QuantConnect.Securities.Option.DefaultOptionAssignmentModel Class Reference

The option assignment model emulates exercising of short option positions in the portfolio. Simulator implements basic no-arb argument: when time value of the option contract is close to zero it assigns short legs getting profit close to expiration dates in deep ITM positions. User algorithm then receives assignment event from LEAN. Simulator randomly scans for arbitrage opportunities every two hours or so. More...

Inheritance diagram for QuantConnect.Securities.Option.DefaultOptionAssignmentModel:

Public Member Functions
	DefaultOptionAssignmentModel (decimal requiredInTheMoneyPercent=0.05m, TimeSpan? priorExpiration=null)
	Creates a new instance More...
virtual OptionAssignmentResult	GetAssignment (OptionAssignmentParameters parameters)
	Get's the option assignments to generate if any More...

Detailed Description

The option assignment model emulates exercising of short option positions in the portfolio. Simulator implements basic no-arb argument: when time value of the option contract is close to zero it assigns short legs getting profit close to expiration dates in deep ITM positions. User algorithm then receives assignment event from LEAN. Simulator randomly scans for arbitrage opportunities every two hours or so.

Definition at line 28 of file DefaultOptionAssignmentModel.cs.

Constructor & Destructor Documentation

DefaultOptionAssignmentModel()

QuantConnect.Securities.Option.DefaultOptionAssignmentModel.DefaultOptionAssignmentModel	(	decimal	requiredInTheMoneyPercent = 0.05m,
		TimeSpan?	priorExpiration = null
	)

Creates a new instance

Parameters

requiredInTheMoneyPercent	The percent in the money the option has to be to trigger the option assignment
priorExpiration	For OptionStyle.American, the time span prior to expiration were we will try to evaluate option assignment

Definition at line 41 of file DefaultOptionAssignmentModel.cs.

Member Function Documentation

GetAssignment()

virtual OptionAssignmentResult QuantConnect.Securities.Option.DefaultOptionAssignmentModel.GetAssignment ( OptionAssignmentParameters  parameters )

virtual

Get's the option assignments to generate if any

Parameters

parameters

The option assignment parameters data transfer class

Returns

The option assignment result

Implements QuantConnect.Securities.Option.IOptionAssignmentModel.

Definition at line 52 of file DefaultOptionAssignmentModel.cs.

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

• Common/Securities/Option/DefaultOptionAssignmentModel.cs