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for kvp in slice.OptionChains:
chain = kvp.Value # option contracts for each 'subscribed' symbol/key
traded_contracts = filter(lambda x: x.Symbol in [self.this_option_symbol], chain)
for this_option in traded_contracts:
# Do stuff with this_option
There must be an easier way to access contracts from the options chain than have to use two for loops? Simply looking up the stock and specific option symbols as if they were dictionary objects doesn't appear to work. slice.OptionChains['stock_symbol'].contracts['options_symbol']
There's a link here for a github pull request that adds a similar kind of functionality but this doesn't appear in the docs. Or at least not in the docs that I've found? https://github.com/QuantConnect/Lean/pull/2615
Douglas Stridsberg
Hi! You've done the hard work of finding the pull request - if you'd also looked at the actual files changed, you would have found that the example options algorithm file (line #51) makes use of this functionality :) .
def OnData(self,slice): if self.Portfolio.Invested: return chain = slice.OptionChains.GetValue(self.option_symbol) if chain is None: return # we sort the contracts to find at the money (ATM) contract with farthest expiration contracts = sorted(sorted(sorted(chain, \ key = lambda x: abs(chain.Underlying.Price - x.Strike)), \ key = lambda x: x.Expiry, reverse=True), \ key = lambda x: x.Right, reverse=True) # if found, trade it if len(contracts) == 0: return symbol = contracts[0].Symbol self.MarketOrder(symbol, 1)Hello
Cool, that looks like it should work! Thanks for pointing that out.
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