Accessing data from option symbol

Yes, it is possible to access the current ask and bid price of the option from the symbol object. You can do this by accessing the QuoteBar object associated with the symbol. The QuoteBar object contains the bid and ask prices.

Here is an example in Python:

def OnData(self, slice: Slice) -> None:
    chain = slice.OptionChains.get(self.option_contract_symbol)
    if chain:
        for contract in chain:
            bid_price = contract.BidPrice
            ask_price = contract.AskPrice

In this example, self.option_contract_symbol is the symbol of the option contract you are interested in. The slice.OptionChains.get() method is used to get the option chain associated with the symbol. The contract.BidPrice and contract.AskPrice give the current bid and ask prices respectively.

Sources:

• US Equity Options
• Handling Data for Future Options

I see many cases that OptionChainProvider, in a certain date, provides option symbols which I cannot retrieve through slice.OptionChains.get() method, i.e. None is returned

The OptionChainProvider provides a list of option contract symbols for a given underlying asset and a given date. However, not all of these symbols may be available in the slice.OptionChains object at a given time. The slice.OptionChains object only contains data for the option contracts that you have subscribed to.

If you are trying to access an option contract symbol from slice.OptionChains and it returns None, it could be because you have not subscribed to that particular option contract. You can subscribe to an option contract using the AddOptionContract() method.

Here is an example in Python:

contract_symbols = self.OptionChainProvider.GetOptionContractList(self.symbol, self.Time)
for symbol in contract_symbols:
    self.AddOptionContract(symbol)

In this example, self.symbol is the symbol of the underlying asset. The OptionChainProvider.GetOptionContractList() method is used to get a list of option contract symbols. The AddOptionContract() method is then used to subscribe to each option contract.

Please note that subscribing to a large number of option contracts can significantly increase your algorithm's memory usage and may cause it to exceed QuantConnect's memory limits.

Sources:

• Requesting Data for Equity Options
• Requesting Data for Future Options
• Requesting Data for Index Options