An implementation of IOptionChainProvider that fetches the list of contracts from the Options Clearing Corporation (OCC) website More...

Inheritance diagram for QuantConnect.Lean.Engine.DataFeeds.LiveOptionChainProvider:

Public Member Functions
	LiveOptionChainProvider (IDataCacheProvider dataCacheProvider, IMapFileProvider mapFileProvider)
	Creates a new instance More...

override IEnumerable< Symbol >	GetOptionContractList (Symbol symbol, DateTime date)
	Gets the option chain associated with the underlying Symbol More...

Public Member Functions inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingOptionChainProvider
	BacktestingOptionChainProvider (IDataCacheProvider dataCacheProvider, IMapFileProvider mapFileProvider)
	Creates a new instance More...

Additional Inherited Members
Protected Member Functions inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingChainProvider
	BacktestingChainProvider (IDataCacheProvider dataCacheProvider)
	Creates a new instance More...

IEnumerable< Symbol >	GetSymbols (Symbol canonicalSymbol, DateTime date)
	Get the contract symbols associated with the given canonical symbol and date More...

Static Protected Member Functions inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingChainProvider
static bool	IsContractExpired (Symbol symbol, DateTime date)
	Helper method to determine if a contract is expired for the requested date More...

Properties inherited from QuantConnect.Lean.Engine.DataFeeds.BacktestingChainProvider
IDataCacheProvider	DataCacheProvider `[get]`
	The data cache instance to use More...

Detailed Description

An implementation of IOptionChainProvider that fetches the list of contracts from the Options Clearing Corporation (OCC) website

Definition at line 38 of file LiveOptionChainProvider.cs.

Constructor & Destructor Documentation

QuantConnect.Lean.Engine.DataFeeds.LiveOptionChainProvider.LiveOptionChainProvider	(	IDataCacheProvider	dataCacheProvider,
		IMapFileProvider	mapFileProvider
	)

Creates a new instance

Parameters

dataCacheProvider	The data cache provider instance to use
mapFileProvider	The map file provider instance to use

Definition at line 78 of file LiveOptionChainProvider.cs.

override IEnumerable<Symbol> QuantConnect.Lean.Engine.DataFeeds.LiveOptionChainProvider.GetOptionContractList	(	Symbol	symbol,
		DateTime	date
	)

virtual

Gets the option chain associated with the underlying Symbol

Parameters

symbol	The option or the underlying symbol to get the option chain for. Providing the option allows targetting an option ticker different than the default e.g. SPXW
date	The date to ask for the option contract list for

Exceptions

ArgumentException Option underlying Symbol is not Future or Equity

Definition at line 91 of file LiveOptionChainProvider.cs.

Here is the call graph for this function:

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