Lean  $LEAN_TAG$
QuantConnect.Securities.OptionFilterUniverse Class Reference

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

Inheritance diagram for QuantConnect.Securities.OptionFilterUniverse:
[legend]

Public Member Functions

 OptionFilterUniverse (Option.Option option)
 Constructs OptionFilterUniverse More...
 
 OptionFilterUniverse (Option.Option option, IEnumerable< OptionUniverse > allData, BaseData underlying, decimal underlyingScaleFactor=1)
 Constructs OptionFilterUniverse More...
 
void Refresh (IEnumerable< OptionUniverse > allContractsData, 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...
 
OptionFilterUniverse NakedCall (int minDaysTillExpiry=30, decimal strikeFromAtm=0)
 Sets universe of a single call contract with the closest match to criteria given More...
 
OptionFilterUniverse NakedPut (int minDaysTillExpiry=30, decimal strikeFromAtm=0)
 Sets universe of a single put contract with the closest match to criteria given More...
 
OptionFilterUniverse CallSpread (int minDaysTillExpiry=30, decimal higherStrikeFromAtm=5, decimal? lowerStrikeFromAtm=null)
 Sets universe of 2 call contracts with the same expiry and different strike prices, with closest match to the criteria given More...
 
OptionFilterUniverse PutSpread (int minDaysTillExpiry=30, decimal higherStrikeFromAtm=5, decimal? lowerStrikeFromAtm=null)
 Sets universe of 2 put contracts with the same expiry and different strike prices, with closest match to the criteria given More...
 
OptionFilterUniverse CallCalendarSpread (decimal strikeFromAtm=0, int minNearDaysTillExpiry=30, int minFarDaysTillExpiry=60)
 Sets universe of 2 call contracts with the same strike price and different expiration dates, with closest match to the criteria given More...
 
OptionFilterUniverse PutCalendarSpread (decimal strikeFromAtm=0, int minNearDaysTillExpiry=30, int minFarDaysTillExpiry=60)
 Sets universe of 2 put contracts with the same strike price and different expiration dates, with closest match to the criteria given More...
 
OptionFilterUniverse Strangle (int minDaysTillExpiry=30, decimal callStrikeFromAtm=5, decimal putStrikeFromAtm=-5)
 Sets universe of an OTM call contract and an OTM put contract with the same expiry, with closest match to the criteria given More...
 
OptionFilterUniverse Straddle (int minDaysTillExpiry=30)
 Sets universe of an ATM call contract and an ATM put contract with the same expiry, with closest match to the criteria given More...
 
OptionFilterUniverse ProtectiveCollar (int minDaysTillExpiry=30, decimal callStrikeFromAtm=5, decimal putStrikeFromAtm=-5)
 Sets universe of a call contract and a put contract with the same expiry but lower strike price, with closest match to the criteria given More...
 
OptionFilterUniverse Conversion (int minDaysTillExpiry=30, decimal strikeFromAtm=5)
 Sets universe of a call contract and a put contract with the same expiry and strike price, with closest match to the criteria given More...
 
OptionFilterUniverse CallButterfly (int minDaysTillExpiry=30, decimal strikeSpread=5)
 Sets universe of an ITM call, an ATM call, and an OTM call with the same expiry and equal strike price distance, with closest match to the criteria given More...
 
OptionFilterUniverse PutButterfly (int minDaysTillExpiry=30, decimal strikeSpread=5)
 Sets universe of an ITM put, an ATM put, and an OTM put with the same expiry and equal strike price distance, with closest match to the criteria given More...
 
OptionFilterUniverse IronButterfly (int minDaysTillExpiry=30, decimal strikeSpread=5)
 Sets universe of an OTM call, an ATM call, an ATM put, and an OTM put with the same expiry and equal strike price distance, with closest match to the criteria given More...
 
OptionFilterUniverse IronCondor (int minDaysTillExpiry=30, decimal nearStrikeSpread=5, decimal farStrikeSpread=10)
 Sets universe of a far-OTM call, a near-OTM call, a near-OTM put, and a far-OTM put with the same expiry and equal strike price distance between both calls and both puts, with closest match to the criteria given More...
 
OptionFilterUniverse BoxSpread (int minDaysTillExpiry=30, decimal strikeSpread=5)
 Sets universe of an OTM call, an ITM call, an OTM put, and an ITM put with the same expiry with closest match to the criteria given. The OTM call has the same strike as the ITM put, while the same holds for the ITM call and the OTM put More...
 
OptionFilterUniverse JellyRoll (decimal strikeFromAtm=0, int minNearDaysTillExpiry=30, int minFarDaysTillExpiry=60)
 Sets universe of 2 call and 2 put contracts with the same strike price and 2 expiration dates, with closest match to the criteria given More...
 
OptionFilterUniverse CallLadder (int minDaysTillExpiry, decimal higherStrikeFromAtm, decimal middleStrikeFromAtm, decimal lowerStrikeFromAtm)
 Sets universe of 3 call contracts with the same expiry and different strike prices, with closest match to the criteria given More...
 
OptionFilterUniverse PutLadder (int minDaysTillExpiry, decimal higherStrikeFromAtm, decimal middleStrikeFromAtm, decimal lowerStrikeFromAtm)
 Sets universe of 3 put contracts with the same expiry and different strike prices, with closest match to the criteria given More...
 
OptionFilterUniverse Delta (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Delta between the given range More...
 
OptionFilterUniverse D (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Delta between the given range. Alias for Delta(decimal, decimal) More...
 
OptionFilterUniverse Gamma (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Gamma between the given range More...
 
OptionFilterUniverse G (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Gamma between the given range. Alias for Gamma(decimal, decimal) More...
 
OptionFilterUniverse Theta (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Theta between the given range More...
 
OptionFilterUniverse T (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Theta between the given range. Alias for Theta(decimal, decimal) More...
 
OptionFilterUniverse Vega (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Vega between the given range More...
 
OptionFilterUniverse V (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Vega between the given range. Alias for Vega(decimal, decimal) More...
 
OptionFilterUniverse Rho (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Rho between the given range More...
 
OptionFilterUniverse R (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with Rho between the given range. Alias for Rho(decimal, decimal) More...
 
OptionFilterUniverse ImpliedVolatility (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with implied volatility between the given range More...
 
OptionFilterUniverse IV (decimal min, decimal max)
 Applies the filter to the universe selecting the contracts with implied volatility between the given range. Alias for ImpliedVolatility(decimal, decimal) More...
 
OptionFilterUniverse OpenInterest (long min, long max)
 Applies the filter to the universe selecting the contracts with open interest between the given range More...
 
OptionFilterUniverse OI (long min, long max)
 Applies the filter to the universe selecting the contracts with open interest between the given range. Alias for OpenInterest(long, long) More...
 
- Public Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >
virtual void Refresh (IEnumerable< TData > allData, DateTime localTime)
 Refreshes this filter universe More...
 
StandardsOnly ()
 Sets universe of standard contracts (if any) as selection Contracts by default are standards; only needed to switch back if changed More...
 
IncludeWeeklys ()
 Includes universe of non-standard weeklys contracts (if any) into selection More...
 
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...
 
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...
 
Expiration (int minExpiryDays, int maxExpiryDays)
 Applies filter selecting contracts based on a range of expiration dates relative to the current day More...
 
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...
 
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...
 
Contracts (IEnumerable< TData > 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...
 
Contracts (Func< IEnumerable< TData >, 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...
 
Contracts (Func< IEnumerable< TData >, IEnumerable< TData >> 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...
 
OnlyApplyFilterAtMarketOpen ()
 Instructs the engine to only filter contracts on the first time step of each market day. More...
 
IEnumerator< TData > GetEnumerator ()
 IEnumerable interface method implementation More...
 

Static Public Member Functions

static implicit operator List< Symbol > (OptionFilterUniverse universe)
 Implicitly convert the universe to a list of symbols More...
 

Protected Member Functions

override bool IsStandard (Symbol symbol)
 Determine if the given Option contract symbol is standard More...
 
override Symbol GetSymbol (OptionUniverse data)
 Gets the symbol from the data More...
 
override OptionUniverse CreateDataInstance (Symbol symbol)
 Creates a new instance of the data type for the given symbol More...
 
override DateTime AdjustExpirationReferenceDate (DateTime referenceDate)
 Adjusts the date to the next trading day if the current date is not a trading day, so that expiration filter is properly applied. e.g. Selection for Mondays happen on Friday midnight (Saturday start), so if the minimum time to expiration is, say 0, contracts expiring on Monday would be filtered out if the date is not properly adjusted to the next trading day (Monday). More...
 
- Protected Member Functions inherited from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >
 ContractSecurityFilterUniverse ()
 Constructs ContractSecurityFilterUniverse More...
 
 ContractSecurityFilterUniverse (IEnumerable< TData > allData, DateTime localTime)
 Constructs ContractSecurityFilterUniverse More...
 
abstract Symbol GetSymbol (TData data)
 Gets the symbol from the data 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, OptionUniverse >
ContractExpirationType Type [get, set]
 Expiration Types allowed through the filter Standards only by default More...
 
DateTime LocalTime [get]
 The local exchange current time More...
 

Detailed Description

Represents options symbols universe used in filtering.

Definition at line 32 of file OptionFilterUniverse.cs.

Constructor & Destructor Documentation

◆ OptionFilterUniverse() [1/2]

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

Constructs OptionFilterUniverse

Parameters
optionThe canonical option chain security

Definition at line 62 of file OptionFilterUniverse.cs.

◆ OptionFilterUniverse() [2/2]

QuantConnect.Securities.OptionFilterUniverse.OptionFilterUniverse ( Option.Option  option,
IEnumerable< OptionUniverse allData,
BaseData  underlying,
decimal  underlyingScaleFactor = 1 
)

Constructs OptionFilterUniverse

Used for testing only

Definition at line 72 of file OptionFilterUniverse.cs.

Member Function Documentation

◆ Refresh()

void QuantConnect.Securities.OptionFilterUniverse.Refresh ( IEnumerable< OptionUniverse allContractsData,
BaseData  underlying,
DateTime  localTime 
)

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

Parameters
allContractsDataAll data for the option contracts
underlyingThe current underlying last data point
localTimeThe current local time

Definition at line 87 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, OptionUniverse >.

Definition at line 100 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ GetSymbol()

override Symbol QuantConnect.Securities.OptionFilterUniverse.GetSymbol ( OptionUniverse  data)
protected

Gets the symbol from the data

Returns
The symbol that represents the datum

Definition at line 117 of file OptionFilterUniverse.cs.

◆ CreateDataInstance()

override OptionUniverse QuantConnect.Securities.OptionFilterUniverse.CreateDataInstance ( Symbol  symbol)
protectedvirtual

Creates a new instance of the data type for the given symbol

Returns
A data instance for the given symbol

Implements QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >.

Definition at line 126 of file OptionFilterUniverse.cs.

◆ AdjustExpirationReferenceDate()

override DateTime QuantConnect.Securities.OptionFilterUniverse.AdjustExpirationReferenceDate ( DateTime  referenceDate)
protectedvirtual

Adjusts the date to the next trading day if the current date is not a trading day, so that expiration filter is properly applied. e.g. Selection for Mondays happen on Friday midnight (Saturday start), so if the minimum time to expiration is, say 0, contracts expiring on Monday would be filtered out if the date is not properly adjusted to the next trading day (Monday).

Parameters
referenceDateThe date to be adjusted
Returns
The adjusted date

Reimplemented from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >.

Definition at line 142 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ 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
minStrikeThe minimum strike relative to the underlying price, for example, -1 would filter out contracts further than 1 strike below market price
maxStrikeThe 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 159 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 257 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ PutsOnly()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutsOnly ( )

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

Returns
Universe with filter applied

Definition at line 266 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ NakedCall()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.NakedCall ( int  minDaysTillExpiry = 30,
decimal  strikeFromAtm = 0 
)

Sets universe of a single call contract with the closest match to criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeFromAtmThe desire strike price distance from the current underlying price

Applicable to Naked Call, Covered Call, and Protective Call Option Strategy

Returns
Universe with filter applied

Definition at line 278 of file OptionFilterUniverse.cs.

◆ NakedPut()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.NakedPut ( int  minDaysTillExpiry = 30,
decimal  strikeFromAtm = 0 
)

Sets universe of a single put contract with the closest match to criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeFromAtmThe desire strike price distance from the current underlying price

Applicable to Naked Put, Covered Put, and Protective Put Option Strategy

Returns
Universe with filter applied

Definition at line 290 of file OptionFilterUniverse.cs.

◆ CallSpread()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallSpread ( int  minDaysTillExpiry = 30,
decimal  higherStrikeFromAtm = 5,
decimal?  lowerStrikeFromAtm = null 
)

Sets universe of 2 call contracts with the same expiry and different strike prices, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
higherStrikeFromAtmThe desire strike price distance from the current underlying price of the higher strike price
lowerStrikeFromAtmThe desire strike price distance from the current underlying price of the lower strike price

Applicable to Bear Call Spread and Bull Call Spread Option Strategy

Returns
Universe with filter applied

Definition at line 320 of file OptionFilterUniverse.cs.

◆ PutSpread()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutSpread ( int  minDaysTillExpiry = 30,
decimal  higherStrikeFromAtm = 5,
decimal?  lowerStrikeFromAtm = null 
)

Sets universe of 2 put contracts with the same expiry and different strike prices, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
higherStrikeFromAtmThe desire strike price distance from the current underlying price of the higher strike price
lowerStrikeFromAtmThe desire strike price distance from the current underlying price of the lower strike price

Applicable to Bear Put Spread and Bull Put Spread Option Strategy

Returns
Universe with filter applied

Definition at line 333 of file OptionFilterUniverse.cs.

◆ CallCalendarSpread()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallCalendarSpread ( decimal  strikeFromAtm = 0,
int  minNearDaysTillExpiry = 30,
int  minFarDaysTillExpiry = 60 
)

Sets universe of 2 call contracts with the same strike price and different expiration dates, with closest match to the criteria given

Parameters
strikeFromAtmThe desire strike price distance from the current underlying price
minNearDaysTillExpiryThe mininum days till expiry of the closer contract from the current time, closest expiry will be selected
minFarDaysTillExpiryThe mininum days till expiry of the further conrtact from the current time, closest expiry will be selected

Applicable to Long and Short Call Calendar Spread Option Strategy

Returns
Universe with filter applied

Definition at line 382 of file OptionFilterUniverse.cs.

◆ PutCalendarSpread()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutCalendarSpread ( decimal  strikeFromAtm = 0,
int  minNearDaysTillExpiry = 30,
int  minFarDaysTillExpiry = 60 
)

Sets universe of 2 put contracts with the same strike price and different expiration dates, with closest match to the criteria given

Parameters
strikeFromAtmThe desire strike price distance from the current underlying price
minNearDaysTillExpiryThe mininum days till expiry of the closer contract from the current time, closest expiry will be selected
minFarDaysTillExpiryThe mininum days till expiry of the further conrtact from the current time, closest expiry will be selected

Applicable to Long and Short Put Calendar Spread Option Strategy

Returns
Universe with filter applied

Definition at line 395 of file OptionFilterUniverse.cs.

◆ Strangle()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Strangle ( int  minDaysTillExpiry = 30,
decimal  callStrikeFromAtm = 5,
decimal  putStrikeFromAtm = -5 
)

Sets universe of an OTM call contract and an OTM put contract with the same expiry, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
callStrikeFromAtmThe desire strike price distance from the current underlying price of the OTM call. It must be positive.
putStrikeFromAtmThe desire strike price distance from the current underlying price of the OTM put. It must be negative.

Applicable to Long and Short Strangle Option Strategy

Returns
Universe with filter applied

Definition at line 442 of file OptionFilterUniverse.cs.

◆ Straddle()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Straddle ( int  minDaysTillExpiry = 30)

Sets universe of an ATM call contract and an ATM put contract with the same expiry, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected

Applicable to Long and Short Straddle Option Strategy

Returns
Universe with filter applied

Definition at line 463 of file OptionFilterUniverse.cs.

◆ ProtectiveCollar()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.ProtectiveCollar ( int  minDaysTillExpiry = 30,
decimal  callStrikeFromAtm = 5,
decimal  putStrikeFromAtm = -5 
)

Sets universe of a call contract and a put contract with the same expiry but lower strike price, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
callStrikeFromAtmThe desire strike price distance from the current underlying price of the call.
putStrikeFromAtmThe desire strike price distance from the current underlying price of the put.

Applicable to Protective Collar Option Strategy

Returns
Universe with filter applied

Definition at line 476 of file OptionFilterUniverse.cs.

◆ Conversion()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Conversion ( int  minDaysTillExpiry = 30,
decimal  strikeFromAtm = 5 
)

Sets universe of a call contract and a put contract with the same expiry and strike price, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeFromAtmThe desire strike price distance from the current underlying price

Applicable to Conversion and Reverse Conversion Option Strategy

Returns
Universe with filter applied

Definition at line 503 of file OptionFilterUniverse.cs.

◆ CallButterfly()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallButterfly ( int  minDaysTillExpiry = 30,
decimal  strikeSpread = 5 
)

Sets universe of an ITM call, an ATM call, and an OTM call with the same expiry and equal strike price distance, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeSpreadThe desire strike price distance of the ITM call and the OTM call from the current underlying price

Applicable to Long and Short Call Butterfly Option Strategy

Returns
Universe with filter applied

Definition at line 544 of file OptionFilterUniverse.cs.

◆ PutButterfly()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutButterfly ( int  minDaysTillExpiry = 30,
decimal  strikeSpread = 5 
)

Sets universe of an ITM put, an ATM put, and an OTM put with the same expiry and equal strike price distance, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeSpreadThe desire strike price distance of the ITM put and the OTM put from the current underlying price

Applicable to Long and Short Put Butterfly Option Strategy

Returns
Universe with filter applied

Definition at line 556 of file OptionFilterUniverse.cs.

◆ IronButterfly()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.IronButterfly ( int  minDaysTillExpiry = 30,
decimal  strikeSpread = 5 
)

Sets universe of an OTM call, an ATM call, an ATM put, and an OTM put with the same expiry and equal strike price distance, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeSpreadThe desire strike price distance of the OTM call and the OTM put from the current underlying price

Applicable to Long and Short Iron Butterfly Option Strategy

Returns
Universe with filter applied

Definition at line 603 of file OptionFilterUniverse.cs.

◆ IronCondor()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.IronCondor ( int  minDaysTillExpiry = 30,
decimal  nearStrikeSpread = 5,
decimal  farStrikeSpread = 10 
)

Sets universe of a far-OTM call, a near-OTM call, a near-OTM put, and a far-OTM put with the same expiry and equal strike price distance between both calls and both puts, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
nearStrikeSpreadThe desire strike price distance of the near-to-expiry call and the near-to-expiry put from the current underlying price
farStrikeSpreadThe desire strike price distance of the further-to-expiry call and the further-to-expiry put from the current underlying price

Applicable to Long and Short Iron Condor Option Strategy

Returns
Universe with filter applied

Definition at line 651 of file OptionFilterUniverse.cs.

◆ BoxSpread()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.BoxSpread ( int  minDaysTillExpiry = 30,
decimal  strikeSpread = 5 
)

Sets universe of an OTM call, an ITM call, an OTM put, and an ITM put with the same expiry with closest match to the criteria given. The OTM call has the same strike as the ITM put, while the same holds for the ITM call and the OTM put

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
strikeSpreadThe desire strike price distance of the OTM call and the OTM put from the current underlying price

Applicable to Long and Short Box Spread Option Strategy

Returns
Universe with filter applied

Definition at line 708 of file OptionFilterUniverse.cs.

◆ JellyRoll()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.JellyRoll ( decimal  strikeFromAtm = 0,
int  minNearDaysTillExpiry = 30,
int  minFarDaysTillExpiry = 60 
)

Sets universe of 2 call and 2 put contracts with the same strike price and 2 expiration dates, with closest match to the criteria given

Parameters
strikeFromAtmThe desire strike price distance from the current underlying price
minNearDaysTillExpiryThe mininum days till expiry of the closer contract from the current time, closest expiry will be selected
minFarDaysTillExpiryThe mininum days till expiry of the further conrtact from the current time, closest expiry will be selected

Applicable to Long and Short Jelly Roll Option Strategy

Returns
Universe with filter applied

Definition at line 745 of file OptionFilterUniverse.cs.

◆ CallLadder()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallLadder ( int  minDaysTillExpiry,
decimal  higherStrikeFromAtm,
decimal  middleStrikeFromAtm,
decimal  lowerStrikeFromAtm 
)

Sets universe of 3 call contracts with the same expiry and different strike prices, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
higherStrikeFromAtmThe desire strike price distance from the current underlying price of the higher strike price
middleStrikeFromAtmThe desire strike price distance from the current underlying price of the middle strike price
lowerStrikeFromAtmThe desire strike price distance from the current underlying price of the lower strike price

Applicable to Bear Call Ladder and Bull Call Ladder Option Strategy

Returns
Universe with filter applied

Definition at line 796 of file OptionFilterUniverse.cs.

◆ PutLadder()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutLadder ( int  minDaysTillExpiry,
decimal  higherStrikeFromAtm,
decimal  middleStrikeFromAtm,
decimal  lowerStrikeFromAtm 
)

Sets universe of 3 put contracts with the same expiry and different strike prices, with closest match to the criteria given

Parameters
minDaysTillExpiryThe minimum days till expiry from the current time, closest expiry will be selected
higherStrikeFromAtmThe desire strike price distance from the current underlying price of the higher strike price
middleStrikeFromAtmThe desire strike price distance from the current underlying price of the middle strike price
lowerStrikeFromAtmThe desire strike price distance from the current underlying price of the lower strike price

Applicable to Bear Put Ladder and Bull Put Ladder Option Strategy

Returns
Universe with filter applied

Definition at line 810 of file OptionFilterUniverse.cs.

◆ Delta()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Delta ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Delta between the given range

Parameters
minThe minimum Delta value
maxThe maximum Delta value
Returns
Universe with filter applied

Definition at line 821 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ D()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.D ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Delta between the given range. Alias for Delta(decimal, decimal)

Parameters
minThe minimum Delta value
maxThe maximum Delta value
Returns
Universe with filter applied

Definition at line 833 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ Gamma()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Gamma ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Gamma between the given range

Parameters
minThe minimum Gamma value
maxThe maximum Gamma value
Returns
Universe with filter applied

Definition at line 844 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ G()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.G ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Gamma between the given range. Alias for Gamma(decimal, decimal)

Parameters
minThe minimum Gamma value
maxThe maximum Gamma value
Returns
Universe with filter applied

Definition at line 856 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ Theta()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Theta ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Theta between the given range

Parameters
minThe minimum Theta value
maxThe maximum Theta value
Returns
Universe with filter applied

Definition at line 867 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ T()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.T ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Theta between the given range. Alias for Theta(decimal, decimal)

Parameters
minThe minimum Theta value
maxThe maximum Theta value
Returns
Universe with filter applied

Definition at line 879 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ Vega()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Vega ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Vega between the given range

Parameters
minThe minimum Vega value
maxThe maximum Vega value
Returns
Universe with filter applied

Definition at line 890 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ V()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.V ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Vega between the given range. Alias for Vega(decimal, decimal)

Parameters
minThe minimum Vega value
maxThe maximum Vega value
Returns
Universe with filter applied

Definition at line 902 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ Rho()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Rho ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Rho between the given range

Parameters
minThe minimum Rho value
maxThe maximum Rho value
Returns
Universe with filter applied

Definition at line 913 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ R()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.R ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with Rho between the given range. Alias for Rho(decimal, decimal)

Parameters
minThe minimum Rho value
maxThe maximum Rho value
Returns
Universe with filter applied

Definition at line 925 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ ImpliedVolatility()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.ImpliedVolatility ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with implied volatility between the given range

Parameters
minThe minimum implied volatility value
maxThe maximum implied volatility value
Returns
Universe with filter applied

Definition at line 936 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ IV()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.IV ( decimal  min,
decimal  max 
)

Applies the filter to the universe selecting the contracts with implied volatility between the given range. Alias for ImpliedVolatility(decimal, decimal)

Parameters
minThe minimum implied volatility value
maxThe maximum implied volatility value
Returns
Universe with filter applied

Definition at line 948 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ OpenInterest()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.OpenInterest ( long  min,
long  max 
)

Applies the filter to the universe selecting the contracts with open interest between the given range

Parameters
minThe minimum open interest value
maxThe maximum open interest value
Returns
Universe with filter applied

Definition at line 959 of file OptionFilterUniverse.cs.

Here is the caller graph for this function:

◆ OI()

OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.OI ( long  min,
long  max 
)

Applies the filter to the universe selecting the contracts with open interest between the given range. Alias for OpenInterest(long, long)

Parameters
minThe minimum open interest value
maxThe maximum open interest value
Returns
Universe with filter applied

Definition at line 971 of file OptionFilterUniverse.cs.

Here is the call graph for this function:

◆ operator List< Symbol >()

static implicit QuantConnect.Securities.OptionFilterUniverse.operator List< Symbol > ( OptionFilterUniverse  universe)
static

Implicitly convert the universe to a list of symbols

Parameters
universe

Definition at line 982 of file OptionFilterUniverse.cs.

Property Documentation

◆ UnderlyingInternal

BaseData QuantConnect.Securities.OptionFilterUniverse.UnderlyingInternal
getsetprotected

The underlying price data

Definition at line 45 of file OptionFilterUniverse.cs.

◆ Underlying

BaseData QuantConnect.Securities.OptionFilterUniverse.Underlying
get

The underlying price data

Definition at line 51 of file OptionFilterUniverse.cs.


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