QuantConnect.Securities.IndexOption.IndexOptionSymbol Class Reference

Index Option Symbol More...

Static Public Member Functions
static bool	IsStandard (Symbol symbol)
	Determines if the Index Option Symbol is for a monthly contract More...
static bool	IsIndexOption (string ticker)
	Checks if the ticker provided is a supported Index Option More...
static string	MapToUnderlying (string indexOption)
	Maps an index option ticker to its underlying index ticker More...
static DateTime	GetLastTradingDate (string ticker, DateTime expirationDate)
	Returns the last trading date for the given index option ticker and expiration date More...
static DateTime	GetExpiryDate (string ticker, DateTime lastTradingDate)
	Returns the expiry date for the given index option ticker and last trading date More...

Static Public Attributes
static readonly HashSet< string >	SupportedIndexOptionTickers
	Supported index option tickers More...

Detailed Description

Index Option Symbol

Definition at line 26 of file IndexOptionSymbol.cs.

Member Function Documentation

IsStandard()

static bool QuantConnect.Securities.IndexOption.IndexOptionSymbol.IsStandard ( Symbol  symbol )

static

Determines if the Index Option Symbol is for a monthly contract

Parameters

symbol

Index Option Symbol

Returns

True if monthly contract, false otherwise

Definition at line 64 of file IndexOptionSymbol.cs.

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IsIndexOption()

static bool QuantConnect.Securities.IndexOption.IndexOptionSymbol.IsIndexOption ( string  ticker )

static

Checks if the ticker provided is a supported Index Option

Parameters

ticker

Ticker of the index option

Returns

true if the ticker matches an index option's ticker

This is only used in IB brokerage, since they don't distinguish index options from regular equity options. When we do the conversion from a contract to a SecurityType, the only information we're provided that can reverse it to the SecurityType.IndexOption enum value is the ticker.

Definition at line 98 of file IndexOptionSymbol.cs.

MapToUnderlying()

static string QuantConnect.Securities.IndexOption.IndexOptionSymbol.MapToUnderlying ( string  indexOption )

static

Maps an index option ticker to its underlying index ticker

Parameters

indexOption

Index option ticker to map to the underlying

Returns

Index ticker

Definition at line 108 of file IndexOptionSymbol.cs.

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GetLastTradingDate()

static DateTime QuantConnect.Securities.IndexOption.IndexOptionSymbol.GetLastTradingDate ( string  ticker, DateTime  expirationDate  )

static

Returns the last trading date for the given index option ticker and expiration date

This is useful for IB brokerage

Definition at line 122 of file IndexOptionSymbol.cs.

GetExpiryDate()

static DateTime QuantConnect.Securities.IndexOption.IndexOptionSymbol.GetExpiryDate ( string  ticker, DateTime  lastTradingDate  )

static

Returns the expiry date for the given index option ticker and last trading date

This is useful for IB brokerage

Definition at line 131 of file IndexOptionSymbol.cs.

Member Data Documentation

SupportedIndexOptionTickers

readonly HashSet<string> QuantConnect.Securities.IndexOption.IndexOptionSymbol.SupportedIndexOptionTickers

static

Initial value:

= new string[] { "SPX", "NDX", "VIX", "RUT" }
            .Union(_nonStandardIndexOptionTickers)
            .ToHashSet()

Supported index option tickers

Definition at line 55 of file IndexOptionSymbol.cs.

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

• Common/Securities/IndexOption/IndexOptionSymbol.cs