IOptionContractFilters
Bases: Generic[QuantConnect_Securities_IOptionContractFilters_TSelf], IContractFilters[QuantConnect_Securities_IOptionContractFilters_TSelf]
The option contract filters shared by the option universe selection (OptionFilterUniverse) and the option chain (Data.Market.OptionChain), so both offer the same filters with the same semantics, on top of the ones every contract has, see IContractFilters{TSelf}. OptionChainTests.ChainExposesEveryUniverseFilter checks that every universe filter is declared here
strikes(
min_strike: int, max_strike: int
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
strikes(
strikes: List[float],
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Signature descriptions:
-
Selects the contracts with strikes in the given range relative to the underlying price, in number of strikes
-
Selects the contracts with any of the given strike prices
atm(
max_strike_distance: Optional[float] = None,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts at the money. Alias for at_the_money
at_the_money(
max_strike_distance: Optional[float] = None,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with strikes within the given distance of the underlying price, in units of it, zero only a strike equal to the price; null, the default, the strikes on either side of the price, each within the percentage of it given by OptionFilterUniverse.default_at_the_money_strike_distance
box_spread(
min_days_till_expiry: int = 30, strike_spread: float = 5
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects an OTM call, an ITM call, an OTM put and an ITM put with the same expiry closest to the criteria given
call_butterfly(
min_days_till_expiry: int = 30, strike_spread: float = 5
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects an ITM, an ATM and an OTM call with the same expiry and equal strike distance closest to the criteria given
call_calendar_spread(
strike_from_atm: float = 0,
min_near_days_till_expiry: int = 30,
min_far_days_till_expiry: int = 60,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the 2 call contracts with the same strike and different expiries closest to the criteria given
call_ladder(
min_days_till_expiry: int,
higher_strike_from_atm: float,
middle_strike_from_atm: float,
lower_strike_from_atm: float,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects 3 calls with the same expiry and different strikes closest to the criteria given
calls_only() -> (
QuantConnect_Securities_IOptionContractFilters_TSelf
)
Selects the call contracts
call_spread(
min_days_till_expiry: int = 30,
higher_strike_from_atm: float = 5,
lower_strike_from_atm: Optional[float] = None,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the 2 call contracts with the same expiry and different strikes closest to the criteria given
conversion(
min_days_till_expiry: int = 30,
strike_from_atm: float = 5,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects a call and a put with the same expiry and strike closest to the criteria given
d(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with delta in the given range. Alias for delta
delta(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with delta in the given range
g(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with gamma in the given range. Alias for gamma
gamma(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with gamma in the given range
implied_volatility(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with implied volatility in the given range
in_the_money() -> (
QuantConnect_Securities_IOptionContractFilters_TSelf
)
Selects the in the money contracts: calls below and puts above the underlying price
iron_butterfly(
min_days_till_expiry: int = 30, strike_spread: float = 5
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
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
iron_condor(
min_days_till_expiry: int = 30,
near_strike_spread: float = 5,
far_strike_spread: float = 10,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
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
itm() -> (
QuantConnect_Securities_IOptionContractFilters_TSelf
)
Selects the in the money contracts. Alias for in_the_money
iv(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with implied volatility in the given range. Alias for implied_volatility
jelly_roll(
strike_from_atm: float = 0,
min_near_days_till_expiry: int = 30,
min_far_days_till_expiry: int = 60,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects 2 calls and 2 puts with the same strike and 2 expiries closest to the criteria given
naked_call(
min_days_till_expiry: int = 30,
strike_from_atm: float = 0,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the single call contract with the closest match to the criteria given
naked_put(
min_days_till_expiry: int = 30,
strike_from_atm: float = 0,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the single put contract with the closest match to the criteria given
otm() -> (
QuantConnect_Securities_IOptionContractFilters_TSelf
)
Selects the out of the money contracts. Alias for out_of_the_money
out_of_the_money() -> (
QuantConnect_Securities_IOptionContractFilters_TSelf
)
Selects the out of the money contracts: calls above and puts below the underlying price
protective_collar(
min_days_till_expiry: int = 30,
call_strike_from_atm: float = 5,
put_strike_from_atm: float = -5,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects a call and a put with the same expiry and a lower put strike closest to the criteria given
put_butterfly(
min_days_till_expiry: int = 30, strike_spread: float = 5
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects an ITM, an ATM and an OTM put with the same expiry and equal strike distance closest to the criteria given
put_calendar_spread(
strike_from_atm: float = 0,
min_near_days_till_expiry: int = 30,
min_far_days_till_expiry: int = 60,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the 2 put contracts with the same strike and different expiries closest to the criteria given
put_ladder(
min_days_till_expiry: int,
higher_strike_from_atm: float,
middle_strike_from_atm: float,
lower_strike_from_atm: float,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects 3 puts with the same expiry and different strikes closest to the criteria given
puts_only() -> (
QuantConnect_Securities_IOptionContractFilters_TSelf
)
Selects the put contracts
put_spread(
min_days_till_expiry: int = 30,
higher_strike_from_atm: float = 5,
lower_strike_from_atm: Optional[float] = None,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the 2 put contracts with the same expiry and different strikes closest to the criteria given
r(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with rho in the given range. Alias for rho
rho(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with rho in the given range
straddle(
min_days_till_expiry: int = 30,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the ATM call and the ATM put with the same expiry closest to the criteria given
strangle(
min_days_till_expiry: int = 30,
call_strike_from_atm: float = 5,
put_strike_from_atm: float = -5,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects an OTM call and an OTM put with the same expiry closest to the criteria given
strikes_above(
price: float,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with strikes above the given price, excluding it
strikes_below(
price: float,
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with strikes below the given price, excluding it
t(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with theta in the given range. Alias for theta
theta(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with theta in the given range
v(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with vega in the given range. Alias for vega
vega(
min: float, max: float
) -> QuantConnect_Securities_IOptionContractFilters_TSelf
Selects the contracts with vega in the given range
expiration(
min_expiry: timedelta, max_expiry: timedelta
) -> QuantConnect_Securities_IContractFilters_TSelf
expiration(
min_expiry_days: int, max_expiry_days: int
) -> QuantConnect_Securities_IContractFilters_TSelf
expiration(
expiries: List[datetime],
) -> QuantConnect_Securities_IContractFilters_TSelf
Signature descriptions:
-
Selects the contracts expiring in the given range relative to the current date
-
Selects the contracts expiring in the given range of days relative to the current date
-
Selects the contracts expiring on any of the given dates, ignoring the time of day
back_month() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the contracts of the second nearest expiration
back_months() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the contracts of all expirations but the nearest one
expiring_after(
date: Union[datetime, date],
) -> QuantConnect_Securities_IContractFilters_TSelf
Selects the contracts expiring after the given date, excluding it
expiring_before(
date: Union[datetime, date],
) -> QuantConnect_Securities_IContractFilters_TSelf
Selects the contracts expiring before the given date, excluding it
farthest_expiration() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the contracts of the farthest expiration
front_month() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the contracts of the nearest expiration
oi(
min: int, max: int
) -> QuantConnect_Securities_IContractFilters_TSelf
Selects the contracts with open interest in the given range. Alias for open_interest
open_interest(
min: int, max: int
) -> QuantConnect_Securities_IContractFilters_TSelf
Selects the contracts with open interest in the given range
standards_only() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the standard contracts, excluding weeklys
volume(
min: int, max: int
) -> QuantConnect_Securities_IContractFilters_TSelf
Selects the contracts with volume in the given range
weeklys_only() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the non standard weekly contracts
zero_dte() -> (
QuantConnect_Securities_IContractFilters_TSelf
)
Selects the contracts expiring today