Lean
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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... | |
Defines a single option contract at a specific expiration and strike price
Definition at line 26 of file OptionContract.cs.
Initializes a new instance of the OptionContract class
symbol | The option contract symbol |
underlyingSymbol | The symbol of the underlying security |
Definition at line 158 of file OptionContract.cs.
override string QuantConnect.Data.Market.OptionContract.ToString | ( | ) |
Returns a string that represents the current object.
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static |
Creates a OptionContract
baseData | |
security | provides price properties for a Security |
underlyingLastPrice | last price the underlying security traded at |
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static |
Creates a OptionContract
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 |
Definition at line 200 of file OptionContract.cs.
decimal QuantConnect.Data.Market.OptionContract.Strike => Symbol.ID.StrikePrice |
Gets the strike price
Definition at line 49 of file OptionContract.cs.
DateTime QuantConnect.Data.Market.OptionContract.Expiry => Symbol.ID.Date |
Gets the expiration date
Definition at line 54 of file OptionContract.cs.
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.
OptionStyle QuantConnect.Data.Market.OptionContract.Style => Symbol.ID.OptionStyle |
Gets the option style
Definition at line 64 of file OptionContract.cs.
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.
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 QuantConnect.Data.Market.OptionContract.Greeks => _optionPriceModelResult.Value.Greeks |
Gets the greeks for this contract
Definition at line 79 of file OptionContract.cs.
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get |
Gets the option contract's symbol
Definition at line 34 of file OptionContract.cs.
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get |
Gets the underlying security's symbol
Definition at line 42 of file OptionContract.cs.
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getset |
Gets the local date time this contract's data was last updated
Definition at line 85 of file OptionContract.cs.
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getset |
Gets the open interest
Definition at line 93 of file OptionContract.cs.
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getset |
Gets the last price this contract traded at
Definition at line 101 of file OptionContract.cs.
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getset |
Gets the last volume this contract traded at
Definition at line 109 of file OptionContract.cs.
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getset |
Gets the current bid price
Definition at line 117 of file OptionContract.cs.
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getset |
Get the current bid size
Definition at line 125 of file OptionContract.cs.
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getset |
Gets the ask price
Definition at line 133 of file OptionContract.cs.
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getset |
Gets the current ask size
Definition at line 141 of file OptionContract.cs.
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getset |
Gets the last price the underlying security traded at
Definition at line 149 of file OptionContract.cs.