OptionStrategy

QuantConnect.Securities.Option.OptionStrategy

OptionStrategy(
    name: str,
    canonical_symbol: Union[
        Symbol, str, BaseContract, Security
    ],
    option_legs: List[OptionLegData] = None,
    underlying_legs: List[UnderlyingLegData] = None,
)

OptionStrategy()

Bases: Object

Option strategy specification class. Describes option strategy and its parameters for trading.

Signature descriptions:

Creates a new instance of OptionStrategy with the specified parameters
Creates a new instance of OptionStrategy with default parameters

Parameters:

Name	Type	Description	Default
`name`	`Optional[str]`	The strategy name	`None`
`canonical_symbol`	`Optional[Union[Symbol, str, BaseContract, Security]]`	The canonical option symbol	`None`
`option_legs`	`Optional[List[OptionLegData]]`	The option legs data	`None`
`underlying_legs`	`Optional[List[UnderlyingLegData]]`	The underlying legs data	`None`

name

name: str

Option strategy name

canonical_option

canonical_option: Symbol

The canonical Option symbol of the strategy

underlying

underlying: Symbol

Underlying symbol of the strategy

option_legs

option_legs: List[OptionLegData]

Option strategy legs

underlying_legs

underlying_legs: List[UnderlyingLegData]

Option strategy underlying legs (usually 0 or 1 legs)

UnderlyingLegData

Bases: Leg

This class is a POCO containing basic data for the underlying leg of the strategy

symbol

symbol: Symbol

The legs symbol

quantity

quantity: int

Quantity multiplier used to specify proper scale (and direction) of the leg within the strategy

order_price

order_price: Optional[float]

Order limit price of the leg in case limit order is sent to the market on strategy execution

create

create(
    quantity: int,
    symbol: Union[Symbol, str, BaseContract, Security],
    order_price: Optional[float] = None,
) -> UnderlyingLegData

create(
    quantity: int, order_price: Optional[float] = None
) -> UnderlyingLegData

Creates a new instance of UnderlyingLegData for the specified quantity of underlying shares.

to_string

to_string() -> str

Returns a string that represents the underlying leg.

OptionLegData

Bases: Leg

This class is a POCO containing basic data for the option legs of the strategy

right

right: OptionRight

Option right (type) of the option leg

expiration

expiration: datetime

Expiration date of the leg

strike

strike: float

Strike price of the leg

symbol

symbol: Symbol

The legs symbol

quantity

quantity: int

Quantity multiplier used to specify proper scale (and direction) of the leg within the strategy

order_price

order_price: Optional[float]

Order limit price of the leg in case limit order is sent to the market on strategy execution

create

create(
    quantity: int,
    symbol: Union[Symbol, str, BaseContract, Security],
    order_price: Optional[float] = None,
) -> OptionLegData

Creates a new instance of OptionLegData from the specified parameters

to_string

to_string() -> str

Returns a string that represents the option leg

create

create(name: str, legs: List[Leg]) -> OptionStrategy

Creates a new instance of OptionStrategy with the specified name and legs data. The method will try to infer the canonical symbol and underlying symbol from the legs data, but they can also be set manually after the strategy creation.

set_symbols

set_symbols() -> None

Sets the option legs symbols based on the canonical symbol and the leg data. If the canonical symbol is not set, it will be created using the underlying symbol.