Options Models

public class BrokerageModelExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        // In the Initialize method, set the security initializer to seed initial the prices and models of assets.
        SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));
    }
}

public class MySecurityInitializer : BrokerageModelSecurityInitializer
{
    public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
        : base(brokerageModel, securitySeeder) {}    
    public override void Initialize(Security security)
    {
        // First, call the superclass definition.
        // This method sets the reality models of each security using the default reality models of the brokerage model.
        base.Initialize(security);

        // Next, overwrite the assignment model
        if (security.Type == SecurityType.Option) // Option type
        {
            (security as Option).SetOptionAssignmentModel(new DefaultOptionAssignmentModel());
        }    }
}

class BrokerageModelExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        # In the Initialize method, set the security initializer to seed initial the prices and models of assets.
        self.set_security_initializer(MySecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices)))

# Outside of the algorithm class
class MySecurityInitializer(BrokerageModelSecurityInitializer):

    def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None:
        super().__init__(brokerage_model, security_seeder)    
    def initialize(self, security: Security) -> None:
        # First, call the superclass definition.
        # This method sets the reality models of each security using the default reality models of the brokerage model.
        super().initialize(security)

        # Next, overwrite the assignment model
        if security.Type == SecurityType.OPTION: # Option type
            security.set_option_assignment_model(DefaultOptionAssignmentModel())

public class CustomOptionAssignmentModelExampleAlgorithm : QCAlgorithm
{
    public override void Initialize()
    {
        var security = AddOption("SPY");
        // Set custom option assignment model for mimicking specific Brokerage most realistic actions
        (security as Option).SetOptionAssignmentModel(new MyOptionAssignmentModel());
    }
}

// Define the custom Option assignment model outside of the algorithm
public class MyOptionAssignmentModel : IOptionAssignmentModel
{
    public OptionAssignmentResult GetAssignment(OptionAssignmentParameters parameters)
    {
        var option = parameters.Option;
        // Check if the contract is ITM
        if ((option.Right == OptionRight.Call && option.Underlying.Price > option.StrikePrice) ||
            (option.Right == OptionRight.Put && option.Underlying.Price < option.StrikePrice))
        {
            return new OptionAssignmentResult(option.Holdings.AbsoluteQuantity, "MyTag");
        }
        return OptionAssignmentResult.Null;
    }
}

class CustomOptionAssignmentModelExampleAlgorithm(QCAlgorithm):
    def initialize(self) -> None:
        security = self.add_option("SPY")
        # Set custom option assignment model for mimicking specific Brokerage most realistic actions
        security.set_option_assignment_model(MyOptionAssignmentModel())

# Define the custom Option assignment model outside of the algorithm
class MyOptionAssignmentModel(NullOptionAssignmentModel):

    def get_assignment(self, parameters: OptionAssignmentParameters) -> OptionAssignmentResult:
        option = parameters.option
        # Check if the contract is ITM
        if option.right == OptionRight.CALL and option.underlying.price > option.strike_price
            or option.right == OptionRight.PUT and option.underlying.price < option.strike_price:
            return OptionAssignmentResult(option.holdings.absolute_quantity, "MyTag")
        return OptionAssignmentResult.NULL

(security as Option).SetOptionAssignmentModel(new NullOptionAssignmentModel());

security.set_option_assignment_model(NullOptionAssignmentModel())