I try to create an option universe. Working as instructed on other posts in the forum, I filtered option contract s in the OnSecuritiesChanged method (in contrast to what is shown on options docs example for option chain provider) and I can not add the option contract after filtering them out. I use self.AddOptionContract and it throws the following error  

  1. Runtime Error: NotSupportedException : BacktestingOptionChainProvider.GetOptionContractList(): SecurityType.Equity, SecurityType.Future, or SecurityType.Index is expected but was Option

here's the code

  1. class MeasuredApricotCamel(QCAlgorithm):
  3.     def Initialize(self):
  4.         self.SetStartDate(2021, 12, 17)
  5.         self.SetEndDate(2022,1,1)
  6.         self.SetCash(100000)
  7.         
  8.         self.rebalanceTime = datetime.min
  9.         self.activeStocks = set()
  10.         self.activeOptions = set()
  11.         
  12.         self.AddUniverse(self.CoarseFilter)
  13.         self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
  14.         
  15.         self.counter = 1000
  16.     
  17.     def CoarseFilter(self, coarse):
  18.         if self.Time <= self.rebalanceTime:
  19.             return self.Universe.Unchanged
  20.         sortedByVolume = sorted(coarse, key = lambda x: x.Volume, reverse = True)
  21.         filtered = [x.Symbol for x in sortedByVolume if x.Price <= 200 and x.Price <= 50]
  22.         self.rebalanceTime = self.Time + timedelta(days = 45)
  23.         return filtered[0:10]
  24.          
  25.     def OptionsFilter(self, stock):
  26.         contracts = self.OptionChainProvider.GetOptionContractList(stock, self.Time)
  27.    
  28.         #selects the type of option to be Put contract
  29.         puts = [x for x in contracts if x.ID.OptionRight == OptionRight.Put]
  31.         #sorts contracts by closet expiring date date and closest strike price (sorts in ascending order)
  32.         puts = sorted(sorted(puts, key = lambda x: x.ID.Date), key = lambda x: x.ID.StrikePrice)
  33.         
  34.         
  35.         #then selects all contracts that meet our expiration criteria
  36.         #We want between 30 and 60 days as we do not want to hold our options close to expiration
  37.         puts = [x for x in puts if 30<(x.ID.Date - self.Time).days <= 60]
  38.      
  39.         if not puts:
  40.             return
  41.         
  42.         #selects the type of option to be Put contract
  43.         call = [x for x in contracts if x.ID.OptionRight ==OptionRight.Call]
  44.         
  45.         #sorts contracts by closet expiring date date and closest strike price (sorts in ascending order)
  46.         call = sorted(sorted(call, key = lambda x: x.ID.Date), key = lambda x: x.ID.StrikePrice , reverse = True)
  47.         
  48.         #then selects all contracts that meet our expiration criteria
  49.         call = [x for x in call if  30 <(x.ID.Date - self.Time).days <= 45]
  51.         if not call:
  52.            return
  53.         
  54.         #will eventually return array of optimal puts and calls
  55.         #self.AddOptionContract(puts[0], Resolution.Minute)
  56.         #self.AddOptionContract(call[0], Resolution.Minute)
  57.         
  58.         return (puts[0],call[0])
  59.     
  60.     def OnSecuritiesChanged(self, changes):
  61.         for x in changes.RemovedSecurities:
  62.             self.Liquidate(x.Symbol)
  63.             self.activeStocks.remove(x.Symbol)
  64.             
  65.         for x in changes.AddedSecurities:
  66.             self.activeStocks.add(x.Symbol)
  67.             options = self.OptionsFilter(x.Symbol)
  68.             loggg = ""
  69.             if options:
  70.                 put, call = options[0], options[1]
  71.                 self.activeOptions.add((put,call))
  72.                 loggg += put.Value + ", " + call.Value
  73.             self.Log(loggg)
  74.                     
  75.     def checkOptionStatus(self, option):
  76.         
  77.         if option.ID.Date < self.Time + timedelta(days = 7):
  78.             #It is time to sell
  79.             pass
  80.         pass
  81.             
  82.     def OnData(self, data):
  83.         
  84.         if self.activeOptions:
  85.             for option in self.activeOptions:
  86.                 pass
  87.         
  88.         if self.counter == 0:
  89.             self.Log(",".join([x.Value for x in self.activeStocks]))
  90.             #self.Log(self.activeOptions)
  91.             self.counter = 1000
  92.         else:
  93.             self.counter -= 1
+ Expand

Author

Yarden Gur

February 2022