Hello, I am creating my first options trading algorithm and I need to use Greeks as a part of the selection. I have found on the forums that apparently you need the "CrankNicolsonFD" Pricing Model in order to use greeks. Here is the code in the Initialize Method:

option = self.AddOption("SPX", Resolution.Minute) option.PriceModel = OptionPriceModels.CrankNicolsonFD() option.SetFilter(-2, +2, TimeSpan.FromDays(30), TimeSpan.FromDays(60)) self.SetWarmUp(60, Resolution.Daily)

However when I backtest, I get an error that "OptionPriceModels" is not defined. This is strange because every options algo has this very line of code but I can't get it to work and there seem to be no other threads of people having the same problem.

So my question is how do I fix this? And also it would be helpful if I could get some confirmation that I indeed need this pricing model in order to use Greeks.

Author

Ethan Wertlieb

January 2021