Option hourly resolution

Hi Ken M, option data has minute resolution only.

In order to get hourly bars, you should use consolidators, one for each contract.

Here is an example with futures, the implementation for options is basically the same.

How do we use the consolidator created for futures, but with option chains?

I would like to consolidate options chains to more than hourly, say every 4 hours.

Thanks

Hi Mathieu,
 

It is certainly possible to use consolidators with options chains, and I've provided a link to an example here. Hopefully this will help you with you algorithm, and if there are additional issues that you encounter, post in the forum and the community can help you solve them!

Jack Simonson Consolidators are not good enough to use with options because we don't have access to the OptionChain from the consolidator.
We have it only in OnData (slice ).

Hi Gil Sapir ,

What do you want to consolidate?
If we just want to consolidate price data, we can use consolidators as suggested by Jack.

We can assign an event to the consolidator and when it is triggered, the OptionsChains of the current Slice object can be accessed to find the option contract for the symbol:

Hello Alexandre,

Thanks for your add on Jack's script for Options Consolidation, I am currently trying to use the same logic to obtain the Implied Volatility of different Option contracts with 2h and 3h frequency. I already have the whole Algo up and running at minute frequency, 
I really cannot understand how to use  Consolidators + Event Handler to solve my problem.
I was trying to combine Jack's example with your suggested lines to do the following:
1) Obtain Option Chain, filtered by strike and maturities range.
2) Isolate only Put contracts with specific expiries and moneyness
3) Obtain Implied Volatility for those contracts only (using Crank Nicolson model)

Is this actually feasible using the approach you suggeted or am I missing something?

Moreover, after checking Documentation I think I still need a clarification of the difference between the OnData() method and OnSecuritiesChanged() which Jack uses in his example above...

Thanks a lot.





 

Hi Alberto,

Please attach a backtest which demonstrates the issue.

To clarify OnData and the OnSecuritiesChanged methods, OnData is called with every data slice passed to the algorithm while OnSecuritiesChanged is called whenever an option contract enters or leaves the universe.

Best,
Derek Melchin

Hi Derek,

Thank you for the clarification.

Before digging into the whole code let me just rephrase my question in simpler terms cause maybe there is no need for it:

I want to consolidate at Hourly frequecy the values of Implied Volatility only for specific options contracts of the same OptionChain (i.e. SPY OptionChain). Is it feasible using Consolidators (or anything else)?

Thanks a lot in advance,

Best,

Alberto

 

Hi Alberto,

To consolidate the IV of option contracts, we can create a `BaseDataConsolidator` for each contract.

We can then update the consolidator with the IV values passed to OnData.

Consolidated IV bars are then passed to `OnIVConsolidated`. See the attached backtest for reference.

Best,
Derek Melchin

Can consolidators decrease the time needed for a backtest since it means the engine calls OnData hourly instead of every minute?

Hi Urban,
The OnData method is the primary event handler that will be triggered at the resolution of our security if there is data available at the given time. Using a consolidator won't stop the engine from calling the event handler. We can potentially increase the speed of a backtest by completing all the calculations in the consolidator handler method and removing the OnData method.
We are currently working on adding Hourly and Daily resolutions for options. Subscribe to the following GH issue for updates:
https://github.com/QuantConnect/Lean/pull/6017
Best,
Varad Kabade

Hope you don't mind the newbie question: is it possible to decrease the time needed for a backtest if a simple algorithm just wants to call OnData() at a fixed time daily e.g. at 10am?

Hi Urban,
Yes, the backtest will be significantly faster if our logic is restricted to a particular time in a day. We recommend using Scheduled events. Refer to the following doc for more information.
Best,
Varad Kabade