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

Inheritance diagram for QuantConnect.Data.Market.OptionContract:

Public Member Functions
	OptionContract (ISecurityPrice security)
	Initializes a new instance of the OptionContract class More...

	OptionContract (OptionUniverse contractData, SymbolProperties symbolProperties)
	Initializes a new option contract from a given OptionUniverse instance More...

Public Member Functions inherited from QuantConnect.Data.Market.BaseContract
override string	ToString ()
	Returns a string that represents the current object. More...

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

static OptionContract	Create (DateTime endTime, ISecurityPrice security, BaseData underlying)
	Creates a OptionContract More...

static OptionContract	Create (OptionUniverse contractData, SymbolProperties symbolProperties)
	Creates a new option contract from a given OptionUniverse instance, using its data to form a quote bar to source pricing data More...

static implicit	operator Symbol (OptionContract contract)
	Implicit conversion into Symbol More...

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

decimal	ScaledStrike => Strike * _symbolProperties.StrikeMultiplier
	Gets the strike price multiplied by the strike multiplier 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 => _optionData.TheoreticalPrice
	Gets the theoretical price of this option contract as computed by the IOptionPriceModel More...

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

Greeks	Greeks => _optionData.Greeks
	Gets the greeks for this contract More...

override decimal	OpenInterest => _optionData.OpenInterest
	Gets the open interest More...

override decimal	LastPrice => _optionData.LastPrice
	Gets the last price this contract traded at More...

override long	Volume => _optionData.Volume
	Gets the last volume this contract traded at More...

override decimal	BidPrice => _optionData.BidPrice
	Gets the current bid price More...

override long	BidSize => _optionData.BidSize
	Get the current bid size More...

override decimal	AskPrice => _optionData.AskPrice
	Gets the ask price More...

override long	AskSize => _optionData.AskSize
	Gets the current ask size More...

decimal	UnderlyingLastPrice => _optionData.UnderlyingLastPrice
	Gets the last price the underlying security traded at More...

Public Attributes inherited from QuantConnect.Data.Market.BaseContract
SecurityIdentifier	ID => Symbol.ID
	The security identifier of the symbol More...

Symbol	UnderlyingSymbol => Symbol.Underlying
	Gets the underlying security's symbol More...

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

Additional Inherited Members
Protected Member Functions inherited from QuantConnect.Data.Market.BaseContract
	BaseContract (Symbol symbol)
	Initializes a new instance of the BaseContract class More...

Properties inherited from QuantConnect.Data.Market.BaseContract
Symbol	Symbol `[get, set]`
	Gets the contract's symbol More...

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

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

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

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

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

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

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

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

Properties inherited from QuantConnect.Data.ISymbolProvider
Symbol	Symbol `[get, set]`
	Gets the Symbol More...

Detailed Description

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

Definition at line 27 of file OptionContract.cs.

Constructor & Destructor Documentation

◆ OptionContract() [1/2]

QuantConnect.Data.Market.OptionContract.OptionContract ( ISecurityPrice security )

Initializes a new instance of the OptionContract class

Parameters

security The option contract security

Definition at line 111 of file OptionContract.cs.

Here is the caller graph for this function:

◆ OptionContract() [2/2]

QuantConnect.Data.Market.OptionContract.OptionContract	(	OptionUniverse	contractData,
		SymbolProperties	symbolProperties
	)

Initializes a new option contract from a given OptionUniverse instance

Parameters

contractData	The option universe contract data to use as source for this contract
symbolProperties	The contract symbol properties

Definition at line 122 of file OptionContract.cs.

Member Function Documentation

◆ Create() [1/3]

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

static

Creates a OptionContract

Parameters

baseData
security	Provides price properties for a Security
underlying	Last underlying security trade data

Returns: Option contract

Here is the caller graph for this function:

◆ Create() [2/3]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	DateTime	endTime,
		ISecurityPrice	security,
		BaseData	underlying
	)

static

Creates a OptionContract

Parameters

endTime	local date time this contract's data was last updated
security	provides price properties for a Security
underlying	last underlying security trade data

Returns: Option contract

Definition at line 155 of file OptionContract.cs.

Here is the call graph for this function:

◆ Create() [3/3]

static OptionContract QuantConnect.Data.Market.OptionContract.Create	(	OptionUniverse	contractData,
		SymbolProperties	symbolProperties
	)

static

Creates a new option contract from a given OptionUniverse instance, using its data to form a quote bar to source pricing data

Parameters

contractData	The option universe contract data to use as source for this contract
symbolProperties	The contract symbol properties

Definition at line 172 of file OptionContract.cs.

Here is the call graph for this function:

◆ operator Symbol()

static implicit QuantConnect.Data.Market.OptionContract.operator Symbol ( OptionContract contract )

static

Implicit conversion into Symbol

Parameters

contract The option contract to be converted

Definition at line 186 of file OptionContract.cs.

Member Data Documentation

◆ Strike

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

Gets the strike price

Definition at line 35 of file OptionContract.cs.

◆ ScaledStrike

decimal QuantConnect.Data.Market.OptionContract.ScaledStrike => Strike * _symbolProperties.StrikeMultiplier

Gets the strike price multiplied by the strike multiplier

Definition at line 40 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 45 of file OptionContract.cs.

◆ Style

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

Gets the option style

Definition at line 50 of file OptionContract.cs.

◆ TheoreticalPrice

decimal QuantConnect.Data.Market.OptionContract.TheoreticalPrice => _optionData.TheoreticalPrice

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

Definition at line 55 of file OptionContract.cs.

◆ ImpliedVolatility

decimal QuantConnect.Data.Market.OptionContract.ImpliedVolatility => _optionData.ImpliedVolatility

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

Definition at line 60 of file OptionContract.cs.

◆ Greeks

Greeks QuantConnect.Data.Market.OptionContract.Greeks => _optionData.Greeks

Gets the greeks for this contract

Definition at line 65 of file OptionContract.cs.

◆ OpenInterest

override decimal QuantConnect.Data.Market.OptionContract.OpenInterest => _optionData.OpenInterest

Gets the open interest

Definition at line 70 of file OptionContract.cs.

◆ LastPrice

override decimal QuantConnect.Data.Market.OptionContract.LastPrice => _optionData.LastPrice

Gets the last price this contract traded at

Definition at line 75 of file OptionContract.cs.

◆ Volume

override long QuantConnect.Data.Market.OptionContract.Volume => _optionData.Volume

Gets the last volume this contract traded at

Definition at line 80 of file OptionContract.cs.

◆ BidPrice

override decimal QuantConnect.Data.Market.OptionContract.BidPrice => _optionData.BidPrice

Gets the current bid price

Definition at line 85 of file OptionContract.cs.

◆ BidSize

override long QuantConnect.Data.Market.OptionContract.BidSize => _optionData.BidSize

Get the current bid size

Definition at line 90 of file OptionContract.cs.

◆ AskPrice

override decimal QuantConnect.Data.Market.OptionContract.AskPrice => _optionData.AskPrice

Gets the ask price

Definition at line 95 of file OptionContract.cs.

◆ AskSize

override long QuantConnect.Data.Market.OptionContract.AskSize => _optionData.AskSize

Gets the current ask size

Definition at line 100 of file OptionContract.cs.

◆ UnderlyingLastPrice

decimal QuantConnect.Data.Market.OptionContract.UnderlyingLastPrice => _optionData.UnderlyingLastPrice

Gets the last price the underlying security traded at

Definition at line 105 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

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionContract() [1/2]

◆ OptionContract() [2/2]

Member Function Documentation

◆ Create() [1/3]

◆ Create() [2/3]

◆ Create() [3/3]

◆ operator Symbol()

Member Data Documentation

◆ Strike

◆ ScaledStrike

◆ Right

◆ Style

◆ TheoreticalPrice

◆ ImpliedVolatility

◆ Greeks

◆ OpenInterest

◆ LastPrice

◆ Volume

◆ BidPrice

◆ BidSize

◆ AskPrice

◆ AskSize

◆ UnderlyingLastPrice