CachingOptionChainProvider

QuantConnect.Lean.Engine.DataFeeds.CachingOptionChainProvider

CachingOptionChainProvider(
    option_chain_provider: IOptionChainProvider,
)

An implementation of IOptionChainProvider that will cache by date option contracts returned by another option chain provider.

Initializes a new instance of the CachingOptionChainProvider class

Parameters:

Name	Type	Description	Default
`option_chain_provider`	`IOptionChainProvider`		required

get_option_contract_list(
    symbol: Union[Symbol, str, BaseContract],
    date: Union[datetime, date],
) -> Iterable[Symbol]

Gets the list of option contracts for a given underlying symbol

Parameters:

Name	Type	Description	Default
`symbol`	`Union[Symbol, str, BaseContract]`	The option or the underlying symbol to get the option chain for. Providing the option allows targetting an option ticker different than the default e.g. SPXW	required
`date`	`Union[datetime, date]`	The date for which to request the option chain (only used in backtesting)	required

Returns:

Type	Description
`Iterable[Symbol]`	The list of option contracts.