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Hi,
I replied this comment in another thread, but I think this issue deserves a separate topic.
Consolidators are not good enough to use with options because we don't have access to the OptionChain object from the consolidator.
We have it only in OnData (slice ).
via:
slice.OptionChains
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Alexandre Catarino
Please check out the answer in this thread:
https://www.quantconnect.com/forum/discussion/4594/option-hourly-resolution/p1Â
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Gil Sapir
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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