Hi,

The below code is not able to fetch delta for options for initial 1-2 days. I am using WarmUp Period but that is not able to help delta calculation. Is there a way to manually warmup options delta calculations as well in this case or any better idea to achieve this:

  2. import numpy as np
  3. from datetime import timedelta
  4. from QuantConnect.Securities.Option import OptionPriceModels
  6. ### <summary>
  7. ### Basic template algorithm simply initializes the date range and cash. This is a skeleton
  8. ### framework you can use for designing an algorithm.
  9. ### </summary>
  10. class BasicTemplateAlgorithm(QCAlgorithm):
  11.     '''Basic template algorithm simply initializes the date range and cash'''
  13.     def Initialize(self):
  14.         self.SetStartDate(2017, 6, 1)
  15.         self.SetEndDate(2017, 6, 15)
  16.         self.SetWarmUp(timedelta(60)) # Warm up technical indicators
  17.         self.AddEquity("IBM", Resolution.Minute)
  19.         
  20.         self.Schedule.On(self.DateRules.EveryDay("IBM"),self.TimeRules.AfterMarketOpen("IBM", 30),Action(self.add_option))
  21.         self.Schedule.On(self.DateRules.EveryDay("IBM"),self.TimeRules.AfterMarketOpen("IBM", 60),Action(self.print_first_hour))
  23.     def OnData(self, slice):
  24.         self.option_data = slice
  25.         
  26.     def add_option(self):
  27.         self.option = self.AddOption("IBM", Resolution.Minute)
  28.         self.option.SetFilter(-3, +3, timedelta(0), timedelta(30))
  29.         self.option.PriceModel = OptionPriceModels.CrankNicolsonFD()
  30.         
  32.     def print_first_hour(self):
  33.         for chain in self.option_data.OptionChains.Values:
  34.             self.Log(f'{self.Time}--> Values of Delta: {[x.Greeks.Delta for x in chain]}')
+ Expand

 

Thanks.

 

Author

Abhishek Gupta

June 2021