Provides a definitional object for an OptionStrategy. This definition is used to 'match' option positions via OptionPositionCollection. The OptionStrategyMatcher utilizes a full collection of these definitional objects in order to match an algorithm's option position holdings to the set of strategies in an effort to reduce the total margin required for holding the positions. More...

Inheritance diagram for QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition:

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Classes
class	Builder
	Builder class supporting fluent syntax in constructing OptionStrategyDefinition. More...

Public Member Functions
	OptionStrategyDefinition (string name, int underlyingLots, IEnumerable< OptionStrategyLegDefinition > legs)
	Initializes a new instance of the OptionStrategyDefinition class More...

OptionStrategy	CreateStrategy (IReadOnlyList< OptionStrategyLegDefinitionMatch > legs)
	Creates the OptionStrategy instance using this definition and the provided leg matches More...

bool	TryMatchOnce (OptionStrategyMatcherOptions options, OptionPositionCollection positions, out OptionStrategyDefinitionMatch match)
	Attempts to match the positions to this definition exactly once, by evaluating the enumerable and taking the first entry matched. If not match is found, then false is returned and match will be null. More...

IEnumerable< OptionStrategyDefinitionMatch >	Match (OptionPositionCollection positions)
	Determines all possible matches for this definition using the provided positions . This includes OVERLAPPING matches. It's up to the actual matcher to make decisions based on which matches to accept. This allows the matcher to prioritize matching certain positions over others. More...

IEnumerable< OptionStrategyDefinitionMatch >	Match (OptionStrategyMatcherOptions options, OptionPositionCollection positions)
	Determines all possible matches for this definition using the provided positions . This includes OVERLAPPING matches. It's up to the actual matcher to make decisions based on which matches to accept. This allows the matcher to prioritize matching certain positions over others. More...

override string	ToString ()
	Returns a string that represents the current object. More...

IEnumerator< OptionStrategyLegDefinition >	GetEnumerator ()
	Returns an enumerator that iterates through the collection. More...

Static Public Member Functions
static OptionStrategyDefinition	Create (string name, int underlyingLots, params OptionStrategyLegDefinition[] legs)
	Factory function for creating definitions More...

static OptionStrategyDefinition	Create (string name, params OptionStrategyLegDefinition[] legs)
	Factory function for creating definitions More...

static OptionStrategyDefinition	Create (string name, params Func< Builder, Builder >[] predicates)
	Factory function for creating definitions More...

static OptionStrategyLegDefinition	CallLeg (int quantity, params Expression< Func< IReadOnlyList< OptionPosition >, OptionPosition, bool >>[] predicates)
	Factory function for creating a call leg definition More...

static OptionStrategyLegDefinition	PutLeg (int quantity, params Expression< Func< IReadOnlyList< OptionPosition >, OptionPosition, bool >>[] predicates)
	Factory function for creating a put leg definition More...

Public Attributes
int	LegCount => Legs.Count + (UnderlyingLots == 0 ? 0 : 1)
	Gets the total number of legs, INCLUDING the underlying leg if applicable. This is used to perform a coarse filter as the minimum number of unique positions in the positions collection. More...

Properties
string	Name `[get]`
	Gets the definition's name More...

int	UnderlyingLots `[get]`
	Gets the number of underlying lots required to match this definition. A lot size is equal to the contract's multiplier and is usually equal to 100. More...

IReadOnlyList< OptionStrategyLegDefinition >	Legs `[get]`
	Gets the option leg definitions. This list does NOT contain a definition for the required underlying lots, due to its simplicity. Instead the required underlying lots are defined via the UnderlyingLots property of the definition. More...

Detailed Description

Provides a definitional object for an OptionStrategy. This definition is used to 'match' option positions via OptionPositionCollection. The OptionStrategyMatcher utilizes a full collection of these definitional objects in order to match an algorithm's option position holdings to the set of strategies in an effort to reduce the total margin required for holding the positions.

Definition at line 31 of file OptionStrategyDefinition.cs.

Constructor & Destructor Documentation

◆ OptionStrategyDefinition()

QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.OptionStrategyDefinition	(	string	name,
		int	underlyingLots,
		IEnumerable< OptionStrategyLegDefinition >	legs
	)

Initializes a new instance of the OptionStrategyDefinition class

Parameters

name	The definition's name
underlyingLots	The required number of underlying lots
legs	Definitions for each option leg

Definition at line 64 of file OptionStrategyDefinition.cs.

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Member Function Documentation

◆ CreateStrategy()

OptionStrategy QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.CreateStrategy ( IReadOnlyList< OptionStrategyLegDefinitionMatch > legs )

Creates the OptionStrategy instance using this definition and the provided leg matches

Definition at line 74 of file OptionStrategyDefinition.cs.

◆ TryMatchOnce()

bool QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.TryMatchOnce	(	OptionStrategyMatcherOptions	options,
		OptionPositionCollection	positions,
		out OptionStrategyDefinitionMatch	match
	)

Attempts to match the positions to this definition exactly once, by evaluating the enumerable and taking the first entry matched. If not match is found, then false is returned and match will be null.

Definition at line 97 of file OptionStrategyDefinition.cs.

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◆ Match() [1/2]

IEnumerable<OptionStrategyDefinitionMatch> QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Match ( OptionPositionCollection positions )

Determines all possible matches for this definition using the provided positions . This includes OVERLAPPING matches. It's up to the actual matcher to make decisions based on which matches to accept. This allows the matcher to prioritize matching certain positions over others.

Definition at line 108 of file OptionStrategyDefinition.cs.

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◆ Match() [2/2]

IEnumerable<OptionStrategyDefinitionMatch> QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Match	(	OptionStrategyMatcherOptions	options,
		OptionPositionCollection	positions
	)

Determines all possible matches for this definition using the provided positions . This includes OVERLAPPING matches. It's up to the actual matcher to make decisions based on which matches to accept. This allows the matcher to prioritize matching certain positions over others.

Definition at line 118 of file OptionStrategyDefinition.cs.

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◆ ToString()

override string QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.ToString ( )

Returns a string that represents the current object.

Returns: A string that represents the current object.

Definition at line 204 of file OptionStrategyDefinition.cs.

◆ Create() [1/3]

static OptionStrategyDefinition QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Create	(	string	name,
		int	underlyingLots,
		params OptionStrategyLegDefinition[]	legs
	)

static

Factory function for creating definitions

Definition at line 212 of file OptionStrategyDefinition.cs.

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◆ Create() [2/3]

static OptionStrategyDefinition QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Create	(	string	name,
		params OptionStrategyLegDefinition[]	legs
	)

static

Factory function for creating definitions

Definition at line 220 of file OptionStrategyDefinition.cs.

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◆ Create() [3/3]

static OptionStrategyDefinition QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Create	(	string	name,
		params Func< Builder, Builder >[]	predicates
	)

static

Factory function for creating definitions

Definition at line 228 of file OptionStrategyDefinition.cs.

◆ CallLeg()

static OptionStrategyLegDefinition QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.CallLeg	(	int	quantity,
		params Expression< Func< IReadOnlyList< OptionPosition >, OptionPosition, bool >>[]	predicates
	)

static

Factory function for creating a call leg definition

Definition at line 238 of file OptionStrategyDefinition.cs.

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◆ PutLeg()

static OptionStrategyLegDefinition QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.PutLeg	(	int	quantity,
		params Expression< Func< IReadOnlyList< OptionPosition >, OptionPosition, bool >>[]	predicates
	)

static

Factory function for creating a put leg definition

Definition at line 248 of file OptionStrategyDefinition.cs.

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◆ GetEnumerator()

IEnumerator<OptionStrategyLegDefinition> QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.GetEnumerator ( )

Returns an enumerator that iterates through the collection.

Returns: An enumerator that can be used to iterate through the collection.

Definition at line 321 of file OptionStrategyDefinition.cs.

Member Data Documentation

◆ LegCount

int QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.LegCount => Legs.Count + (UnderlyingLots == 0 ? 0 : 1)

Gets the total number of legs, INCLUDING the underlying leg if applicable. This is used to perform a coarse filter as the minimum number of unique positions in the positions collection.

Definition at line 56 of file OptionStrategyDefinition.cs.

Property Documentation

◆ Name

string QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Name

get

Gets the definition's name

Definition at line 36 of file OptionStrategyDefinition.cs.

◆ UnderlyingLots

int QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.UnderlyingLots

get

Gets the number of underlying lots required to match this definition. A lot size is equal to the contract's multiplier and is usually equal to 100.

Definition at line 42 of file OptionStrategyDefinition.cs.

◆ Legs

IReadOnlyList<OptionStrategyLegDefinition> QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinition.Legs

get

Gets the option leg definitions. This list does NOT contain a definition for the required underlying lots, due to its simplicity. Instead the required underlying lots are defined via the UnderlyingLots property of the definition.

Definition at line 49 of file OptionStrategyDefinition.cs.

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

Common/Securities/Option/StrategyMatcher/OptionStrategyDefinition.cs

Classes

Public Member Functions

Static Public Member Functions

Public Attributes

Properties

Detailed Description

Constructor & Destructor Documentation

◆ OptionStrategyDefinition()

Member Function Documentation

◆ CreateStrategy()

◆ TryMatchOnce()

◆ Match() [1/2]

◆ Match() [2/2]

◆ ToString()

◆ Create() [1/3]

◆ Create() [2/3]

◆ Create() [3/3]

◆ CallLeg()

◆ PutLeg()

◆ GetEnumerator()

Member Data Documentation

◆ LegCount

Property Documentation

◆ Name

◆ UnderlyingLots

◆ Legs