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Hi All,
Is there any example for Options trading in c# that uses OptionChainProvider.GetOptionContractList ?
Thanks
Nik
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Michael Manus
you know the github project. There I found this
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Nik milev INVESTOR
Thank you Michael and Gustavo!
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Michael Manus
hehe :)
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Artemiusgreat
Here is an example of selling Short Strangle (Call + Put) for premium. Options are monthly, Unfortunately, LEAN doesn't allow to get weekly and daily options.
There is also an implementation fir SetFilter, but OptionChainProvider seems more reliable.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
All the data is there =)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
Weekly options in a Chain Provider would be a significant step forward. In the meantime, here are some other examples for C#. All examples are for MSFT and strike prices are pretty random, so strategies can definitely be optimized.
1. Long Strangle
http://www.theoptionsguide.com/long-strangle.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
2. Long Straddle
http://www.theoptionsguide.com/long-straddle.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
3. Short Strangle
http://www.theoptionsguide.com/short-strangle.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
4. Short Straddle
http://www.theoptionsguide.com/short-straddle.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
5. Bear Call Spread
http://www.theoptionsguide.com/bear-call-spread.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
6. Bull Put Spread
http://www.theoptionsguide.com/bull-put-spread.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
7. Long Condor
http://www.theoptionsguide.com/reverse-iron-condor.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
8. Short Condor
http://www.theoptionsguide.com/iron-condor.aspx
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Artemiusgreat
Some strategies are harder to implement, because I can't see how to compare Bid / Ask prices of options in a chain. For example, Risk Reversal - I found some Put option that I'd like to sell, so now I need to find Call option that costs less that my Put option. Something like this.Now we found Put option whose strike price is from -$0 to -$3 below underlying price
var atmPuts = from c in contracts where c.ID.OptionRight == OptionRight.Put where price - c.ID.StrikePrice < 3 && price - c.ID.StrikePrice >= 0 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c; var contractAtmPut = atmPuts .OrderBy(o => o.ID.Date) .ThenByDescending(o => price - o.ID.StrikePrice) .FirstOrDefault();Now we have Put option that we want to sell and get its Premium. Let's assume Bid price of this option is 5.25, so we can get $525 by selling it. I'm neutral to bullish, and to increase probability of my trade I need to find Call option that can increase my profit but cost of that Call shouldn't exceed cost of the premium from my Put option, because I need this premium to compensate commission and possible market move against me, so I want to find Call option whose Ask price is not more than 4.25
var otmCalls = from c in contracts where c.ID.OptionRight == OptionRight.Call where contractAtmPut.BidPrice - c.AskPrice <= 1.0 // difference should be more than $100 where (c.ID.Date - Time).TotalDays < 35 && (c.ID.Date - Time).TotalDays > 0 select c;Question: how to get these Ask / Bid prices?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Michael Manus
nice stuff
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Nikolay Chikhachev
The correct approach to building spreads is based on Deltas rather than prices.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Alexandre Catarino
Thank you artemiusgreat for the strategies in C#.
Jing Wu has made a tutorial series on options with examples in python.
Unfortunately, we cannot build spread based on deltas when we use OptionChainProvider at the moment.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Erik Balun
You can get spreads after using OptionChainProvider with a history call of the contracts in question.
When calling the History function with option contracts it returns a dataframe with Quotebars including ask and bid prices.
contractList = self.OptionChainProvider.GetOptionContractList(symbol, self.Time)
# filter and sort contracts then grab best contract
contracts = [i for i in contractList if i.ID.OptionRight is OptionRight.Call and
i.ID.StrikePrice < (1 + self.OTM) * self.priceData[0] and
self.DTE - self.DTErange < (i.ID.Date - self.Time).days < self.DTE + self.DTErange]
history = self.History(contracts, 1, Resolution.Minute)
history['spread'] = history.askclose- history.bidclose
for contract in contracts:
contract.spread = history.loc(contract)['spread']
if len(contracts) > 0:
contract = sorted(contracts,key=lambda x: (x.spread, x.ID.StrikePrice, -(x.ID.Date - self.Time).days))[0]
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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