Defines a single option contract at a specific expiration and strike price More...

Public Member Functions
	OptionContract (Symbol symbol, Symbol underlyingSymbol)
	Initializes a new instance of the OptionContract class More...

override string	ToString ()
	Returns a string that represents the current object. More...

Static Public Member Functions
static OptionContract	Create (BaseData baseData, ISecurityPrice security, decimal underlyingLastPrice)
	Creates a OptionContract More...

static OptionContract	Create (Symbol symbol, Symbol underlyingSymbol, DateTime endTime, ISecurityPrice security, decimal underlyingLastPrice)
	Creates a OptionContract More...

Public Attributes
decimal	Strike => Symbol.ID.StrikePrice
	Gets the strike price More...

DateTime	Expiry => Symbol.ID.Date
	Gets the expiration date More...

OptionRight	Right => Symbol.ID.OptionRight
	Gets the right being purchased (call [right to buy] or put [right to sell]) More...

OptionStyle	Style => Symbol.ID.OptionStyle
	Gets the option style More...

decimal	TheoreticalPrice => _optionPriceModelResult.Value.TheoreticalPrice
	Gets the theoretical price of this option contract as computed by the IOptionPriceModel More...

decimal	ImpliedVolatility => _optionPriceModelResult.Value.ImpliedVolatility
	Gets the implied volatility of the option contract as computed by the IOptionPriceModel More...

Greeks	Greeks => _optionPriceModelResult.Value.Greeks
	Gets the greeks for this contract More...

Properties
Symbol	Symbol `[get]`
	Gets the option contract's symbol More...

Symbol	UnderlyingSymbol `[get]`
	Gets the underlying security's symbol More...

DateTime	Time `[get, set]`
	Gets the local date time this contract's data was last updated More...

decimal	OpenInterest `[get, set]`
	Gets the open interest More...

decimal	LastPrice `[get, set]`
	Gets the last price this contract traded at More...

long	Volume `[get, set]`
	Gets the last volume this contract traded at More...

decimal	BidPrice `[get, set]`
	Gets the current bid price More...

long	BidSize `[get, set]`
	Get the current bid size More...

decimal	AskPrice `[get, set]`
	Gets the ask price More...

long	AskSize `[get, set]`
	Gets the current ask size More...

decimal	UnderlyingLastPrice `[get, set]`
	Gets the last price the underlying security traded at More...

Detailed Description

Defines a single option contract at a specific expiration and strike price

Definition at line 26 of file OptionContract.cs.

Constructor & Destructor Documentation

◆ OptionContract()

QuantConnect.Data.Market.OptionContract.OptionContract	(	Symbol	symbol,
		Symbol	underlyingSymbol
	)

Initializes a new instance of the OptionContract class

Parameters

symbol	The option contract symbol
underlyingSymbol	The symbol of the underlying security

Definition at line 158 of file OptionContract.cs.

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Member Function Documentation

◆ ToString()

override string QuantConnect.Data.Market.OptionContract.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

◆ Create() [1/2]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	BaseData	baseData,
		ISecurityPrice	security,
		decimal	underlyingLastPrice
	)

static

Creates a OptionContract

Parameters

baseData
security	provides price properties for a Security
underlyingLastPrice	last price the underlying security traded at

Returns: Option contract

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◆ Create() [2/2]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	Symbol	symbol,
		Symbol	underlyingSymbol,
		DateTime	endTime,
		ISecurityPrice	security,
		decimal	underlyingLastPrice
	)

static

Creates a OptionContract

Parameters

symbol	The option contract symbol
underlyingSymbol	The symbol of the underlying security
endTime	local date time this contract's data was last updated
security	provides price properties for a Security
underlyingLastPrice	last price the underlying security traded at

Returns: Option contract

Definition at line 200 of file OptionContract.cs.

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Member Data Documentation

◆ Strike

decimal QuantConnect.Data.Market.OptionContract.Strike => Symbol.ID.StrikePrice

Gets the strike price

Definition at line 49 of file OptionContract.cs.

◆ Expiry

DateTime QuantConnect.Data.Market.OptionContract.Expiry => Symbol.ID.Date

Gets the expiration date

Definition at line 54 of file OptionContract.cs.

◆ Right

OptionRight QuantConnect.Data.Market.OptionContract.Right => Symbol.ID.OptionRight

Gets the right being purchased (call [right to buy] or put [right to sell])

Definition at line 59 of file OptionContract.cs.

◆ Style

OptionStyle QuantConnect.Data.Market.OptionContract.Style => Symbol.ID.OptionStyle

Gets the option style

Definition at line 64 of file OptionContract.cs.

◆ TheoreticalPrice

decimal QuantConnect.Data.Market.OptionContract.TheoreticalPrice => _optionPriceModelResult.Value.TheoreticalPrice

Gets the theoretical price of this option contract as computed by the IOptionPriceModel

Definition at line 69 of file OptionContract.cs.

◆ ImpliedVolatility

decimal QuantConnect.Data.Market.OptionContract.ImpliedVolatility => _optionPriceModelResult.Value.ImpliedVolatility

Gets the implied volatility of the option contract as computed by the IOptionPriceModel

Definition at line 74 of file OptionContract.cs.

◆ Greeks

Greeks QuantConnect.Data.Market.OptionContract.Greeks => _optionPriceModelResult.Value.Greeks

Gets the greeks for this contract

Definition at line 79 of file OptionContract.cs.

Property Documentation

◆ Symbol

Symbol QuantConnect.Data.Market.OptionContract.Symbol

get

Gets the option contract's symbol

Definition at line 34 of file OptionContract.cs.

◆ UnderlyingSymbol

Symbol QuantConnect.Data.Market.OptionContract.UnderlyingSymbol

get

Gets the underlying security's symbol

Definition at line 42 of file OptionContract.cs.

◆ Time

DateTime QuantConnect.Data.Market.OptionContract.Time

getset

Gets the local date time this contract's data was last updated

Definition at line 85 of file OptionContract.cs.

◆ OpenInterest

decimal QuantConnect.Data.Market.OptionContract.OpenInterest

getset

Gets the open interest

Definition at line 93 of file OptionContract.cs.

◆ LastPrice

decimal QuantConnect.Data.Market.OptionContract.LastPrice

getset

Gets the last price this contract traded at

Definition at line 101 of file OptionContract.cs.

◆ Volume

long QuantConnect.Data.Market.OptionContract.Volume

getset

Gets the last volume this contract traded at

Definition at line 109 of file OptionContract.cs.

◆ BidPrice

decimal QuantConnect.Data.Market.OptionContract.BidPrice

getset

Gets the current bid price

Definition at line 117 of file OptionContract.cs.

◆ BidSize

long QuantConnect.Data.Market.OptionContract.BidSize

getset

Get the current bid size

Definition at line 125 of file OptionContract.cs.

◆ AskPrice

decimal QuantConnect.Data.Market.OptionContract.AskPrice

getset

Gets the ask price

Definition at line 133 of file OptionContract.cs.

◆ AskSize

long QuantConnect.Data.Market.OptionContract.AskSize

getset

Gets the current ask size

Definition at line 141 of file OptionContract.cs.

◆ UnderlyingLastPrice

decimal QuantConnect.Data.Market.OptionContract.UnderlyingLastPrice

getset

Gets the last price the underlying security traded at

Definition at line 149 of file OptionContract.cs.

The documentation for this class was generated from the following file:

Common/Data/Market/OptionContract.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ OptionContract()

Member Function Documentation

◆ ToString()

◆ Create() [1/2]

◆ Create() [2/2]

Member Data Documentation

◆ Strike

◆ Expiry

◆ Right

◆ Style

◆ TheoreticalPrice

◆ ImpliedVolatility

◆ Greeks

Property Documentation

◆ Symbol

◆ UnderlyingSymbol

◆ Time

◆ OpenInterest

◆ LastPrice

◆ Volume

◆ BidPrice

◆ BidSize

◆ AskPrice

◆ AskSize

◆ UnderlyingLastPrice