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Hello,
I am trying to set up my program so that I get following slice data for a security and a few of it’s options for every tick. I need this from Jan 1, 2019 until now
1. SPY ETF
2. SPY Option 3 year option "SPY 211217P00260"
3. SPY Option 2 year option “SPY 200919P00260”
4. SPY Option 3 month option “SPY 200919P00260”
I tried using filter as shown in option template program but my problems are:
1. Though I need specific option, I have to specify large spread (means too many options)
2. To get all three options I have specify time frame too large (too large)
3. I can live with hourly or daily data. Option data is provided every second and I don’t know how to specify coarse granularity.
This is making program extremely slow and simulation becoming almost unusable.
Any suggestion or sample program which shows how I can accomplish this efficiently? (I am using python)
Thank you
Sachin
Rahul Chowdhury
Hi Sachin,
You can use the OptionChainProvider to add only the contracts you need rather than an entire chain of contracts. This should speed up your algorithm. Using the OptionChainProvider.GetOptionContractList(symbol, date) you can retrieve a list of option contracts for a specific symbol and date. Then you can filter that list for the relevant contracts and add them to your algorithm using AddOptionContract.
You can learn more about the OptionChainProvider in the documentation.
Best
Rahul
Sachin S
Thank you Rahul for the answer and pointer. I will try that.
Sachin S
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