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Is there any way to filter securities (preferably using FundamentalUniverseSelectionModel) by if a security has or doesn't have options? Or, is there a way to filter by that security's total option volume?
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Shile Wen
Hi Jacob,
At the moment, there is no method to filter stocks based on whether they have options. However, you could try to filter the stocks based on criteria listed here.
Best,
Shile Wen
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Jacob Levy
Thanks Shile for the reply. While it's not really during universe selection, but rather during OnData, I ended up just checking the length of contracts provided by OptionChainProvider to see if a security has options. See attached backtest. This works for me. Thanks!
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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