Add Index option request data universe examples #1911
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AlexCatarino
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Tthank you, @baobach.
Sorry for the long wait.
Please run the C# and Pyhon codes on QC Cloud to ensure there is no bugs and the results are the same.
| _option.SetFilter(u => u.IncludeWeeklys().Expiration(0, 0).Strikes(-1, 1)); | ||
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| // Filter the option universe by Delta. | ||
| _option.SetFilter(optionFilterUniverse => optionFilterUniverse.Delta(0.25m, 0.75m)); |
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Adding two universes is misleading, since users can think it is a combination of both.
This filter is not adding weeklies, and AddindexOption is not adding SPXW.
Generally, use Resolution.Minute.
| if (calls.Count < 1) return; | ||
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| // Sorted the contracts according to their strike prices. | ||
| calls = calls.OrderBy(x => x.Strike).ToList(); |
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We can condense this logic to:
var call = chain.Where(contract => contract.Right == OptionRight.Call).OrderBy(x => x.Strike).FirstOrDefault();
if (call != null) Buy(call.Symbol, 1);The Python version is good, but we should leverage C# features.
| # Filter the option universe to only select 0DTE options. | ||
| self._option.set_filter(lambda u: u.include_weeklys().expiration(0, 0).strikes(-1, 1)) | ||
| # Filter the option universe by Delta. | ||
| self._option.set_filter(lambda option_filter_universe: option_filter_universe.delta(0.25, 0.75)) |
| var expiry = chain.Max(x => x.Expiry); | ||
| var atmCall = chain.Where(x => x.Expiry == expiry) | ||
| .OrderBy(x => Math.Abs(x.Strike - x.UnderlyingLastPrice)) | ||
| .First(); |
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This should be good, but ideally we use FirstOrDefault and check for null.
| if chain: | ||
| # Obtain the ATM call that expires furthest (90 days). | ||
| expiry = max(x.expiry for x in chain) | ||
| atm_call = min(chain, key=lambda x: abs(x.strike - x.underlying_last_price)) |
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expiry not used. Please run C# and Python examples. They should have the same results.
| foreach (var removed in changes.RemovedSecurities) | ||
| { | ||
| // Liquidate the contracts that exit the universe (due to expiry). | ||
| if (Portfolio[removed.Symbol].Invested) |
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We should use: removed.Invested or we can remove this if-condition, since Liquidade does nothing if this case if the security is not invested.
Description
Securities / Asset Classes / Index Option / Requesting Data / Universes
Related Issue
closes #1901
Motivation and Context
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>