Lean
$LEAN_TAG$
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Represents options symbols universe used in filtering. More...
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... | |
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virtual void | Refresh (IEnumerable< TData > allData, 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 (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... | |
T | 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... | |
T | 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... | |
T | 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... | |
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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... | |
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ContractExpirationType | Type [get, set] |
Expiration Types allowed through the filter Standards only by default More... | |
DateTime | LocalTime [get] |
The local exchange current time More... | |
Represents options symbols universe used in filtering.
Definition at line 32 of file OptionFilterUniverse.cs.
QuantConnect.Securities.OptionFilterUniverse.OptionFilterUniverse | ( | Option.Option | option | ) |
Constructs OptionFilterUniverse
option | The canonical option chain security |
Definition at line 62 of file OptionFilterUniverse.cs.
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.
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
allContractsData | All data for the option contracts |
underlying | The current underlying last data point |
localTime | The current local time |
Definition at line 87 of file OptionFilterUniverse.cs.
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protectedvirtual |
Determine if the given Option contract symbol is standard
Implements QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >.
Definition at line 100 of file OptionFilterUniverse.cs.
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protected |
Gets the symbol from the data
Definition at line 117 of file OptionFilterUniverse.cs.
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protectedvirtual |
Creates a new instance of the data type for the given symbol
Implements QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >.
Definition at line 126 of file OptionFilterUniverse.cs.
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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).
referenceDate | The date to be adjusted |
Reimplemented from QuantConnect.Securities.ContractSecurityFilterUniverse< OptionFilterUniverse, OptionUniverse >.
Definition at line 142 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Strikes | ( | int | minStrike, |
int | maxStrike | ||
) |
Applies filter selecting options contracts based on a range of strikes in relative terms
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 |
Definition at line 159 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallsOnly | ( | ) |
Sets universe of call options (if any) as a selection
Definition at line 257 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutsOnly | ( | ) |
Sets universe of put options (if any) as a selection
Definition at line 266 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeFromAtm | The desire strike price distance from the current underlying price |
Applicable to Naked Call, Covered Call, and Protective Call Option Strategy
Definition at line 278 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeFromAtm | The desire strike price distance from the current underlying price |
Applicable to Naked Put, Covered Put, and Protective Put Option Strategy
Definition at line 290 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallSpread | ( | int | minDaysTillExpiry = 30 , |
decimal | higherStrikeFromAtm = 5 , |
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decimal? | lowerStrikeFromAtm = null |
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) |
Sets universe of 2 call contracts with the same expiry and different strike prices, with closest match to the criteria given
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
higherStrikeFromAtm | The desire strike price distance from the current underlying price of the higher strike price |
lowerStrikeFromAtm | The 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
Definition at line 320 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutSpread | ( | int | minDaysTillExpiry = 30 , |
decimal | higherStrikeFromAtm = 5 , |
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decimal? | lowerStrikeFromAtm = null |
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) |
Sets universe of 2 put contracts with the same expiry and different strike prices, with closest match to the criteria given
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
higherStrikeFromAtm | The desire strike price distance from the current underlying price of the higher strike price |
lowerStrikeFromAtm | The 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
Definition at line 333 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.CallCalendarSpread | ( | decimal | strikeFromAtm = 0 , |
int | minNearDaysTillExpiry = 30 , |
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int | minFarDaysTillExpiry = 60 |
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) |
Sets universe of 2 call contracts with the same strike price and different expiration dates, with closest match to the criteria given
strikeFromAtm | The desire strike price distance from the current underlying price |
minNearDaysTillExpiry | The mininum days till expiry of the closer contract from the current time, closest expiry will be selected |
minFarDaysTillExpiry | The 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
Definition at line 382 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.PutCalendarSpread | ( | decimal | strikeFromAtm = 0 , |
int | minNearDaysTillExpiry = 30 , |
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int | minFarDaysTillExpiry = 60 |
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) |
Sets universe of 2 put contracts with the same strike price and different expiration dates, with closest match to the criteria given
strikeFromAtm | The desire strike price distance from the current underlying price |
minNearDaysTillExpiry | The mininum days till expiry of the closer contract from the current time, closest expiry will be selected |
minFarDaysTillExpiry | The 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
Definition at line 395 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Strangle | ( | int | minDaysTillExpiry = 30 , |
decimal | callStrikeFromAtm = 5 , |
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decimal | putStrikeFromAtm = -5 |
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) |
Sets universe of an OTM call contract and an OTM put contract with the same expiry, with closest match to the criteria given
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
callStrikeFromAtm | The desire strike price distance from the current underlying price of the OTM call. It must be positive. |
putStrikeFromAtm | The 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
Definition at line 442 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
Applicable to Long and Short Straddle Option Strategy
Definition at line 463 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.ProtectiveCollar | ( | int | minDaysTillExpiry = 30 , |
decimal | callStrikeFromAtm = 5 , |
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decimal | putStrikeFromAtm = -5 |
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) |
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
callStrikeFromAtm | The desire strike price distance from the current underlying price of the call. |
putStrikeFromAtm | The desire strike price distance from the current underlying price of the put. |
Applicable to Protective Collar Option Strategy
Definition at line 476 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeFromAtm | The desire strike price distance from the current underlying price |
Applicable to Conversion and Reverse Conversion Option Strategy
Definition at line 503 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeSpread | The 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
Definition at line 544 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeSpread | The 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
Definition at line 556 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeSpread | The 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
Definition at line 603 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.IronCondor | ( | int | minDaysTillExpiry = 30 , |
decimal | nearStrikeSpread = 5 , |
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decimal | farStrikeSpread = 10 |
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) |
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
nearStrikeSpread | The desire strike price distance of the near-to-expiry call and the near-to-expiry put from the current underlying price |
farStrikeSpread | The 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
Definition at line 651 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.BoxSpread | ( | int | minDaysTillExpiry = 30 , |
decimal | strikeSpread = 5 |
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) |
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
strikeSpread | The 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
Definition at line 708 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.JellyRoll | ( | decimal | strikeFromAtm = 0 , |
int | minNearDaysTillExpiry = 30 , |
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int | minFarDaysTillExpiry = 60 |
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) |
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
strikeFromAtm | The desire strike price distance from the current underlying price |
minNearDaysTillExpiry | The mininum days till expiry of the closer contract from the current time, closest expiry will be selected |
minFarDaysTillExpiry | The 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
Definition at line 745 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
higherStrikeFromAtm | The desire strike price distance from the current underlying price of the higher strike price |
middleStrikeFromAtm | The desire strike price distance from the current underlying price of the middle strike price |
lowerStrikeFromAtm | The 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
Definition at line 796 of file OptionFilterUniverse.cs.
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
minDaysTillExpiry | The minimum days till expiry from the current time, closest expiry will be selected |
higherStrikeFromAtm | The desire strike price distance from the current underlying price of the higher strike price |
middleStrikeFromAtm | The desire strike price distance from the current underlying price of the middle strike price |
lowerStrikeFromAtm | The 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
Definition at line 810 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Delta | ( | decimal | min, |
decimal | max | ||
) |
Applies the filter to the universe selecting the contracts with Delta between the given range
min | The minimum Delta value |
max | The maximum Delta value |
Definition at line 821 of file OptionFilterUniverse.cs.
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)
min | The minimum Delta value |
max | The maximum Delta value |
Definition at line 833 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Gamma | ( | decimal | min, |
decimal | max | ||
) |
Applies the filter to the universe selecting the contracts with Gamma between the given range
min | The minimum Gamma value |
max | The maximum Gamma value |
Definition at line 844 of file OptionFilterUniverse.cs.
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)
min | The minimum Gamma value |
max | The maximum Gamma value |
Definition at line 856 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Theta | ( | decimal | min, |
decimal | max | ||
) |
Applies the filter to the universe selecting the contracts with Theta between the given range
min | The minimum Theta value |
max | The maximum Theta value |
Definition at line 867 of file OptionFilterUniverse.cs.
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)
min | The minimum Theta value |
max | The maximum Theta value |
Definition at line 879 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Vega | ( | decimal | min, |
decimal | max | ||
) |
Applies the filter to the universe selecting the contracts with Vega between the given range
min | The minimum Vega value |
max | The maximum Vega value |
Definition at line 890 of file OptionFilterUniverse.cs.
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)
min | The minimum Vega value |
max | The maximum Vega value |
Definition at line 902 of file OptionFilterUniverse.cs.
OptionFilterUniverse QuantConnect.Securities.OptionFilterUniverse.Rho | ( | decimal | min, |
decimal | max | ||
) |
Applies the filter to the universe selecting the contracts with Rho between the given range
min | The minimum Rho value |
max | The maximum Rho value |
Definition at line 913 of file OptionFilterUniverse.cs.
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)
min | The minimum Rho value |
max | The maximum Rho value |
Definition at line 925 of file OptionFilterUniverse.cs.
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
min | The minimum implied volatility value |
max | The maximum implied volatility value |
Definition at line 936 of file OptionFilterUniverse.cs.
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)
min | The minimum implied volatility value |
max | The maximum implied volatility value |
Definition at line 948 of file OptionFilterUniverse.cs.
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
min | The minimum open interest value |
max | The maximum open interest value |
Definition at line 959 of file OptionFilterUniverse.cs.
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)
min | The minimum open interest value |
max | The maximum open interest value |
Definition at line 971 of file OptionFilterUniverse.cs.
|
static |
Implicitly convert the universe to a list of symbols
universe |
Definition at line 982 of file OptionFilterUniverse.cs.
|
getsetprotected |
The underlying price data
Definition at line 45 of file OptionFilterUniverse.cs.
|
get |
The underlying price data
Definition at line 51 of file OptionFilterUniverse.cs.