Universes
Equity Options
Create Universes
To add a universe of Equity Option contracts, in the Initializeinitialize method, call the AddOptionadd_option method. This method returns an Option object, which contains the canonical Symbolsymbol. You can't trade with the canonical Option Symbolsymbol, but save a reference to it so you can easily access the Option contracts in the OptionChain that LEAN passes to the OnDataon_data method.
UniverseSettings.Asynchronous = true;
var option = AddOption("SPY");
_symbol = option.Symbol; self.universe_settings.asynchronous = True
option = self.add_option("SPY")
self._symbol = option.symbol
The following table describes the AddOptionadd_option method arguments:
| Argument | Data Type | Description | Default Value |
|---|---|---|---|
ticker | stringstr | The underlying Equity ticker. To view the supported underlying Equity tickers, see Supported Assets. | |
resolution | Resolution?Resolution/NoneType | The resolution of the market data. To view the supported resolutions, see Resolutions. The Equity resolution must be less than or equal to the Equity Option resolution. For example, if you set the Equity resolution to minute, then you must set the Equity Option resolution to minute, hour, or daily. | Nonenull |
market | stringstr | The underlying Equity market. | Nonenull |
fillForwardfill_forward | bool | If true, the current slice contains the last available data even if there is no data at the current time. | Truetrue |
leverage | decimalfloat | The leverage for this Equity. | Security.NullLeverageSecurity.NULL_LEVERAGE |
extendedMarketHoursextended_market_hours | bool | A flag that signals if LEAN should send data during pre- and post-market trading hours. | Falsefalse |
If you add an Equity Option universe but don't have a subscription to the underlying Equity, LEAN automatically subscribes to the underlying Equity with the following settings:
| Setting | Value |
|---|---|
| Fill forward | Same as the Option universe |
| Leverage | 0 |
| Extended Market Hours | Same as the Option universe |
| Data Normalization | DataNormalizationMode.RawDataNormalizationMode.RAW |
If you already have a subscription to the underlying Equity but it's not RawRAW data normalization, LEAN automatically changes it to RawRAW.
To override the default pricing model of the Option, set a pricing model.
option.price_model = OptionPriceModels.crank_nicolson_fd();
option.price_model = OptionPriceModels.crank_nicolson_fd()
To override the initial guess of implied volatility, set and warm up the underlying volatility model.
Filter Contracts
By default, LEAN subscribes to the Option contracts that have the following characteristics:
- Standard type (exclude weeklys)
- Within 1 strike price of the underlying asset price
- Expire within 35 days
To adjust the universe of contracts, set a filter. The filter usually runs at the first bar of every day. When the filter selects a contract that isn't currently in your universe, LEAN adds the new contract data to the next Slice that it passes to the OnDataon_data method.
To set a contract filter, in the Initializeinitialize method, call the SetFilterset_filter method of the Option object. The following table describes the available filter techniques:
| Method | Description |
|---|---|
SetFilter(int minStrike, int maxStrike)set_filter(minStrike: int, maxStrike: int) | Selects the contracts that have a strike price within a minimum and maximum strike level relative to the underlying price. For example, say the underlying price is $302 and there are strikes at every $5. If you set minStrikem_strike to -1 and maxStrikemax_strike to 1, LEAN selects the contracts that have a strike of $300 or $305. This filter runs asynchronously by default. |
SetFilter(TimeSpan minExpiry, TimeSpan maxExpiry)set_filter(minExpiry: timedelta, maxExpiry: timedelta) | Selects the contracts that expire within the range you set. This filter runs asynchronously by default. |
SetFilter(int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry)set_filter(minStrike: int, maxStrike: int, minExpiry: timedelta, maxExpiry: timedelta) | Selects the contracts that expire and have a strike within the range you set. This filter runs asynchronously by default. |
SetFilter(Func<OptionFilterUniverse, OptionFilterUniverse> universeFunc)set_filter(universeFunc: Callable[[OptionFilterUniverse], OptionFilterUniverse]) | Selects the contracts that a function selects. |
// Select contracts that have a strike price within 1 strike level above and below the underlying price option.SetFilter(minStrike: -1, maxStrike: 1); // Select contracts that expire within 30 days option.SetFilter(minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30)); // Select contracts that have a strike price within 1 strike level and expire within 30 days option.SetFilter(minStrike: -1, maxStrike: 1, minExpiry: TimeSpan.FromDays(0), maxExpiry: TimeSpan.FromDays(30)); // Select call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly());
# Select contracts that have a strike price within 1 strike level above and below the underlying price option.set_filter(min_strike=-1, max_strike=1) # Select contracts that expire within 30 days option.set_filter(min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30)) # Select contracts that have a strike price within 1 strike level and expire within 30 days option.set_filter(min_strike=-1, max_strike=1, min_expiry=timedelta(days=0), maxExpiry=timedelta(days=30)) # Select call contracts option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only())
The following table describes the filter methods of the OptionFilterUniverse class:
| Method | Description |
|---|---|
Strikes(int minStrike, int maxStrike)strikes(min_strike: int, max_strike: int) | Selects contracts that are within minStrikem_strike strikes below the underlying price and maxStrikemax_strike strikes above the underlying price |
CallsOnly()calls_only() | Selects call contracts |
PutsOnly()puts_only() | Selects put contracts |
StandardsOnly()standards_only() | Selects standard contracts |
IncludeWeeklys()include_weeklys() | Selects non-standard weeklys contracts |
WeeklysOnly()weeklys_only() | Selects weekly contracts |
FrontMonth()front_month() | Selects the front month contract |
BackMonths()back_months() | Selects the non-front month contracts |
BackMonth()back_month() | Selects the back month contracts |
Expiration(TimeSpan minExpiry, TimeSpan maxExpiry)expiration(min_expiry: timedelta, max_expiry: timedelta) | Selects contracts that expire within a range of dates relative to the current day |
Expiration(int minExpiryDays, int maxExpiryDays)expiration(min_expiryDays: int, max_expiryDays: int) | Selects contracts that expire within a range of dates relative to the current day |
Contracts(IEnumerable<Symbol> contracts)contracts(contracts: List[Symbol]) | Selects a list of contracts |
Contracts(Func<IEnumerable<Symbol>, IEnumerable< Symbol>> contractSelector)contracts(contract_selector: Callable[[List[Symbol]], List[Symbol]]) | Selects contracts that a selector function selects |
The preceding methods return an OptionFilterUniverse, so you can chain the methods together.
// Example 1: Select the front month call contracts option.SetFilter(optionFilterUniverse => optionFilterUniverse.CallsOnly().FrontMonth()); // Example 2: Select the contracts (including weeklys) that expire in the next 90 days option.SetFilter(optionFilterUniverse => optionFilterUniverse.IncludeWeeklys().Strikes(-20, 20).Expiration(0, 90));
# Example 1: Select the front month call contracts option.set_filter(lambda option_filter_universe: option_filter_universe.calls_only().front_month()) # Example 2: Select the contracts (including weeklys) that expire in the next 90 days option.set_filter(lambda option_filter_universe: option_filter_universe.include_weeklys().strikes(-20, 20).expiration(0, 90))
To perform thorough filtering on the OptionFilterUniverse, define an isolated filter method.
// In Initialize
option.SetFilter(Selector);
private OptionFilterUniverse Selector(OptionFilterUniverse optionFilterUniverse)
{
var symbols = optionFilterUniverse.PutsOnly();
var strike = symbols.Select(symbol => symbol.ID.StrikePrice).Min();
symbols = symbols.Where(symbol => symbol.ID.StrikePrice == strike);
return optionFilterUniverse.Contracts(symbols);
} # In Initialize
option.SetFilter(self.contract_selector)
def contract_selector(self, option_filter_universe: OptionFilterUniverse) -> OptionFilterUniverse:
symbols = option_filter_universe.puts_only()
strike = min([symbol.id.strike_price for symbol in symbols])
symbols = [symbol for symbol in symbols if symbol.id.strike_price == strike]
return option_filter_universe.contracts(symbols)
Some of the preceding filter methods only set an internal enumeration in the OptionFilterUniverse that it uses later on in the filter process. This subset of filter methods don't immediately reduce the number of contract Symbol objects in the OptionFilterUniverse.
Navigate Option Chains
OptionChain objects represent an entire chain of Option contracts for a single underlying security. They have the following properties:
To get the OptionChain, index the OptionChainsoption_chains property of the Slice with the canonical Symbolsymbol. After you get the OptionChain, you can sort and filter the Option contracts in the chain.
public override void OnData(Slice slice)
{
if (slice.OptionChains.TryGetValue(_symbol, out var chain))
{
// Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
var contracts = chain
.Where(x => x.Right == OptionRight.Put)
.OrderByDescending(x => x.Expiry)
.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.Take(5);
// Select the contract with the delta closest to -0.5
var contract = contracts.OrderBy(x => Math.Abs(-0.5m - x.Greeks.Delta)).FirstOrDefault();
}
} def on_data(self, slice: Slice) -> None:
chain = slice.option_chains.get(self.symbol)
if chain:
# Example: Find 5 put contracts that are closest to at-the-money (ATM) and have the farthest expiration
contracts = [x for x in chain if x.right == OptionRight.PUT]
contracts = sorted(sorted(contracts, \
key = lambda x: abs(chain.underlying.price - x.strike)), \
key = lambda x: x.expiry, reverse=True)[:5]
# Select the contract with the delta closest to -0.5
contract = sorted(contracts, key=lambda x: abs(-0.5 - x.greeks.delta))[0]
You can also loop through the OptionChainsoption_chains property to get each OptionChain.
public override void OnData(Slice slice)
{
foreach (var kvp in slice.OptionChains)
{
var canoncialSymbol = kvp.Key;
var chain = kvp.Value;
var contracts = chain.Contracts;
}
} def on_data(self, slice: Slice) -> None:
for canonical_symbol, chain in slice.option_chains.items():
contracts = chain.contracts
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