QuantConnect.Securities.IndexOption.IndexOption Class Reference
Index Options security More...
Inheritance diagram for QuantConnect.Securities.IndexOption.IndexOption:
Public Member Functions | |
| IndexOption (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, IndexOptionSymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes, SecurityCache securityCache, Security underlying, SettlementType settlementType=SettlementType.Cash) | |
| Constructor for the index option security More... | |
 Public Member Functions inherited from QuantConnect.Securities.Option.Option | |
| Option (SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, OptionSymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes) | |
| Constructor for the option security More... | |
| Option (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, OptionSymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypes, SecurityCache securityCache, Security underlying) | |
| Constructor for the option security More... | |
| decimal | GetAggregateExerciseAmount () |
| Aggregate exercise amount or aggregate contract value. It is the total amount of cash one will pay (or receive) for the shares of the underlying stock if he/she decides to exercise (or is assigned an exercise notice). This amount is not the premium paid or received for an equity option. More... | |
| decimal | GetExerciseQuantity () |
| Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of all contracts held by this account, taking into account the contract's Right as well as the contract's current ContractUnitOfTrade, which may have recently changed due to a split/reverse split in the underlying security. More... | |
| decimal | GetExerciseQuantity (decimal exerciseOrderQuantity) |
| Returns the directional quantity of underlying shares that are going to change hands on exercise/assignment of the specified exerciseOrderQuantity , taking into account the contract's Right as well as the contract's current ContractUnitOfTrade, which may have recently changed due to a split/reverse split in the underlying security. More... | |
| bool | IsAutoExercised (decimal underlyingPrice) |
| Checks if option is eligible for automatic exercise on expiration More... | |
| decimal | GetIntrinsicValue (decimal underlyingPrice) |
| Intrinsic value function of the option More... | |
| decimal | GetPayOff (decimal underlyingPrice) |
| Option payoff function at expiration time More... | |
| decimal | OutOfTheMoneyAmount (decimal underlyingPrice) |
| Option out of the money function More... | |
| OptionPriceModelResult | EvaluatePriceModel (Slice slice, OptionContract contract) |
| For this option security object, evaluates the specified option contract to compute a theoretical price, IV and greeks More... | |
| void | SetOptionAssignmentModel (PyObject pyObject) |
| Sets the automatic option assignment model More... | |
| void | SetOptionAssignmentModel (IOptionAssignmentModel optionAssignmentModel) |
| Sets the automatic option assignment model More... | |
| void | SetOptionExerciseModel (PyObject pyObject) |
| Sets the option exercise model More... | |
| void | SetOptionExerciseModel (IOptionExerciseModel optionExerciseModel) |
| Sets the option exercise model More... | |
| void | SetFilter (int minStrike, int maxStrike) |
| Sets the ContractFilter to a new instance of the filter using the specified min and max strike values. Contracts with expirations further than 35 days out will also be filtered. More... | |
| void | SetFilter (TimeSpan minExpiry, TimeSpan maxExpiry) |
| Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values More... | |
| void | SetFilter (int minStrike, int maxStrike, TimeSpan minExpiry, TimeSpan maxExpiry) |
| Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values More... | |
| void | SetFilter (int minStrike, int maxStrike, int minExpiryDays, int maxExpiryDays) |
| Sets the ContractFilter to a new instance of the filter using the specified min and max strike and expiration range values More... | |
| void | SetFilter (Func< OptionFilterUniverse, OptionFilterUniverse > universeFunc) |
| Sets the ContractFilter to a new universe selection function More... | |
| void | SetFilter (PyObject universeFunc) |
| Sets the ContractFilter to a new universe selection function More... | |
| override void | SetDataNormalizationMode (DataNormalizationMode mode) |
| Sets the data normalization mode to be used by this security More... | |
| Public Member Functions inherited from QuantConnect.Securities.Security | |
| Security (SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, SecurityCache cache) | |
| Construct a new security vehicle based on the user options. More... | |
| Security (Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, SymbolProperties symbolProperties, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, SecurityCache cache) | |
| Construct a new security vehicle based on the user options. More... | |
| BaseData | GetLastData () |
| Get the last price update set to the security if any else null More... | |
| virtual void | SetLocalTimeKeeper (LocalTimeKeeper localTimeKeeper) |
| Sets the LocalTimeKeeper to be used for this Security. This is the source of this instance's time. More... | |
| void | SetMarketPrice (BaseData data) |
| Update any security properties based on the latest market data and time More... | |
| void | Update (IReadOnlyList< BaseData > data, Type dataType, bool? containsFillForwardData=null) |
| Updates all of the security properties, such as price/OHLCV/bid/ask based on the data provided. Data is also stored into the security's data cache More... | |
| bool | IsCustomData () |
| Returns true if the security contains at least one subscription that represents custom data More... | |
| void | SetLeverage (decimal leverage) |
| Set the leverage parameter for this security More... | |
| void | RefreshDataNormalizationModeProperty () |
| This method will refresh the value of the DataNormalizationMode property. This is required for backward-compatibility. TODO: to be deleted with the DataNormalizationMode property More... | |
| void | SetFeeModel (IFeeModel feelModel) |
| Sets the fee model More... | |
| void | SetFeeModel (PyObject feelModel) |
| Sets the fee model More... | |
| void | SetFillModel (IFillModel fillModel) |
| Sets the fill model More... | |
| void | SetFillModel (PyObject fillModel) |
| Sets the fill model More... | |
| void | SetSettlementModel (ISettlementModel settlementModel) |
| Sets the settlement model More... | |
| void | SetSettlementModel (PyObject settlementModel) |
| Sets the settlement model More... | |
| void | SetSlippageModel (ISlippageModel slippageModel) |
| Sets the slippage model More... | |
| void | SetSlippageModel (PyObject slippageModel) |
| Sets the slippage model More... | |
| void | SetVolatilityModel (IVolatilityModel volatilityModel) |
| Sets the volatility model More... | |
| void | SetVolatilityModel (PyObject volatilityModel) |
| Sets the volatility model More... | |
| void | SetBuyingPowerModel (IBuyingPowerModel buyingPowerModel) |
| Sets the buying power model More... | |
| void | SetBuyingPowerModel (PyObject pyObject) |
| Sets the buying power model More... | |
| void | SetMarginInterestRateModel (IMarginInterestRateModel marginInterestRateModel) |
| Sets the margin interests rate model More... | |
| void | SetMarginInterestRateModel (PyObject pyObject) |
| Sets the margin interests rate model More... | |
| void | SetMarginModel (IBuyingPowerModel marginModel) |
| Sets the margin model More... | |
| void | SetMarginModel (PyObject pyObject) |
| Sets the margin model More... | |
| void | SetShortableProvider (PyObject pyObject) |
| Set Python Shortable Provider for this Security More... | |
| void | SetShortableProvider (IShortableProvider shortableProvider) |
| Set Shortable Provider for this Security More... | |
| void | SetDataFilter (PyObject pyObject) |
| Set Security Data Filter More... | |
| void | SetDataFilter (ISecurityDataFilter dataFilter) |
| Set Security Data Filter More... | |
| override bool | TryGetMember (GetMemberBinder binder, out object result) |
| This is a DynamicObject override. Not meant for external use. More... | |
| override bool | TrySetMember (SetMemberBinder binder, object value) |
| This is a DynamicObject override. Not meant for external use. More... | |
| override bool | TryInvokeMember (InvokeMemberBinder binder, object[] args, out object result) |
| This is a DynamicObject override. Not meant for external use. More... | |
| void | Add (string key, object value) |
| Adds the specified custom property. This allows us to use the security object as a dynamic object for quick storage. More... | |
| bool | TryGet< T > (string key, out T value) |
| Gets the specified custom property More... | |
| T | Get< T > (string key) |
| Gets the specified custom property More... | |
| bool | Remove (string key) |
| Removes a custom property. More... | |
| bool | Remove< T > (string key, out T value) |
| Removes a custom property. More... | |
| void | Clear () |
| Removes every custom property that had been set. More... | |
| override string | ToString () |
| Returns a string that represents the current object. More... | |
Protected Member Functions | |
| override void | UpdateConsumersMarketPrice (BaseData data) |
| Consumes market price data and updates the minimum price variation More... | |
| Protected Member Functions inherited from QuantConnect.Securities.Option.Option | |
| Option (Symbol symbol, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, Security underlying) | |
| Creates instance of the Option class. More... | |
| Protected Member Functions inherited from QuantConnect.Securities.Security | |
| Security (Symbol symbol, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IMarginInterestRateModel marginInterestRateModel) | |
| Construct a new security vehicle based on the user options. More... | |
| Security (SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties, SecurityExchange exchange, SecurityCache cache, ISecurityPortfolioModel portfolioModel, IFillModel fillModel, IFeeModel feeModel, ISlippageModel slippageModel, ISettlementModel settlementModel, IVolatilityModel volatilityModel, IBuyingPowerModel buyingPowerModel, ISecurityDataFilter dataFilter, IPriceVariationModel priceVariationModel, ICurrencyConverter currencyConverter, IRegisteredSecurityDataTypesProvider registeredTypesProvider, IMarginInterestRateModel marginInterestRateModel) | |
| Temporary convenience constructor More... | |
Additional Inherited Members | |
| Public Attributes inherited from QuantConnect.Securities.Option.Option | |
| bool | IsOptionChain => Symbol.IsCanonical() |
| Returns true if this is the option chain security, false if it is a specific option contract More... | |
| bool | IsOptionContract => !Symbol.IsCanonical() |
| Returns true if this is a specific option contract security, false if it is the option chain security More... | |
| decimal | StrikePrice => 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... | |
| override decimal | BidPrice => Cache.BidPrice |
| Gets the most recent bid price if available More... | |
| override decimal | AskPrice => Cache.AskPrice |
| Gets the most recent ask price if available More... | |
| Public Attributes inherited from QuantConnect.Securities.Security | |
| SecurityType | Type => Symbol.ID.SecurityType |
| Type of the security. More... | |
| bool | HasData => GetLastData() != null |
| There has been at least one datapoint since our algorithm started running for us to determine price. More... | |
| virtual bool | HoldStock => Holdings.HoldStock |
| Read only property that checks if we currently own stock in the company. More... | |
| virtual bool | Invested => HoldStock |
| Alias for HoldStock - Do we have any of this security More... | |
| virtual decimal | Price => Cache.Price |
| Get the current value of the security. More... | |
| virtual decimal | Leverage => Holdings.Leverage |
| Leverage for this Security. More... | |
| virtual decimal | High => Cache.High == 0 ? Price : Cache.High |
| If this uses tradebar data, return the most recent high. More... | |
| virtual decimal | Low => Cache.Low == 0 ? Price : Cache.Low |
| If this uses tradebar data, return the most recent low. More... | |
| virtual decimal | Close => Cache.Close == 0 ? Price : Cache.Close |
| If this uses tradebar data, return the most recent close. More... | |
| virtual decimal | Open => Cache.Open == 0 ? Price : Cache.Open |
| If this uses tradebar data, return the most recent open. More... | |
| virtual decimal | Volume => Cache.Volume |
| Access to the volume of the equity today More... | |
| virtual decimal | BidPrice => Cache.BidPrice == 0 ? Price : Cache.BidPrice |
| Gets the most recent bid price if available More... | |
| virtual decimal | BidSize => Cache.BidSize |
| Gets the most recent bid size if available More... | |
| virtual decimal | AskPrice => Cache.AskPrice == 0 ? Price : Cache.AskPrice |
| Gets the most recent ask price if available More... | |
| virtual decimal | AskSize => Cache.AskSize |
| Gets the most recent ask size if available More... | |
| virtual long | OpenInterest => Cache.OpenInterest |
| Access to the open interest of the security today More... | |
| Static Public Attributes inherited from QuantConnect.Securities.Option.Option | |
| const int | DefaultSettlementDays = 1 |
| The default number of days required to settle an equity sale More... | |
| static readonly TimeSpan | DefaultSettlementTime = new (8, 0, 0) |
| The default time of day for settlement More... | |
| Static Public Attributes inherited from QuantConnect.Securities.Security | |
| const decimal | NullLeverage = 0 |
| A null security leverage value More... | |
| Properties inherited from QuantConnect.Securities.Option.Option | |
| decimal | ScaledStrikePrice [get] |
| Gets the strike price multiplied by the strike multiplier More... | |
| int | ContractUnitOfTrade [get, set] |
| When the holder of an equity option exercises one contract, or when the writer of an equity option is assigned an exercise notice on one contract, this unit of trade, usually 100 shares of the underlying security, changes hands. More... | |
| int | ContractMultiplier [get, set] |
| The contract multiplier for the option security More... | |
| SettlementType | ExerciseSettlement [get, set] |
| Specifies if option contract has physical or cash settlement on exercise More... | |
| Security | Underlying [get, set] |
| Gets or sets the underlying security object. More... | |
| IOptionPriceModel | PriceModel [get, set] |
| Gets or sets the price model for this option security More... | |
| IOptionExerciseModel | OptionExerciseModel [get, set] |
| Fill model used to produce fill events for this security More... | |
| IOptionAssignmentModel | OptionAssignmentModel [get, set] |
| The automatic option assignment model More... | |
| bool | EnableGreekApproximation [get, set] |
| When enabled, approximates Greeks if corresponding pricing model didn't calculate exact numbers More... | |
| IDerivativeSecurityFilter | ContractFilter [get, set] |
| Gets or sets the contract filter More... | |
| Properties inherited from QuantConnect.Securities.Security | |
| IShortableProvider | ShortableProvider [get] |
| This securities IShortableProvider More... | |
| IEnumerable< SubscriptionDataConfig > | Subscriptions [get] |
| Gets all the subscriptions for this security More... | |
| Symbol | Symbol [get] |
| Symbol for the asset. More... | |
| Cash | QuoteCurrency [get] |
| Gets the Cash object used for converting the quote currency to the account currency More... | |
| SymbolProperties | SymbolProperties [get] |
| Gets the symbol properties for this security More... | |
| Resolution | Resolution [get] |
| Resolution of data requested for this security. More... | |
| bool | IsFillDataForward [get] |
| Indicates the data will use previous bars when there was no trading in this time period. This was a configurable datastream setting set in initialization. More... | |
| bool | IsExtendedMarketHours [get] |
| Indicates the security will continue feeding data after the primary market hours have closed. This was a configurable setting set in initialization. More... | |
| DataNormalizationMode | DataNormalizationMode [get] |
| Gets the data normalization mode used for this security More... | |
| SubscriptionDataConfig | SubscriptionDataConfig [get] |
| Gets the subscription configuration for this security More... | |
| virtual bool | IsTradable [get, set] |
| Gets or sets whether or not this security should be considered tradable More... | |
| bool | IsDelisted [get, set] |
| True if the security has been delisted from exchanges and is no longer tradable More... | |
| SecurityCache | Cache [get, set] |
| Data cache for the security to store previous price information. More... | |
| SecurityHolding | Holdings [get, set] |
| Holdings class contains the portfolio, cash and processes order fills. More... | |
| SecurityExchange | Exchange [get, set] |
| Exchange class contains the market opening hours, along with pre-post market hours. More... | |
| IFeeModel | FeeModel [get, set] |
| Fee model used to compute order fees for this security More... | |
| IFillModel | FillModel [get, set] |
| Fill model used to produce fill events for this security More... | |
| ISlippageModel | SlippageModel [get, set] |
| Slippage model use to compute slippage of market orders More... | |
| ISecurityPortfolioModel | PortfolioModel [get, set] |
| Gets the portfolio model used by this security More... | |
| IBuyingPowerModel | BuyingPowerModel [get, set] |
| Gets the buying power model used for this security More... | |
| IBuyingPowerModel | MarginModel [get, set] |
| Gets the buying power model used for this security, an alias for BuyingPowerModel More... | |
| IMarginInterestRateModel | MarginInterestRateModel [get, set] |
| Gets or sets the margin interest rate model More... | |
| ISettlementModel | SettlementModel [get, set] |
| Gets the settlement model used for this security More... | |
| IVolatilityModel | VolatilityModel [get, set] |
| Gets the volatility model used for this security More... | |
| ISecurityDataFilter | DataFilter [get, set] |
| Customizable data filter to filter outlier ticks before they are passed into user event handlers. By default all ticks are passed into the user algorithms. More... | |
| IPriceVariationModel | PriceVariationModel [get, set] |
| Customizable price variation model used to define the minimum price variation of this security. By default minimum price variation is a constant find in the symbol-properties-database. More... | |
| dynamic | Data [get] |
| Provides dynamic access to data in the cache More... | |
| virtual DateTime | LocalTime [get] |
| Local time for this market More... | |
| Fundamental | Fundamentals [get] |
| Gets the fundamental data associated with the security if there is any, otherwise null. More... | |
| object | this[string key] [get, set] |
| Gets or sets the specified custom property through the indexer. This is a wrapper around the Get<T>(string) and Add(string,object) methods. More... | |
| Properties inherited from QuantConnect.Interfaces.ISecurityPrice | |
| decimal | Price [get] |
| Get the current value of the security. More... | |
| decimal | Close [get] |
| If this uses trade bar data, return the most recent close. More... | |
| decimal | Volume [get] |
| Access to the volume of the equity today More... | |
| decimal | BidPrice [get] |
| Gets the most recent bid price if available More... | |
| decimal | BidSize [get] |
| Gets the most recent bid size if available More... | |
| decimal | AskPrice [get] |
| Gets the most recent ask price if available More... | |
| decimal | AskSize [get] |
| Gets the most recent ask size if available More... | |
| long | OpenInterest [get] |
| Access to the open interest of the security today More... | |
| Symbol | Symbol [get] |
| Symbol for the asset. More... | |
| SymbolProperties | SymbolProperties [get] |
| SymbolProperties of the symbol More... | |
| Properties inherited from QuantConnect.Securities.IDerivativeSecurity | |
| Security | Underlying [get, set] |
| Gets or sets the underlying security for the derivative More... | |
| Properties inherited from QuantConnect.Interfaces.IOptionPrice | |
| ISecurityPrice | Underlying [get] |
| Gets a reduced interface of the underlying security object. More... | |
Detailed Description
Index Options security
Definition at line 27 of file IndexOption.cs.
Constructor & Destructor Documentation
◆ IndexOption()
| QuantConnect.Securities.IndexOption.IndexOption.IndexOption | ( | Symbol | symbol, |
| SecurityExchangeHours | exchangeHours, | ||
| Cash | quoteCurrency, | ||
| IndexOptionSymbolProperties | symbolProperties, | ||
| ICurrencyConverter | currencyConverter, | ||
| IRegisteredSecurityDataTypesProvider | registeredTypes, | ||
| SecurityCache | securityCache, | ||
| Security | underlying, | ||
| SettlementType | settlementType = SettlementType.Cash |
||
| ) |
Constructor for the index option security
- Parameters
-
symbol Symbol of the index option exchangeHours Exchange hours of the index option quoteCurrency Quoted currency of the index option symbolProperties Symbol properties of the index option currencyConverter Currency converter registeredTypes Provides all data types registered to the algorithm securityCache Cache of security objects underlying Future underlying security settlementType Settlement type for the index option. Most index options are cash-settled.
Definition at line 41 of file IndexOption.cs.
Member Function Documentation
◆ UpdateConsumersMarketPrice()
|
protectedvirtual |
Consumes market price data and updates the minimum price variation
- Parameters
-
data Market price data
Index options have variable sized minimum price variations. For prices greater than or equal to $3.00 USD, the minimum price variation is $0.10 USD. For prices less than $3.00 USD, the minimum price variation is $0.05 USD.
Reimplemented from QuantConnect.Securities.Security.
Definition at line 81 of file IndexOption.cs.
The documentation for this class was generated from the following file:
- Common/Securities/IndexOption/IndexOption.cs
