securities in the universe seems to slow things down progressively over time.

Accordingly, I think it is instrumental to limit the number of contracts added to begin with. I'd love to hear anybodies suggestions as to ways we might do this with OptionChainProvider / InitialFilter. For example, I can limit the number of strikes reasonably trivially. One thing that is difficult is limiting strikes if you want to find an option with a low delta (say at a delta of 0.15 to reduce margin requirement) To do this requires loading the chain with a quite wide range of strikes. Since you don't know how many strikes away the delta is likely to be, you need to overestimate - filling the universe with many contracts you don't intend to use. However, you can't access the Greeks until the contracts are loaded, which makes it difficult to do any other way.

I guess the question is more general than anything. Does anybody have any thoughts on how to limit the number of contracts when using OptionChainProvider?

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.


Hi Daniel,

In order to compute the Greeks and IV, the algorithm needs to have one iteration, which means we need to add some/all of the contracts before we can filter on these values. However, filtering on Greeks/IV is currently a feature request, and you can track the progress on Github here.

Best Regards,
Shile Wen

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.


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