Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
-5.126
Tracking Error
0.062
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
#region imports
    using System.Linq;
    using QuantConnect.Util;
    using QuantConnect.Data;
    using QuantConnect.Securities;
#endregion
namespace QuantConnect.Algorithm.CSharp
{
    public class PolygonOptionsDataTest : QCAlgorithm
    {
        private Symbol _symbol;
        public override void Initialize()
        {
            SetStartDate(EndDate.AddDays(-7));
            var option = AddOption("SPY");
            option.SetFilter(x => x.IncludeWeeklys().Expiration(0,0).Strikes(1,1));
            _symbol = option.Symbol;
        }

        public override void OnData(Slice data)
        {
            var message = string.Join(" | ", data.QuoteBars.Values.Select(x=> $"quote={x}"))
                + " || " +  string.Join(" | ", data.Bars.Values.Select(x=> $"trade={x}"));
            if (!string.IsNullOrWhiteSpace(message)) Log(message);
            if (!data.OptionChains.TryGetValue(_symbol, out var chain)) return;
            message = string.Join(" | ", chain.Select(x=> $"{x.Symbol} :: bid={x.BidPrice}, ask={x.AskPrice}, price={x.LastPrice}"));
            Log(message);
        }
    }
}