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I am trying my hand at recreating some python code in C# but am having some trouble with typing, specifically I want to get the furtherest expiration for a chain.
The documentation is rather limited (and has a typo I believe):
// In Initialize
OptionSymol = option.Symbol; // (sp)?
// In OnData
OptionChain chain;
if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
{
// we find at the money (ATM) put contract with farthest expiration
var atmContract = chain
.OrderByDescending(x => x.Expiry)
.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.ThenByDescending(x => x.Right)
.FirstOrDefault();
}I have:
private Symbol options_symbol; // should be OptionsSymbol?
public override void Initialize()
{
SetStartDate(2018, 9, 1); //Set Start Date
SetEndDate(2018, 9, 30); //Set End Date
SetCash(100000); //Set Strategy Cash
AddEquity("SPY", Resolution.Minute);
var option = AddOption("SPY", Resolution.Minute);
options_symbol = option.Symbol; // returns "OptionsSymbol"?
SetWarmUp(TimeSpan.FromDays(3)); //Warm up 7 days of data.
}And than in `onData()`
public override void OnData(Slice data)
{
if(IsWarmingUp) return;
OptionChain chain;
// TryGetValue (doesn't work with option_symbol as type Symbol)
if(slice.OptionChains.TryGetValue(option_symbol, out chain)){
var spot_price = chain.Underlying.Price;
DateTime expiry = chain
.OrderByDescending(x => x.Expiry)
.FirstOrDefault().Expiry.Date;
Log("Expiry: " + expiry);
} else {
Debug("Didn't get options chain");
}
}
Jing Wu
You should declare the variable before assigning the value. "OptionSymol" is just a variable name, you can use option_symbol as well but you need to assign the value to this variable in Initialize()
option_symbol = option.Symbol;
In the documentation, the name should be "OptionSymbol" instead of "OptionSymol". We've fixed this typo.
Please see the attached algorithm
JordanBaucke
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