OptionChain

QuantConnect.Data.Market.OptionChain

OptionChain(
    canonical_option_symbol: Union[
        Symbol, str, BaseContract, Security
    ],
    time: Union[datetime, date],
    flatten: bool = True,
)

OptionChain(
    canonical_option_symbol: Union[
        Symbol, str, BaseContract, Security
    ],
    time: Union[datetime, date],
    contracts: List[OptionUniverse],
    symbol_properties: SymbolProperties,
    exchange_hours: SecurityExchangeHours = None,
    flatten: bool = True,
)

Bases: BaseChain[OptionContract, OptionContracts, QuantConnect_Data_Market_OptionChain, OptionChainFilterUniverse], IOptionContractFilters[QuantConnect_Data_Market_OptionChain]

The option chain filters, the same ones the option universe selection offers, see IOptionContractFilters{TSelf}. The filters shared with the futures chains live in BaseChain{T, TContractsCollection, TSelf, TUniverse}. Each filter returns a new chain, leaving this one untouched

Signature descriptions:

• Initializes a new instance of the OptionChain class

• Initializes a new option chain for a list of contracts as OptionUniverse instances

Parameters:

Name	Type	Description	Default
canonical_option_symbol	Union[Symbol, str, BaseContract, Security]	The symbol for this chain.	required
time	Union[datetime, date]	The time of this chain	required
flatten	bool	Whether to flatten the data frame	True
contracts	Optional[List[OptionUniverse]]	The list of contracts data	None
symbol_properties	Optional[SymbolProperties]	The option symbol properties	None
exchange_hours	Optional[SecurityExchangeHours]	The option exchange hours	None

underlying

underlying: BaseData

Gets the most recent trade information for the underlying. This may be a Tick or a TradeBar

ticks

ticks: Ticks

Gets all ticks for every option contract in this chain, keyed by option symbol

trade_bars

trade_bars: TradeBars

Gets all trade bars for every option contract in this chain, keyed by option symbol

quote_bars

quote_bars: QuoteBars

Gets all quote bars for every option contract in this chain, keyed by option symbol

contracts

contracts: (
    QuantConnect_Data_Market_BaseChain_TContractsCollection
)

Gets all contracts in the chain, keyed by option symbol

filtered_contracts

filtered_contracts: HashSet[Symbol]

Gets the set of symbols that passed the Option.ContractFilter

data_frame

data_frame: Any

The data frame representation of the option chain

count

count: int

The number of contracts in this chain

strikes

strikes(min_strike: int, max_strike: int) -> OptionChain

strikes(strikes: List[float]) -> OptionChain

Signature descriptions:

• Selects the contracts with strikes in the given range relative to the underlying price, in number of strikes. Same as BaseOptionFilterUniverse{TUniverse, TData}.Strikes

• Selects the contracts with any of the given strike prices. Same as BaseOptionFilterUniverse{TUniverse, TData}.Strikes(IEnumerable{decimal})

Parameters:

Name	Type	Description	Default
min_strike	Optional[int]	The minimum strike relative to the underlying price, for example, -1 would filter out contracts further than 1 strike below market price	None
max_strike	Optional[int]	The maximum strike relative to the underlying price, for example, +1 would filter out contracts further than 1 strike above market price	None
strikes	Optional[List[float]]	The strike prices	None

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

atm

atm(
    max_strike_distance: Optional[float] = None,
) -> OptionChain

Selects the contracts at the money. Alias for at_the_money

Parameters:

Name	Type	Description	Default
max_strike_distance	Optional[float]	The largest distance between a strike and the underlying price for its contracts to be at the money, in units of the underlying price. Zero selects only a strike equal to the price. Null, the default, selects the strikes on either side of the price, the highest at or below it and the lowest at or above it, each only when it is within the percentage of the price given by OptionFilterUniverse.default_at_the_money_strike_distance	None

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

at_the_money

at_the_money(
    max_strike_distance: Optional[float] = None,
) -> OptionChain

Selects the contracts at the money: the ones with strikes within the given distance of the underlying price, or by default the ones at the strikes on either side of it. Same as BaseOptionFilterUniverse{TUniverse, TData}.AtTheMoney

Parameters:

Name	Type	Description	Default
max_strike_distance	Optional[float]	The largest distance between a strike and the underlying price for its contracts to be at the money, in units of the underlying price. Zero selects only a strike equal to the price. Null, the default, selects the strikes on either side of the price, the highest at or below it and the lowest at or above it, each only when it is within the percentage of the price given by OptionFilterUniverse.default_at_the_money_strike_distance	None

Returns:

Type	Description
OptionChain	A new chain with the filter applied, empty when the underlying price is unknown.

box_spread

box_spread(
    min_days_till_expiry: int = 30, strike_spread: float = 5
) -> OptionChain

Selects an OTM call, an ITM call, an OTM put and an ITM put with the same expiry closest to the criteria given, for a box spread. Same as BaseOptionFilterUniverse{TUniverse, TData}.BoxSpread

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_spread	float	The desired strike price distance of the OTM call and the OTM put from the current underlying price	5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

call_butterfly

call_butterfly(
    min_days_till_expiry: int = 30, strike_spread: float = 5
) -> OptionChain

Selects an ITM, an ATM and an OTM call with the same expiry and equal strike distance closest to the criteria given, for a call butterfly. Same as BaseOptionFilterUniverse{TUniverse, TData}.CallButterfly

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_spread	float	The desired strike price distance of the ITM and OTM calls from the current underlying price	5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

call_calendar_spread

call_calendar_spread(
    strike_from_atm: float = 0,
    min_near_days_till_expiry: int = 30,
    min_far_days_till_expiry: int = 60,
) -> OptionChain

Selects the 2 call contracts with the same strike and different expiries closest to the criteria given, for a call calendar spread. Same as BaseOptionFilterUniverse{TUniverse, TData}.CallCalendarSpread

Parameters:

Name	Type	Description	Default
strike_from_atm	float	The desired strike price distance from the current underlying price	0
min_near_days_till_expiry	int	The minimum days till expiry of the closer contract from the current time, closest expiry will be selected	30
min_far_days_till_expiry	int	The minimum days till expiry of the further contract from the current time, closest expiry will be selected	60

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

call_ladder

call_ladder(
    min_days_till_expiry: int,
    higher_strike_from_atm: float,
    middle_strike_from_atm: float,
    lower_strike_from_atm: float,
) -> OptionChain

Selects 3 calls with the same expiry and different strikes closest to the criteria given, for a bull or bear call ladder. Same as BaseOptionFilterUniverse{TUniverse, TData}.CallLadder

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	required
higher_strike_from_atm	float	The desired strike price distance from the current underlying price of the higher strike price	required
middle_strike_from_atm	float	The desired strike price distance from the current underlying price of the middle strike price	required
lower_strike_from_atm	float	The desired strike price distance from the current underlying price of the lower strike price	required

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

calls_only

calls_only() -> OptionChain

Selects the call contracts. Same as BaseOptionFilterUniverse{TUniverse, TData}.CallsOnly

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

call_spread

call_spread(
    min_days_till_expiry: int = 30,
    higher_strike_from_atm: float = 5,
    lower_strike_from_atm: Optional[float] = None,
) -> OptionChain

Selects the 2 call contracts with the same expiry and different strikes closest to the criteria given, for a bull or bear call spread. Same as BaseOptionFilterUniverse{TUniverse, TData}.CallSpread

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
higher_strike_from_atm	float	The desired strike price distance from the current underlying price of the higher strike price	5
lower_strike_from_atm	Optional[float]	The desired strike price distance from the current underlying price of the lower strike price	None

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

clone

clone() -> BaseData

Return a new instance clone of this object, used in fill forward

Returns:

Type	Description
BaseData	A clone of the current object.

conversion

conversion(
    min_days_till_expiry: int = 30,
    strike_from_atm: float = 5,
) -> OptionChain

Selects a call and a put with the same expiry and strike closest to the criteria given, for a conversion or reverse conversion. Same as BaseOptionFilterUniverse{TUniverse, TData}.Conversion

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_from_atm	float	The desired strike price distance from the current underlying price	5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

create_chain

create_chain(
    contracts: List[OptionContract],
) -> OptionChain

Creates a copy of this chain with only the given contracts

This Class is protected.

Parameters:

Name	Type	Description	Default
contracts	List[OptionContract]	The contracts to keep	required

create_filter_universe

create_filter_universe() -> OptionChainFilterUniverse

Creates the filter universe over the contracts of this chain

This Class is protected.

d

d(min: float, max: float) -> OptionChain

Selects the contracts with delta in the given range. Alias for delta

Parameters:

Name	Type	Description	Default
min	float	The minimum delta value	required
max	float	The maximum delta value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

delta

delta(min: float, max: float) -> OptionChain

Selects the contracts with delta in the given range. Same as BaseOptionFilterUniverse{TUniverse, TData}.Delta

Parameters:

Name	Type	Description	Default
min	float	The minimum delta value	required
max	float	The maximum delta value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

g

g(min: float, max: float) -> OptionChain

Selects the contracts with gamma in the given range. Alias for gamma

Parameters:

Name	Type	Description	Default
min	float	The minimum gamma value	required
max	float	The maximum gamma value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

gamma

gamma(min: float, max: float) -> OptionChain

Selects the contracts with gamma in the given range. Same as BaseOptionFilterUniverse{TUniverse, TData}.Gamma

Parameters:

Name	Type	Description	Default
min	float	The minimum gamma value	required
max	float	The maximum gamma value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

implied_volatility

implied_volatility(min: float, max: float) -> OptionChain

Selects the contracts with implied volatility in the given range. Same as BaseOptionFilterUniverse{TUniverse, TData}.ImpliedVolatility

Parameters:

Name	Type	Description	Default
min	float	The minimum implied volatility value	required
max	float	The maximum implied volatility value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

in_the_money

in_the_money() -> OptionChain

Selects the in the money contracts: calls with strikes below the underlying price and puts with strikes above it. Same as BaseOptionFilterUniverse{TUniverse, TData}.InTheMoney

Returns:

Type	Description
OptionChain	A new chain with the filter applied, empty when the underlying price is unknown.

iron_butterfly

iron_butterfly(
    min_days_till_expiry: int = 30, strike_spread: float = 5
) -> OptionChain

Selects an OTM call, an ATM call, an ATM put and an OTM put with the same expiry and equal strike distance closest to the criteria given, for an iron butterfly. Same as BaseOptionFilterUniverse{TUniverse, TData}.IronButterfly

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_spread	float	The desired strike price distance of the OTM call and the OTM put from the current underlying price	5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

iron_condor

iron_condor(
    min_days_till_expiry: int = 30,
    near_strike_spread: float = 5,
    far_strike_spread: float = 10,
) -> OptionChain

Selects a far OTM call, a near OTM call, a near OTM put and a far OTM put with the same expiry closest to the criteria given, for an iron condor. Same as BaseOptionFilterUniverse{TUniverse, TData}.IronCondor

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
near_strike_spread	float	The desired strike price distance of the near call and near put from the current underlying price	5
far_strike_spread	float	The desired strike price distance of the far call and far put from the current underlying price	10

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

itm

itm() -> OptionChain

Selects the in the money contracts. Alias for in_the_money

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

iv

iv(min: float, max: float) -> OptionChain

Selects the contracts with implied volatility in the given range. Alias for implied_volatility

Parameters:

Name	Type	Description	Default
min	float	The minimum implied volatility value	required
max	float	The maximum implied volatility value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

jelly_roll

jelly_roll(
    strike_from_atm: float = 0,
    min_near_days_till_expiry: int = 30,
    min_far_days_till_expiry: int = 60,
) -> OptionChain

Selects 2 calls and 2 puts with the same strike and 2 expiries closest to the criteria given, for a jelly roll. Same as BaseOptionFilterUniverse{TUniverse, TData}.JellyRoll

Parameters:

Name	Type	Description	Default
strike_from_atm	float	The desired strike price distance from the current underlying price	0
min_near_days_till_expiry	int	The minimum days till expiry of the closer contract from the current time, closest expiry will be selected	30
min_far_days_till_expiry	int	The minimum days till expiry of the further contract from the current time, closest expiry will be selected	60

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

naked_call

naked_call(
    min_days_till_expiry: int = 30,
    strike_from_atm: float = 0,
) -> OptionChain

Selects the single call contract with the closest match to the criteria given, for a naked, covered or protective call. Same as BaseOptionFilterUniverse{TUniverse, TData}.NakedCall

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_from_atm	float	The desired strike price distance from the current underlying price	0

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

naked_put

naked_put(
    min_days_till_expiry: int = 30,
    strike_from_atm: float = 0,
) -> OptionChain

Selects the single put contract with the closest match to the criteria given, for a naked, covered or protective put. Same as BaseOptionFilterUniverse{TUniverse, TData}.NakedPut

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_from_atm	float	The desired strike price distance from the current underlying price	0

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

otm

otm() -> OptionChain

Selects the out of the money contracts. Alias for out_of_the_money

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

out_of_the_money

out_of_the_money() -> OptionChain

Selects the out of the money contracts: calls with strikes above the underlying price and puts with strikes below it. Same as BaseOptionFilterUniverse{TUniverse, TData}.OutOfTheMoney

Returns:

Type	Description
OptionChain	A new chain with the filter applied, empty when the underlying price is unknown.

protective_collar

protective_collar(
    min_days_till_expiry: int = 30,
    call_strike_from_atm: float = 5,
    put_strike_from_atm: float = -5,
) -> OptionChain

Selects a call and a put with the same expiry and a lower put strike closest to the criteria given, for a protective collar. Same as BaseOptionFilterUniverse{TUniverse, TData}.ProtectiveCollar

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
call_strike_from_atm	float	The desired strike price distance from the current underlying price of the call	5
put_strike_from_atm	float	The desired strike price distance from the current underlying price of the put	-5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

put_butterfly

put_butterfly(
    min_days_till_expiry: int = 30, strike_spread: float = 5
) -> OptionChain

Selects an ITM, an ATM and an OTM put with the same expiry and equal strike distance closest to the criteria given, for a put butterfly. Same as BaseOptionFilterUniverse{TUniverse, TData}.PutButterfly

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
strike_spread	float	The desired strike price distance of the ITM and OTM puts from the current underlying price	5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

put_calendar_spread

put_calendar_spread(
    strike_from_atm: float = 0,
    min_near_days_till_expiry: int = 30,
    min_far_days_till_expiry: int = 60,
) -> OptionChain

Selects the 2 put contracts with the same strike and different expiries closest to the criteria given, for a put calendar spread. Same as BaseOptionFilterUniverse{TUniverse, TData}.PutCalendarSpread

Parameters:

Name	Type	Description	Default
strike_from_atm	float	The desired strike price distance from the current underlying price	0
min_near_days_till_expiry	int	The minimum days till expiry of the closer contract from the current time, closest expiry will be selected	30
min_far_days_till_expiry	int	The minimum days till expiry of the further contract from the current time, closest expiry will be selected	60

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

put_ladder

put_ladder(
    min_days_till_expiry: int,
    higher_strike_from_atm: float,
    middle_strike_from_atm: float,
    lower_strike_from_atm: float,
) -> OptionChain

Selects 3 puts with the same expiry and different strikes closest to the criteria given, for a bull or bear put ladder. Same as BaseOptionFilterUniverse{TUniverse, TData}.PutLadder

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	required
higher_strike_from_atm	float	The desired strike price distance from the current underlying price of the higher strike price	required
middle_strike_from_atm	float	The desired strike price distance from the current underlying price of the middle strike price	required
lower_strike_from_atm	float	The desired strike price distance from the current underlying price of the lower strike price	required

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

puts_only

puts_only() -> OptionChain

Selects the put contracts. Same as BaseOptionFilterUniverse{TUniverse, TData}.PutsOnly

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

put_spread

put_spread(
    min_days_till_expiry: int = 30,
    higher_strike_from_atm: float = 5,
    lower_strike_from_atm: Optional[float] = None,
) -> OptionChain

Selects the 2 put contracts with the same expiry and different strikes closest to the criteria given, for a bull or bear put spread. Same as BaseOptionFilterUniverse{TUniverse, TData}.PutSpread

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
higher_strike_from_atm	float	The desired strike price distance from the current underlying price of the higher strike price	5
lower_strike_from_atm	Optional[float]	The desired strike price distance from the current underlying price of the lower strike price	None

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

r

r(min: float, max: float) -> OptionChain

Selects the contracts with rho in the given range. Alias for rho

Parameters:

Name	Type	Description	Default
min	float	The minimum rho value	required
max	float	The maximum rho value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

rho

rho(min: float, max: float) -> OptionChain

Selects the contracts with rho in the given range. Same as BaseOptionFilterUniverse{TUniverse, TData}.Rho

Parameters:

Name	Type	Description	Default
min	float	The minimum rho value	required
max	float	The maximum rho value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

straddle

straddle(min_days_till_expiry: int = 30) -> OptionChain

Selects the ATM call and the ATM put with the same expiry closest to the criteria given, for a straddle. Same as BaseOptionFilterUniverse{TUniverse, TData}.Straddle

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

strangle

strangle(
    min_days_till_expiry: int = 30,
    call_strike_from_atm: float = 5,
    put_strike_from_atm: float = -5,
) -> OptionChain

Selects an OTM call and an OTM put with the same expiry closest to the criteria given, for a strangle. Same as BaseOptionFilterUniverse{TUniverse, TData}.Strangle

Parameters:

Name	Type	Description	Default
min_days_till_expiry	int	The minimum days till expiry from the current time, closest expiry will be selected	30
call_strike_from_atm	float	The desired strike price distance from the current underlying price of the OTM call, must be positive	5
put_strike_from_atm	float	The desired strike price distance from the current underlying price of the OTM put, must be negative	-5

Returns:

Type	Description
OptionChain	A new chain with the selected contracts, empty if there is no match.

strikes_above

strikes_above(price: float) -> OptionChain

Selects the contracts with strikes above the given price, excluding it. Same as BaseOptionFilterUniverse{TUniverse, TData}.StrikesAbove

Parameters:

Name	Type	Description	Default
price	float	The price the strikes must be above	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

strikes_below

strikes_below(price: float) -> OptionChain

Selects the contracts with strikes below the given price, excluding it. Same as BaseOptionFilterUniverse{TUniverse, TData}.StrikesBelow

Parameters:

Name	Type	Description	Default
price	float	The price the strikes must be below	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

t

t(min: float, max: float) -> OptionChain

Selects the contracts with theta in the given range. Alias for theta

Parameters:

Name	Type	Description	Default
min	float	The minimum theta value	required
max	float	The maximum theta value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

theta

theta(min: float, max: float) -> OptionChain

Selects the contracts with theta in the given range. Same as BaseOptionFilterUniverse{TUniverse, TData}.Theta

Parameters:

Name	Type	Description	Default
min	float	The minimum theta value	required
max	float	The maximum theta value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

v

v(min: float, max: float) -> OptionChain

Selects the contracts with vega in the given range. Alias for vega

Parameters:

Name	Type	Description	Default
min	float	The minimum vega value	required
max	float	The maximum vega value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

vega

vega(min: float, max: float) -> OptionChain

Selects the contracts with vega in the given range. Same as BaseOptionFilterUniverse{TUniverse, TData}.Vega

Parameters:

Name	Type	Description	Default
min	float	The minimum vega value	required
max	float	The maximum vega value	required

Returns:

Type	Description
OptionChain	A new chain with the filter applied.

expiration

expiration(
    min_expiry: timedelta, max_expiry: timedelta
) -> QuantConnect_Data_Market_BaseChain_TSelf

expiration(
    min_expiry_days: int, max_expiry_days: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

expiration(
    expiries: List[datetime],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Signature descriptions:

• Selects the contracts expiring in the given range relative to the chain date. Same as ContractSecurityFilterUniverse{T, TData}.Expiration(TimeSpan, TimeSpan)

• Selects the contracts expiring in the given range of days relative to the chain date. Same as ContractSecurityFilterUniverse{T, TData}.Expiration(int, int)

• Selects the contracts expiring on any of the given dates. Time of day is ignored. Same as ContractSecurityFilterUniverse{T, TData}.Expiration(IEnumerable{DateTime})

Parameters:

Name	Type	Description	Default
min_expiry	Optional[timedelta]	The minimum time until expiry to include, for example, TimeSpan.FromDays(10)	None
max_expiry	Optional[timedelta]	The maximum time until expiry to include, for example, TimeSpan.FromDays(10)	None
min_expiry_days	Optional[int]	The minimum time, expressed in days, until expiry to include, for example, 10	None
max_expiry_days	Optional[int]	The maximum time, expressed in days, until expiry to include, for example, 10	None
expiries	Optional[List[datetime]]	The expiration dates	None

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

back_month

back_month() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts of the second nearest expiration. Same as ContractSecurityFilterUniverse{T, TData}.BackMonth

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

back_months

back_months() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts of all expirations but the nearest one. Same as ContractSecurityFilterUniverse{T, TData}.BackMonths

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

expiring_after

expiring_after(
    date: Union[datetime, date],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts expiring after the given date, excluding it. Time of day is ignored. Same as ContractSecurityFilterUniverse{T, TData}.ExpiringAfter

Parameters:

Name	Type	Description	Default
date	Union[datetime, date]	The date the expirations must be after	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

expiring_before

expiring_before(
    date: Union[datetime, date],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts expiring before the given date, excluding it. Time of day is ignored. Same as ContractSecurityFilterUniverse{T, TData}.ExpiringBefore

Parameters:

Name	Type	Description	Default
date	Union[datetime, date]	The date the expirations must be before	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

farthest_expiration

farthest_expiration() -> (
    QuantConnect_Data_Market_BaseChain_TSelf
)

Selects the contracts of the farthest expiration. Same as ContractSecurityFilterUniverse{T, TData}.FarthestExpiration

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

front_month

front_month() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts of the nearest expiration. Same as ContractSecurityFilterUniverse{T, TData}.FrontMonth

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

oi

oi(
    min: int, max: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts with open interest in the given range. Alias for open_interest

Parameters:

Name	Type	Description	Default
min	int	The minimum open interest value	required
max	int	The maximum open interest value	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

open_interest

open_interest(
    min: int, max: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts with open interest in the given range. Same as ContractSecurityFilterUniverse{T, TData}.OpenInterest

Parameters:

Name	Type	Description	Default
min	int	The minimum open interest value	required
max	int	The maximum open interest value	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

standards_only

standards_only() -> (
    QuantConnect_Data_Market_BaseChain_TSelf
)

Selects the standard contracts in the chain. Unlike ContractSecurityFilterUniverse{T, TData}.StandardsOnly, it applies to the contracts already selected, so it can be combined with the expiry filters in any order

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

volume

volume(
    min: int, max: int
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts with volume in the given range. Same as ContractSecurityFilterUniverse{T, TData}.Volume

Parameters:

Name	Type	Description	Default
min	int	The minimum volume	required
max	int	The maximum volume	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

weeklys_only

weeklys_only() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the non standard contracts in the chain. Unlike ContractSecurityFilterUniverse{T, TData}.WeeklysOnly, it applies to the contracts already selected, so it can be combined with the expiry filters in any order

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

zero_dte

zero_dte() -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts expiring today. Same as ContractSecurityFilterUniverse{T, TData}.ZeroDte

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

get_aux

get_aux(
    symbol: Union[Symbol, str, BaseContract, Security],
) -> QuantConnect_Data_Market_BaseChain_GetAux_TAux

get_aux() -> (
    DataDictionary[
        QuantConnect_Data_Market_BaseChain_GetAux_TAux
    ]
)

Signature descriptions:

• Gets the auxiliary data with the specified type and symbol

• Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Parameters:

Name	Type	Description	Default
symbol	Optional[Union[Symbol, str, BaseContract, Security]]	The symbol of the auxiliary data	None

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_GetAux_TAux | DataDictionary[QuantConnect_Data_Market_BaseChain_GetAux_TAux]	Depends on the signature used. Case 1: [The last auxiliary data with the specified type and symbol.]; Case 2: [A dictionary containing all auxiliary data of the specified type.]

get_aux_list

get_aux_list(
    symbol: Union[Symbol, str, BaseContract, Security],
) -> List[
    QuantConnect_Data_Market_BaseChain_GetAuxList_TAux
]

get_aux_list() -> Dictionary[Symbol, List[BaseData]]

Signature descriptions:

• Gets a list of auxiliary data with the specified type and symbol

• Gets all auxiliary data of the specified type as a dictionary keyed by symbol

Parameters:

Name	Type	Description	Default
symbol	Optional[Union[Symbol, str, BaseContract, Security]]	The symbol of the auxiliary data	None

Returns:

Type	Description
List[QuantConnect_Data_Market_BaseChain_GetAuxList_TAux] | Dictionary[Symbol, List[BaseData]]	Depends on the signature used. Case 1: [The list of auxiliary data with the specified type and symbol.]; Case 2: [A dictionary containing all auxiliary data of the specified type.]

__contains__

__contains__(
    key: Union[Symbol, str, BaseContract, Security],
) -> bool

Checks if the chain contains a contract with the specified symbol

Parameters:

Name	Type	Description	Default
key	Union[Symbol, str, BaseContract, Security]	The symbol of the contract to check for	required

Returns:

Type	Description
bool	True if the chain contains a contract with the specified symbol; otherwise, false.

__iter__

__iter__() -> (
    Iterator[QuantConnect_Data_Market_BaseChain_T]
)

__len__

__len__() -> int

contains_key

contains_key(
    key: Union[Symbol, str, BaseContract, Security],
) -> bool

Checks if the chain contains a contract with the specified symbol

Parameters:

Name	Type	Description	Default
key	Union[Symbol, str, BaseContract, Security]	The symbol of the contract to check for	required

Returns:

Type	Description
bool	True if the chain contains a contract with the specified symbol; otherwise, false.

filter

filter(
    filter: Callable[
        [QuantConnect_Data_Market_BaseChain_TUniverse],
        QuantConnect_Data_Market_BaseChain_TUniverse,
    ],
) -> QuantConnect_Data_Market_BaseChain_TSelf

Applies the given universe filter to the contracts of this chain and returns the result as a new chain

This Class is protected.

Parameters:

Name	Type	Description	Default
filter	Callable[[QuantConnect_Data_Market_BaseChain_TUniverse], QuantConnect_Data_Market_BaseChain_TUniverse]	The universe filter to apply	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.

get_enumerator

get_enumerator() -> (
    IEnumerator[QuantConnect_Data_Market_BaseChain_T]
)

Returns an enumerator that iterates through the collection.

Returns:

Type	Description
IEnumerator[QuantConnect_Data_Market_BaseChain_T]	An enumerator that can be used to iterate through the collection.

where

where(
    predicate: Any,
) -> QuantConnect_Data_Market_BaseChain_TSelf

Selects the contracts matching the given predicate, e.g. chain.where(lambda contract: contract.open_interest > 100). From C# use Linq's Where, which keeps this chain's type untouched

Parameters:

Name	Type	Description	Default
predicate	Any	Function determining which contracts are kept	required

Returns:

Type	Description
QuantConnect_Data_Market_BaseChain_TSelf	A new chain with the filter applied.