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Requesting Data

Individual Contracts

Introduction

The add_option_contract method enables you to add an individual Option contract to your algorithm. To check which contracts are currently available to add to your algorithm, use the option_chain method. If you want to subscribe to a set of contracts instead of individual contracts one-by-one, see Universes.

Create Subscriptions

Before you can subscribe to an Index Option contract, you must configure the underlying Index and get the contract symbol.

Select Language: 
class BasicIndexOptionAlgorithm(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2024, 1, 1)
        self._underlying = self.add_index("SPX").symbol
        self._contract_symbol = None

    def on_data(self, data):
        if self._contract_symbol:
            return
        chain = self.option_chain(self._underlying, flatten=True).data_frame
        expiry = chain.expiry.min()
        self._contract_symbol = chain[
            (chain.expiry == expiry) &
            (chain.right == OptionRight.CALL) &
            (chain.delta < 0.7) &
            (chain.delta > 0.3)
        ].sort_values('openinterest').index[-1]
        self.add_option_contract(self._contract_symbol)

Configure the Underlying Index

In most cases, you should subscribe to the underlying Index before you subscribe to an Index Option contract.

Select Language: 
self._underlying = self.add_index("SPX").symbol

Get Contract Symbols

To subscribe to an Option contract, you need the contract Symbol. The preferred method to getting Option contract Symbol objects is to use the option_chain method. This method returns an OptionChain object, which represent an entire chain of Option contracts for a single underlying security. You can even format the chain data into a DataFrame where each row in the DataFrame represents a single contract. With the chain, sort and filter the data to find the specific contract(s) you want to trade.

Select Language: 
# Get the contracts available to trade (in DataFrame format).
#   Option A: Standard contracts.
chain = self.option_chain(
    Symbol.create_canonical_option(self._underlying, Market.USA, "?SPX"), flatten=True
).data_frame

#  Option B: Weekly contracts.
#chain = self.option_chain(
#    Symbol.create_canonical_option(self._underlying, "SPXW", Market.USA, "?SPXW"), flatten=True
#).data_frame

# Select a contract.
expiry = chain.expiry.min()
self._contract_symbol = chain[
    # Select call contracts with the closest expiry.
    (chain.expiry == expiry) &
    (chain.right == OptionRight.CALL) &
    # Select contracts with a 0.3-0.7 delta.
    (chain.delta < 0.7) &
    (chain.delta > 0.3)
    # Select the contract with the largest open interest.
].sort_values('openinterest').index[-1]

Subscribe to Contracts

To create an Index Option contract subscription, pass the contract Symbol to the add_index_option_contract method. Save a reference to the contract Symbol so you can easily access the contract in the OptionChain that LEAN passes to the on_data method. To override the default pricing model of the Option, set a pricing model.

Select Language: 
option = self.add_index_option_contract(self._contract_symbol)
option.PriceModel = OptionPriceModels.black_scholes()

The add_index_option_contract method creates a subscription for a single Index Option contract and adds it to your user-defined universe. To create a dynamic universe of Index Option contracts, add an Index Option universe.

Warm Up Contract Prices

If you subscribe to an Index Option contract with add_index_option_contract, you'll need to wait until the next Slice to receive data and trade the contract. To trade the contract in the same time step you subscribe to the contract, set the current price of the contract in a security initializer.

Select Language: 
seeder = FuncSecuritySeeder(self.get_last_known_prices)
self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model, seeder))

Supported Assets

To view the supported assets in the US Index Options dataset, see Supported Assets.

Resolutions

The following table shows the available resolutions and data formats for Index Option contract subscriptions:

ResolutionTradeBarQuoteBarTrade TickQuote Tick
TICK

SECOND

MINUTEgreen checkgreen check
HOURgreen checkgreen check
DAILYgreen checkgreen check

The default resolution for Index Option subscriptions is Resolution.MINUTE. To change the resolution, pass a resolution argument to the add_index_option_contract method.

Select Language: 
self.add_index_option_contract(self._contract_symbol, Resolution.HOUR)

To create custom resolution periods, see Consolidating Data.

Supported Markets

The only market available for Index Options is Market.USA. You don't need to pass a market argument to the add_index_option_contract method because the contract Symbol already contains the market.

Fill Forward

Fill forward means if there is no data point for the current slice, LEAN uses the previous data point. Fill forward is the default data setting. If you disable fill forward, you may get stale fills or you may see trade volume as zero.

To disable fill forward for a security, set the fill_forward argument to false when you create the security subscription.

Select Language: 
self.add_index_option_contract(self._contract_symbol, fill_forward=False)

Margin and Leverage

LEAN models buying power and margin calls to ensure your algorithm stays within the margin requirements. Options are already leveraged products, so you can't change their leverage.

Data Normalization

The data normalization mode doesn't affect the data that LEAN passes to on_data or the data from history request. If you change the data normalization mode, it won't change the outcome.

Remove Subscriptions

To remove a contract subscription that you created with add_index_option_contract, call the remove_option_contract method. This method is an alias for remove_security.

Select Language: 
self.remove_option_contract(self._contract_symbol)

The remove_option_contract method cancels your open orders for the contract and liquidates your holdings.

Properties

The add_index_option_contract method returns an Option object, which have the following properties:

Option Select Language:
    Returns true if this is the option chain security, false if it is a specific option contract
  • is_option_chain: bool
    • Returns true if this is a specific option contract security, false if it is the option chain security
  • is_option_contract: bool
    • Gets the strike price
  • strike_price: decimal
    • Gets the strike price multiplied by the strike multiplier
  • scaled_strike_price: decimal
    • Gets the expiration date
  • expiry: DateTime
    • Gets the right being purchased (call [right to buy] or put [right to sell])
  • right: OptionRight
    • Gets the option style
  • style: OptionStyle
    • Gets the most recent bid price if available
  • bid_price: decimal
    • Gets the most recent ask price if available
  • ask_price: decimal
    • When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands.
  • contract_unit_of_trade: Int32
    • The contract multiplier for the option security
  • contract_multiplier: Int32
    • Specifies if option contract has physical or cash settlement on exercise
  • exercise_settlement: SettlementType
    • Gets or sets the underlying security object.
  • underlying: Security
    • Gets or sets the price model for this option security
  • price_model: IOptionPriceModel
    • Fill model used to produce fill events for this security
  • option_exercise_model: IOptionExerciseModel
    • The automatic option assignment model
  • option_assignment_model: IOptionAssignmentModel
    • Gets or sets the contract filter
  • contract_filter: IDerivativeSecurityFilter<OptionUniverse>
    • This securities QuantConnect.Interfaces.IShortableProvider
  • shortable_provider: IShortableProvider
    • Gets all the subscriptions for this security
  • subscriptions: List<SubscriptionDataConfig>
    • QuantConnect.Securities.Security.Symbol for the asset.
  • symbol: Symbol
    • Gets the Cash object used for converting the quote currency to the account currency
  • quote_currency: Cash
    • Gets the symbol properties for this security
  • symbol_properties: SymbolProperties
    • Type of the security.
  • type: SecurityType
    • There has been at least one datapoint since our algorithm started running for us to determine price.
  • has_data: bool
    • Gets or sets whether or not this security should be considered tradable
  • is_tradable: bool
    • True if the security has been delisted from exchanges and is no longer tradable
  • is_delisted: bool
    • Data cache for the security to store previous price information.
  • cache: SecurityCache
    • Holdings class contains the portfolio, cash and processes order fills.
  • holdings: SecurityHolding
    • Exchange class contains the market opening hours, along with pre-post market hours.
  • exchange: SecurityExchange
    • Fee model used to compute order fees for this security
  • fee_model: IFeeModel
    • Fill model used to produce fill events for this security
  • fill_model: IFillModel
    • Slippage model use to compute slippage of market orders
  • slippage_model: ISlippageModel
    • Gets the portfolio model used by this security
  • portfolio_model: ISecurityPortfolioModel
    • Gets the buying power model used for this security
  • buying_power_model: IBuyingPowerModel
    • Gets the buying power model used for this security, an alias for QuantConnect.Securities.Security.BuyingPowerModel
  • margin_model: IBuyingPowerModel
    • Gets or sets the margin interest rate model
  • margin_interest_rate_model: IMarginInterestRateModel
    • Gets the settlement model used for this security
  • settlement_model: ISettlementModel
    • Gets the volatility model used for this security
  • volatility_model: IVolatilityModel
    • Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms.
  • data_filter: ISecurityDataFilter
    • Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database.
  • price_variation_model: IPriceVariationModel
    • Provides dynamic access to data in the cache
  • data: object
    • Read only property that checks if we currently own stock in the company.
  • hold_stock: bool
    • Alias for HoldStock - Do we have any of this security
  • invested: bool
    • Local time for this market
  • local_time: DateTime
    • Get the current value of the security.
  • price: decimal
    • Leverage for this Security.
  • leverage: decimal
    • If this uses tradebar data, return the most recent high.
  • high: decimal
    • If this uses tradebar data, return the most recent low.
  • low: decimal
    • If this uses tradebar data, return the most recent close.
  • close: decimal
    • If this uses tradebar data, return the most recent open.
  • open: decimal
    • Access to the volume of the equity today
  • volume: decimal
    • Gets the most recent bid size if available
  • bid_size: decimal
    • Gets the most recent ask size if available
  • ask_size: decimal
    • Access to the open interest of the security today
  • open_interest: int
    • Gets the fundamental data associated with the security if there is any, otherwise null.
  • fundamentals: Fundamental
    • Gets or sets the specified custom property through the indexer. This is a wrapper around the QuantConnect.Securities.Security.Get``1(System.String) and QuantConnect.Securities.Security.Add(System.String,System.Object) methods.
  • item: object
    • The default time of day for settlement
  • DEFAULT_SETTLEMENT_TIME: TimeSpan
    • The default number of days required to settle an equity sale
  • DEFAULT_SETTLEMENT_DAYS: Int32

Helper Methods

The Option object provides methods you can use for basic calculations. These methods require the underlying price. To get the Option object and the Security object for its underlying in any function, use the Option symbol to access the value in the securities object.

Select Language: 
option = self.securities[self._contract_symbol]
underlying = self.securities[self._contract_symbol.underlying]
underlying_price = underlying.price

To get the Option payoff, call the get_pay_off method.

Select Language: 
pay_off = option.get_pay_off(underlying_price)

To get the Option intrinsic value, call the get_intrinsic_value method.

Select Language: 
intrinsic_value = option.get_intrinsic_value(underlying_price)

To get the Option out-of-the-money amount, call the out_of_the_money_amount method.

Select Language: 
otm_amount = option.out_of_the_money_amount(underlying_price)

To check whether the Option can be automatic exercised, call the is_auto_exercised method.

Select Language: 
is_auto_exercised = option.is_auto_exercised(underlying_price)

Exceptions and Edge Cases

The following sections explain exceptions and edge cases with subscribing to individual Option contracts.

Manually Creating Option Symbol Objects

To subscribe to an Option contract, you need the contract Symbol. To get Index Option contract Symbol objects, call the create_option or option_chain methods. If you use the create_option method, you need to know the specific contract details.

Select Language: 
# Standard contracts
self._contract_symbol = Symbol.create_option(self._underlying, Market.USA,
    OptionStyle.EUROPEAN, OptionRight.CALL, 3650, datetime(2022, 6, 17))

# Weekly contracts
self._weekly_contract_symbol = Symbol.create_option(self._underlying, "SPXW", Market.USA,
    OptionStyle.EUROPEAN, OptionRight.CALL, 3650, datetime(2022, 6, 17))

Default Underlying Subscription Settings

If you subscribe to an Index Option contract but don't have a subscription to the underlying Index, LEAN automatically subscribes to the underlying Index and sets its fill forward property to match that of the Index Option contract. In this case, you still need the Index symbol to subscribe to Index Option contracts. If you don't have access to it, create it.

Select Language: 
self._underlying = Symbol.create("SPX", SecurityType.INDEX, Market.USA)

Overriding the Initial Implied Volatility Guess

To override the initial guess of implied volatility, set and warm up the underlying volatility model.

Examples

The following examples demonstrate common practices for requesting individual index option contract data.

Example 1: 5-Minute Option Chain

The following example shows how to update the Option chain every five minutes. The custom OptionChainManager class implements the selection logic and manages the contract subscriptions.

Select Language: 
class OptionChainFullExample(QCAlgorithm):

    def initialize(self) -> None:
        self.set_start_date(2023, 1, 2)
        self.set_end_date(2023, 1, 30)
        self.set_cash(100000)
        self.universe_settings.asynchronous = True
        self.universe_settings.minimum_time_in_universe = timedelta(minutes=0)

        # Seed the last price to ensure filtering using the underlying price is available immediately.
        self.set_security_initializer(
            BrokerageModelSecurityInitializer(self.brokerage_model, FuncSecuritySeeder(self.get_last_known_prices))
        )

        # Request the index underlying data for filtering.
        spx = self.add_index("SPX").symbol
        # Create the 5-minute option chain manager on SPXW weekly index option.
        self._chain_manager = {
            Symbol.create_canonical_option(spx, "SPXW", Market.USA, "?SPXW"): OptionChainManager(-10, 10, 0, 1)
        }
        # Populate the updated option chain immediately to trade with.
        self._populate_option_chain()

        # Set schedule event to populate the option chain at market open, since the option contracts are updating daily.
        self.schedule.on(
            self.date_rules.every_day(spx), self.time_rules.after_market_open(spx, 1), self._populate_option_chain
        )
        # Set a scheduled event to filter the closed ATM calls every 5 minutes.
        self.schedule.on(self.date_rules.every_day(spx), self.time_rules.every(timedelta(minutes=5)), self._filter)

    def _populate_option_chain(self) -> None:
        # The contract list is updated daily, so we can get it and apply
        # the expiration filter as soon as the market opens.
        for symbol, manager in self._chain_manager.items():
            manager.set_chain(self.option_chain(symbol), self.time)
        self._filter()

    def _filter(self) -> None:
        for symbol, manager in self._chain_manager.items():
            manager.select(self, symbol)

    def on_data(self, slice: Slice) -> None:
        for symbol, _ in self._chain_manager.items():
            # Only trade on updated data.
            chain = slice.option_chains.get(symbol)
            if not chain: 
                continue

            # Filter the closest ATM call contract and trade.
            expiry = min([x.expiry for x in chain])
            contracts = [
                x for x in chain 
                if x.expiry == expiry and x.right == OptionRight.CALL and self.securities[x.symbol].is_tradable
            ]
            if not contracts: 
                continue
            atm_call = sorted(contracts, key=lambda x: abs(chain.underlying.price-x.strike))[0]
            if not self.portfolio[atm_call.symbol].invested:
                self.market_order(atm_call.symbol, 1)


class OptionChainManager:
    _chain = []
    _symbols = set([])
        
    def __init__(self, min_strike: int, max_strike: int, min_expiry: int, max_expiry: int) -> None:
        self._min_strike = min_strike
        self._max_strike = max_strike
        self._min_expiry = min_expiry
        self._max_expiry = max_expiry
        
    def set_chain(self, chain:OptionChain, time: datetime) -> None:
        # Filter the expiry daily only since contract list is updated daily.
        self._chain = [x for x in chain if self._min_expiry <= (x.expiry - time).days <= self._max_expiry]
        
    def select(self, algorithm: QCAlgorithm, symbol: Symbol) -> None:
        if not self._chain:
            return
        if symbol.is_canonical():
            symbol = symbol.underlying

        # Filter the contracts with strike range spread between the preset level.
        strikes = sorted(set(x.strike for x in self._chain))
        spot = algorithm.securities[symbol].price
        atm = sorted(strikes, key=lambda x: abs(spot-x))[0]
        index = strikes.index(atm)
        min_strike = strikes[max(0, index + self._min_strike)]
        max_strike = strikes[min(len(strikes) - 1, index + self._max_strike)]
        symbols = set(x.symbol for x in self._chain if min_strike <= x.strike <= max_strike)
        
        # Remove subscriptions if the contracts are not being ATM anymore.
        for symbol in self._symbols - symbols:
            if algorithm.remove_option_contract(symbol):
                self._symbols.remove(symbol)
        # Request data of the newly identified ATM contracts.
        for symbol in symbols - self._symbols:
            self._symbols.add(symbol)
            algorithm.add_option_contract(symbol)

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