Hi,
I'm trying to use OptionUniverseSelectionModel in order to get daily option data
(using the optionChain/ optionProvider is VERY slow, even with consolidators, because in QC we must use minute data with options )
but I cant get the option price (the price is 0 )... any advice?
Alexandre Catarino
Hi Gil Sapir
Sorry about the long wait. :-)
Your algorithm does not try to implement daily consolidators for options.
In the attached backtest, we can see the skeleton of a possible implementation. I am using the Good Design Patterns that we recommend in the Algorithm Framework.
Basically, we implement a dictionary of daily consolidators keyed by options' symbols.
When a new option contract is added to the universe, we create a consolidator using self.Consolidate helper method and when the contract is removed from the universe, positions are liquidated and we remove the consolidator from the SubscriptionManager.
I would also recommend using a every 120-min Scheduled Event instead of the 120-min consolidator attached to SPY, since SPY can be an option underlying. Also, in the callback method sellOptions we can use self.CurrentSlice.OptionsChains to access the OptionsContract objects.
Gil Sapir
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