Merge pull request #1887 from QuantConnect/refactor-equity-option-gre…

…eks-indicator

Refactor example snippets of Equity Option Greeks Indicators

Resources/option-indicators/automatic-indicator.php

@@ -1,31 +1,112 @@
 <p>To create an <a href='/docs/v2/writing-algorithms/indicators/automatic-indicators'>automatic indicator</a> for <?=$name?>, call the <code class="csharp">QCAlgorithm.<?=$helperMethod?></code><code class="python">QCAlgorithm.<?=strtolower($helperMethod)?></code> method with the Option contract <code class="csharp">Symbol</code><code class="python">symbol</code> object(s).</p>
 
 <div class="section-example-container">
-    <pre class="csharp">private <?=$typeName?> _<?=strtolower($typeName)?>;
+    <pre class="csharp">private Symbol _spy;
+private List&lt;Symbol&gt; _<?=strtolower($typeName)?>s = new();
 
 public override void Initialize()
 {
-    var option = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505m, new DateTime(2014, 6, 27));
-    AddOptionContract(option);
+    // Subscribe to the underlying
+    _spy = AddEquity("SPY", dataNormalizationMode=DataNormalizationMode.Raw).Symbol;
+
+    // Set up a scheduled event to select contract and create Greeks indicator daily before market open
+    Schedule.On(
+        DateRules.EveryDay(_spy),
+        TimeRules.At(9, 0),
+        UpdateContractsAndGreeks
+    );
+}
 
-    // Example of using the single-contract IV calculation:
-    _<?=strtolower($typeName)?> = <?=$helperMethod?>(option);
+private void UpdateContractsAndGreeks()
+{
+    // Get all tradable option contracts
+    var contractList = OptionChainProvider.GetOptionContractList(_spy, Time).ToList();
+    // You can do further filtering here
+
+    // Iterate all expiries
+    foreach (var expiry in contractList.Select(x =&gt; x.ID.Date).Distinct())
+    {
+        var contractsByExpiry = contractList.Where(x =&gt; x.ID.Date == expiry).ToList();
+
+        // Iterate all strike prices among the contracts of the same expiry
+        foreach (var strike in contractsByExpiry.Select(x =&gt; x.ID.StrikePrice).Distinct())
+        {
+            var contractsByStrike = contractsByExpiry.Where(x =&gt; x.ID.StrikePrice == strike).ToList();
+
+            // Get the call and put respectively
+            var call = contractsByStrike.SingleOrDefault(x =&gt; x.ID.OptionRight == OptionRight.Call);
+            var put = contractsByStrike.SingleOrDefault(x =&gt; x.ID.OptionRight == OptionRight.Put);
+            // Skip if either call or put not exist
+            if (call == null || put == null) continue;
+
+            // Create subscriptions to both contract
+            call = AddOptionContract(call).Symbol;
+            put = AddOptionContract(put).Symbol;
+
+            // Create the automatic-updating <?=$typeName?> indicator
+            var call<?=$typeName?> = <?=$helperMethod?>(call, put);
+            var put<?=$typeName?> = <?=$helperMethod?>(put, call);
+            // Add to list of indicator
+            _<?=strtolower($typeName)?>s.Add(call<?=$typeName?>);
+            _<?=strtolower($typeName)?>s.Add(put<?=$typeName?>);
+        }
+    }
+}
 
-    // Example of using the using mirror-contract IV calculation:
-    var mirrorOption = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 505m, new DateTime(2014, 6, 27));
-    AddOptionContract(mirrorOption);
-    _<?=strtolower($typeName)?> = <?=$helperMethod?>(option, mirrorOption);
+public override void OnData(Slice slice)
+{
+    // Access the <?=$typeName?> indicator of each contract
+    foreach (var <?=strtolower($typeName)?> in _<?=strtolower($typeName)?>s)
+    {
+        Log($"{<?=strtolower($typeName)?>.OptionSymbol}::{<?=strtolower($typeName)?>.Current.EndTime}::{<?=strtolower($typeName)?>.Current.Value}");
+    }
 }</pre>
-    <pre class="python">def initialize(self):
-    option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.PUT, 505, datetime(2014, 6, 27))
-    self.add_option_contract(option)
-
-    # Example of using the single-contract IV calculation:
-    self._<?=strtolower($typeName)?> = self.<?=strtolower($helperMethod)?>(option)
-
-    # Example of using the using mirror-contract IV calculation:
-    mirror_option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.CALL, 505, datetime(2014, 6, 27))
-    self.add_option_contract(mirror_option)
-    self._<?=strtolower($typeName)?> = self.<?=strtolower($helperMethod)?>(option, mirror_option)
-</pre>
+    <pre class="python">def initialize(self) -&gt; None:
+    # List to hold Greeks indicators
+    self.<?=strtolower($typeName)?>s = []
+
+    # Subscribe to the underlying
+    self.spy = self.add_equity("SPY", data_normalization_mode=DataNormalizationMode.RAW).symbol
+
+    # Set up a scheduled event to select contract and create Greeks indicator daily before market open
+    self.schedule.on(
+        self.date_rules.every_day(self.spy),
+        self.time_rules.at(9, 0),
+        self.update_contracts_and_greeks
+    )
+
+def update_contracts_and_greeks(self) -&gt; None:
+    # Get all tradable option contracts
+    contract_list = self.option_chain_provider.get_option_contract_list(self.spy, self.time)
+    # You can do further filtering here
+
+    # Iterate all expiries
+    for expiry in set(x.id.date for x in contract_list):
+        contract_by_expiry = [x for x in contract_list if x.id.date == expiry]
+
+        # Iterate all strike prices among the contracts of the same expiry
+        for strike in set(x.id.strike_price for x in contract_by_expiry):
+            contract_by_strike = [x for x in contract_by_expiry if x.id.strike_price == strike]
+
+            # Get the call and put respectively
+            call = next(filter(lambda x: x.id.option_right == OptionRight.CALL, contract_by_strike))
+            put = next(filter(lambda x: x.id.option_right == OptionRight.PUT, contract_by_strike))
+            # Skip if either call or put not exist
+            if not call or not put:
+                continue
+
+            # Create subscriptions to both contract
+            call = self.add_option_contract(call).symbol
+            put = self.add_option_contract(put).symbol
+
+            # Create the automatic-updating <?=$typeName?> indicator
+            call_<?=strtolower($typeName)?> = self.<?=strtolower($helperMethod)?>(call, put)
+            put_<?=strtolower($typeName)?> = self.<?=strtolower($helperMethod)?>(put, call)
+            # Add to list of indicator
+            self.<?=strtolower($typeName)?>s.extend([call_<?=strtolower($typeName)?>, put_<?=strtolower($typeName)?>])
+
+def on_data(self, slice: Slice) -&gt; None:
+    # Access the <?=$typeName?> indicator of each contract
+    for <?=strtolower($typeName)?> in self.<?=strtolower($typeName)?>s:
+        self.log(f"{<?=strtolower($typeName)?>.option_symbol}::{<?=strtolower($typeName)?>.current.end_time}::{<?=strtolower($typeName)?>.current.value}")</pre>
 </div>

Resources/option-indicators/manual-indicator.php

@@ -1,41 +1,149 @@
 <p>To create a <a href='https://www.quantconnect.com/docs/v2/writing-algorithms/indicators/manual-indicators'>manual indicator</a> for <?=$name?>, call the <code><?=$typeName?></code> constructor.</p>
 
 <div class="section-example-container">
-    <pre class="csharp">private <?=$typeName?> _<?=strtolower($typeName)?>;
+    <pre class="csharp">private Symbol _spy;
+private DividendYieldProvider _dividendYieldProvider;
+private List&lt;Symbol&gt; _<?=strtolower($typeName)?>s = new();
+// Define the option pricing model
+private readonly OptionPricingModelType _optionPricingModel = OptionPricingModelType.ForwardTree;
 
 public override void Initialize()
 {
-    var equity = AddEquity("AAPL").Symbol;
-    var option = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Put, 505m, new DateTime(2014, 6, 27));
-    AddOptionContract(option);
+    // Subscribe to the underlying
+    _spy = AddEquity("SPY", dataNormalizationMode=DataNormalizationMode.Raw).Symbol;
+    // Set up dividend yield provider for the underlying
+    _dividendYieldProvider = new(_spy);
+
+    // Set up a scheduled event to select contract and create Greeks indicator daily before market open
+    Schedule.On(
+        DateRules.EveryDay(_spy),
+        TimeRules.At(9, 0),
+        UpdateContractsAndGreeks
+    );
+}
 
-    var interestRateProvider = new InterestRateProvider();
-    var dividendYieldProvider = new DividendYieldProvider(equity);
+private void UpdateContractsAndGreeks()
+{
+    // Get all tradable option contracts
+    var contractList = OptionChainProvider.GetOptionContractList(_spy, Time).ToList();
+    // You can do further filtering here
+
+    // Iterate all expiries
+    foreach (var expiry in contractList.Select(x =&gt; x.ID.Date).Distinct())
+    {
+        var contractsByExpiry = contractList.Where(x =&gt; x.ID.Date == expiry).ToList();
+
+        // Iterate all strike prices among the contracts of the same expiry
+        foreach (var strike in contractsByExpiry.Select(x =&gt; x.ID.StrikePrice).Distinct())
+        {
+            var contractsByStrike = contractsByExpiry.Where(x =&gt; x.ID.StrikePrice == strike).ToList();
+
+            // Get the call and put respectively
+            var call = contractsByStrike.SingleOrDefault(x =&gt; x.ID.OptionRight == OptionRight.Call);
+            var put = contractsByStrike.SingleOrDefault(x =&gt; x.ID.OptionRight == OptionRight.Put);
+            // Skip if either call or put not exist
+            if (call == null || put == null) continue;
 
-    // Example of using the single-contract IV calculation:
-    _<?=strtolower($typeName)?> = new <?=$typeName?>(option, interestRateProvider, dividendYieldProvider);
+            // Create subscriptions to both contract
+            call = AddOptionContract(call).Symbol;
+            put = AddOptionContract(put).Symbol;
+
+            // Create the manual-updating <?=$typeName?> indicator
+            var call<?=$typeName?> = new <?=$typeName?>(call, RiskFreeInterestRateModel, _dividendYieldProvider, put, _optionPricingModel);
+            var put<?=$typeName?> = new <?=$typeName?>(put, RiskFreeInterestRateModel, _dividendYieldProvider, call, _optionPricingModel);
+            // Add to list of indicator
+            _<?=strtolower($typeName)?>s.Add(call<?=$typeName?>);
+            _<?=strtolower($typeName)?>s.Add(put<?=$typeName?>);
+        }
+    }
+}
+
+public override void OnData(Slice slice)
+{
+    // Iterate indicators
+    foreach (var <?=strtolower($typeName)?>Indicator in _<?=strtolower($typeName)?>s)
+    {
+        var option = <?=strtolower($typeName)?>Indicator.OptionSymbol;
+        var mirrorRight = option.ID.OptionRight == OptionRight.Call ? OptionRight.Put : OptionRight.Call;
+        var mirror = QuantConnect.Symbol.CreateOption(option.Underlying.Value, Market.USA, OptionStyle.American, mirrorRight, option.ID.StrikePrice, option.ID.Date);
 
-    // Example of using the using mirror-contract IV calculation:
-    var mirrorOption = QuantConnect.Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 505m, new DateTime(2014, 6, 27));
-    AddOptionContract(mirrorOption);
-    _<?=strtolower($typeName)?> = new <?=$typeName?>(option, interestRateProvider, dividendYieldProvider, mirrorOption);
+        // Check if price data available for both contracts and the underlying
+        if (slice.QuoteBars.ContainsKey(option) && slice.QuoteBars.ContainsKey(mirror) && slice.Bars.ContainsKey(_spy))
+        {
+            // Update the indicator
+            <?=strtolower($typeName)?>Indicator.Update(new IndicatorDataPoint(option, slice.QuoteBars[option].EndTime, slice.QuoteBars[option].Close));
+            <?=strtolower($typeName)?>Indicator.Update(new IndicatorDataPoint(mirror, slice.QuoteBars[mirror].EndTime, slice.QuoteBars[mirror].Close));
+            <?=strtolower($typeName)?>Indicator.Update(new IndicatorDataPoint(_spy, slice.Bars[_spy].EndTime, slice.Bars[_spy].Close));
+
+            // Get the current value
+            var <?=strtolower($typeName)?> = <?=strtolower($typeName)?>Indicator.Current.Value;
+        }
+    }
 }</pre>
-    <pre class="python">def initialize(self):
-    equity = self.add_equity("AAPL").symbol
-    option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.PUT, 505, datetime(2014, 6, 27))
-    self.add_option_contract(option)
-
-    interest_rate_provider = InterestRateProvider()
-    dividend_yield_provider = DividendYieldProvider(equity)
-
-    # Example of using the single-contract IV calculation:
-    self._<?=strtolower($typeName)?> = <?=$typeName?>(option, interest_rate_provider, dividend_yield_provider)
-
-    # Example of using the using mirror-contract IV calculation:
-    mirror_option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.CALL, 505, datetime(2014, 6, 27))
-    self.add_option_contract(mirror_option)
-    self._<?=strtolower($typeName)?> = <?=$typeName?>(option, interest_rate_provider, dividend_yield_provider, mirror_option)
-</pre>
+    <pre class="python">def initialize(self) -&gt; None:
+    # List to hold Greeks indicators
+    self.<?=strtolower($typeName)?>s = []
+
+    # Subscribe to the underlying
+    self.spy = self.add_equity("SPY", data_normalization_mode=DataNormalizationMode.RAW).symbol
+    # Set up dividend yield provider for the underlying
+    self.dividend_yield_provider = DividendYieldProvider(self.spy)
+    # Define the option pricing model
+    self.option_pricing_model = OptionPricingModelType.FORWARD_TREE
+
+    # Set up a scheduled event to select contract and create Greeks indicator daily before market open
+    self.schedule.on(
+        self.date_rules.every_day(self.spy),
+        self.time_rules.at(9, 0),
+        self.update_contracts_and_greeks
+    )
+
+def update_contracts_and_greeks(self) -&gt; None:
+    # Get all tradable option contracts
+    contract_list = self.option_chain_provider.get_option_contract_list(self.spy, self.time)
+    # You can do further filtering here
+
+    # Iterate all expiries
+    for expiry in set(x.id.date for x in contract_list):
+        contract_by_expiry = [x for x in contract_list if x.id.date == expiry]
+
+        # Iterate all strike prices among the contracts of the same expiry
+        for strike in set(x.id.strike_price for x in contract_by_expiry):
+            contract_by_strike = [x for x in contract_by_expiry if x.id.strike_price == strike]
+
+            # Get the call and put respectively
+            call = next(filter(lambda x: x.id.option_right == OptionRight.CALL, contract_by_strike))
+            put = next(filter(lambda x: x.id.option_right == OptionRight.PUT, contract_by_strike))
+            # Skip if either call or put not exist
+            if not call or not put:
+                continue
+
+            # Create subscriptions to both contract
+            call = self.add_option_contract(call).symbol
+            put = self.add_option_contract(put).symbol
+
+            # Create the manual-updating <?=$typeName?> indicator
+            call_<?=strtolower($typeName)?> = <?=$typeName?>(call, self.risk_free_interest_rate_model, self.dividend_yield_provider, put, self.option_pricing_model)
+            put_<?=strtolower($typeName)?> = <?=$typeName?>(put, self.risk_free_interest_rate_model, self.dividend_yield_provider, call, self.option_pricing_model)
+            # Add to list of indicator
+            self.<?=strtolower($typeName)?>s.extend([call_<?=strtolower($typeName)?>, put_<?=strtolower($typeName)?>])
+
+def on_data(self, slice: Slice) -&gt; None:
+    # Iterate indicators
+    for <?=strtolower($typeName)?>_indicator in self.<?=strtolower($typeName)?>s:
+        option = <?=strtolower($typeName)?>_indicator.option_symbol
+        mirror_right = OptionRight.Call if option.id.option_right == OptionRight.PUT else OptionRight.PUT
+        mirror = Symbol.create_option(option.underlying.value, Market.USA, OptionStyle.AMERICAN, mirror_right, option.id.strike_price, option.id.date)
+
+        # Check if price data available for both contracts and the underlying
+        if option in slice.quote_bars and mirror in slice.quote_bars and self.spy in slice.bars:
+            # Update the indicator
+            <?=strtolower($typeName)?>_indicator.update(IndicatorDataPoint(option, slice.quote_bars[option].end_time, slice.quote_bars[option].close))</pre>
+            <?=strtolower($typeName)?>_indicator.update(IndicatorDataPoint(mirror, slice.quote_bars[mirror].end_time, slice.quote_bars[mirror].close))
+            <?=strtolower($typeName)?>_indicator.update(IndicatorDataPoint(self.spy, slice.bars[self.spy].end_time, slice.bars[self.spy].close))
+
+            # Get the current value
+            <?=strtolower($typeName)?> = <?=strtolower($typeName)?>_indicator.current.value;
 </div>
 
 <p>For more information about the <code><?=$typeName?></code> constructor, see <a href="/docs/v2/writing-algorithms/indicators/supported-indicators/<?=$indicatorPage?>">Using <?=$helperMethod?> Indicator</a>.</p>