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
-12.935
Tracking Error
0.121
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
#region imports
    using System.Linq;
    using QuantConnect;
    using QuantConnect.Util;
    using QuantConnect.Algorithm;
    using QuantConnect.Data;
    using QuantConnect.Securities;
#endregion

public class BasicOptionAlgorithm : QCAlgorithm
{
    private Symbol _symbol;

    public override void Initialize()
    {
        SetStartDate(EndDate.AddDays(-7));
        var option = AddOption("SPY");
        option.SetFilter(universe => universe.IncludeWeeklys().Expiration(0, 0).Strikes(-5, 5));
        _symbol = option.Symbol;
    }

    public override void OnData(Slice data)
    {
        if (data.OptionChains.TryGetValue(_symbol, out var chain))
        {
            var contracts = chain.Where(x=> x.BidPrice > x.AskPrice).ToList();
            if (contracts.Count > 0)
                Log(string.Join('\n', contracts.Select(x=> $"Strike: {x.Strike} Type: {x.Right} Bid: {x.BidPrice} > Ask: {x.AskPrice}")));
        }
    }
}