Can I iterate through an OptionChains class, and if so how? Or, must I iteratively apply .SetFilter. by Craig McWilliams

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Can I iterate through an OptionChains class, and if so how? Or, must I iteratively apply .SetFilter.

Last comment by - June 2020

Can I iterate through an OptionChains class, and if so how? Or, must I iteratively apply .SetFilter.

How to iterate through an OptionChains class in QuantConnect to identify chains with different strikes or expirations.

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Can I iterate through an OptionChains class, and if so how? Or, must I iteratively apply .SetFilter.

Craig McWilliams | June 2020

I'd like to interate through an OptionsChains class to identify chains with different strikes or expirations.

In the code, although the chain variable is ennumerable, I cannot apply the MoveNext() method. I infer there is no mechanism to iterate other than using a for or while operator and count my iterations. Is this true?

Contranegatively, I can identify my chain, for example, In The Money, and then call another .SetFilter with a different min/max strike and call another .OrderBy...

I need to evaluate different puts and calls at different strikes and expirations to identify the most optimal collar.

Any help is most appreciated, thank you.

Author

Craig McWilliams

June 2020

Upvote

Derek Melchin

QuantConnect | June 2020 |

Accepted Answer

Hi Craig,

To apply the $MoveNext$ method, we first need to get the enumerator from the chain.

var enumerator = chain.GetEnumerator();
while (enumerator.MoveNext()) {
    Log("MoveNext");
}

See the attached backtest for a full example.

In regards to $SetFilter$ , we don't recommend calling it in OnData. Instead, utilize the OptionChainProvider to get the list of option contracts.

Best,
Derek Melchin

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