Represents options symbols universe used in filtering. More...

Inheritance diagram for QuantConnect.Securities.OptionFilterUniverse:

Public Member Functions
	OptionFilterUniverse (Option.Option option)
	Constructs OptionFilterUniverse More...

	OptionFilterUniverse (IEnumerable< Symbol > allSymbols, BaseData underlying, decimal underlyingScaleFactor=1)
	Constructs OptionFilterUniverse More...

void	Refresh (IEnumerable< Symbol > allSymbols, BaseData underlying, DateTime localTime)
	Refreshes this option filter universe and allows specifying if the exchange date changed from last call More...

OptionFilterUniverse	Strikes (int minStrike, int maxStrike)
	Applies filter selecting options contracts based on a range of strikes in relative terms More...

OptionFilterUniverse	CallsOnly ()
	Sets universe of call options (if any) as a selection More...

OptionFilterUniverse	PutsOnly ()
	Sets universe of put options (if any) as a selection More...

Public Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse >
virtual void	Refresh (IEnumerable< Symbol > allSymbols, DateTime localTime)
	Refreshes this filter universe More...

T	StandardsOnly ()
	Sets universe of standard contracts (if any) as selection Contracts by default are standards; only needed to switch back if changed More...

T	IncludeWeeklys ()
	Includes universe of non-standard weeklys contracts (if any) into selection More...

T	WeeklysOnly ()
	Sets universe of weeklys contracts (if any) as selection More...

virtual T	FrontMonth ()
	Returns front month contract More...

virtual T	BackMonths ()
	Returns a list of back month contracts More...

T	BackMonth ()
	Returns first of back month contracts More...

virtual T	Expiration (TimeSpan minExpiry, TimeSpan maxExpiry)
	Applies filter selecting options contracts based on a range of expiration dates relative to the current day More...

T	Expiration (int minExpiryDays, int maxExpiryDays)
	Applies filter selecting contracts based on a range of expiration dates relative to the current day More...

T	Contracts (PyObject contracts)
	Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More...

T	Contracts (IEnumerable< Symbol > contracts)
	Explicitly sets the selected contract symbols for this universe. This overrides and and all other methods of selecting symbols assuming it is called last. More...

T	Contracts (Func< IEnumerable< Symbol >, IEnumerable< Symbol >> contractSelector)
	Sets a function used to filter the set of available contract filters. The input to the 'contractSelector' function will be the already filtered list if any other filters have already been applied. More...

T	OnlyApplyFilterAtMarketOpen ()
	Instructs the engine to only filter contracts on the first time step of each market day. More...

IEnumerator< Symbol >	GetEnumerator ()
	IEnumerable interface method implementation More...

Protected Member Functions
override bool	IsStandard (Symbol symbol)
	Determine if the given Option contract symbol is standard More...

Protected Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse >
	ContractSecurityFilterUniverse ()
	Constructs ContractSecurityFilterUniverse More...

	ContractSecurityFilterUniverse (IEnumerable< Symbol > allSymbols, DateTime localTime)
	Constructs ContractSecurityFilterUniverse More...

Properties
BaseData	UnderlyingInternal `[get, set]`
	The underlying price data More...

BaseData	Underlying `[get]`
	The underlying price data More...

Properties inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse >
DateTime	LocalTime `[get]`
	The local exchange current time More...

Additional Inherited Members
Protected Attributes inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse >
ContractExpirationType	Type
	Expiration Types allowed through the filter Standards only by default More...

Detailed Description

Represents options symbols universe used in filtering.

Definition at line 30 of file OptionFilterUniverse.cs.

Constructor & Destructor Documentation

◆ OptionFilterUniverse() [1/2]

QuantConnect.Securities.OptionFilterUniverse.OptionFilterUniverse ( Option.Option option )

Constructs OptionFilterUniverse

Parameters

option The canonical option chain security

Definition at line 58 of file OptionFilterUniverse.cs.

◆ OptionFilterUniverse() [2/2]

QuantConnect.Securities.OptionFilterUniverse.OptionFilterUniverse	(	IEnumerable< Symbol >	allSymbols,
		BaseData	underlying,
		decimal	underlyingScaleFactor = `1`
	)

Constructs OptionFilterUniverse

Used for testing only

Definition at line 67 of file OptionFilterUniverse.cs.

Member Function Documentation

◆ Refresh()

void QuantConnect.Securities.OptionFilterUniverse.Refresh	(	IEnumerable< Symbol >	allSymbols,
		BaseData	underlying,
		DateTime	localTime
	)

Refreshes this option filter universe and allows specifying if the exchange date changed from last call

Parameters

allSymbols	All the options contract symbols
underlying	The current underlying last data point
localTime	The current local time

Definition at line 81 of file OptionFilterUniverse.cs.

◆ IsStandard()

override bool QuantConnect.Securities.OptionFilterUniverse.IsStandard ( Symbol symbol )

protectedvirtual

Determine if the given Option contract symbol is standard

Returns: True if standard

Implements QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse >.

Definition at line 94 of file OptionFilterUniverse.cs.

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◆ Strikes()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Strikes	(	int	minStrike,
		int	maxStrike
	)

Applies filter selecting options contracts based on a range of strikes in relative terms

Parameters

minStrike	The minimum strike relative to the underlying price, for example, -1 would filter out contracts further than 1 strike below market price
maxStrike	The maximum strike relative to the underlying price, for example, +1 would filter out contracts further than 1 strike above market price

Returns: Universe with filter applied

Definition at line 113 of file OptionFilterUniverse.cs.

◆ CallsOnly()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallsOnly ( )

Sets universe of call options (if any) as a selection

Returns: Universe with filter applied

Definition at line 214 of file OptionFilterUniverse.cs.

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◆ PutsOnly()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutsOnly ( )

Sets universe of put options (if any) as a selection

Returns: Universe with filter applied

Definition at line 223 of file OptionFilterUniverse.cs.

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Property Documentation

◆ UnderlyingInternal

BaseData QuantConnect.Securities.OptionFilterUniverse.UnderlyingInternal

getsetprotected

The underlying price data

Definition at line 41 of file OptionFilterUniverse.cs.

◆ Underlying

BaseData QuantConnect.Securities.OptionFilterUniverse.Underlying

get

The underlying price data

Definition at line 47 of file OptionFilterUniverse.cs.

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

Common/Securities/Option/OptionFilterUniverse.cs

Public Member Functions

Protected Member Functions

Properties

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionFilterUniverse() [1/2]

◆ OptionFilterUniverse() [2/2]

Member Function Documentation

◆ Refresh()

◆ IsStandard()

◆ Strikes()

◆ CallsOnly()

◆ PutsOnly()

Property Documentation

◆ UnderlyingInternal

◆ Underlying