/// <summary>
/// Performs universe selection using the data specified
/// </summary>
/// <param name="utcTime">The current utc time</param>
/// <param name="data">The symbols to remain in the universe</param>
/// <returns>The data that passes the filter</returns>
public override IEnumerable <Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
{
// date change detection needs to be done in exchange time zone
var exchangeDate = data.Time.ConvertFromUtc(Option.Exchange.TimeZone).Date;
if (_cacheDate == exchangeDate)
{
return(Unchanged);
}
var availableContracts = data.Data.Select(x => x.Symbol);
// we will only update unique strikes when there is an exchange date change
_optionFilterUniverse.Refresh(availableContracts, data.Underlying, _lastExchangeDate != exchangeDate);
_lastExchangeDate = exchangeDate;
var results = Option.ContractFilter.Filter(_optionFilterUniverse);
// if results are not dynamic, we cache them and won't call filtering till the end of the day
if (!results.IsDynamic)
{
_cacheDate = data.Time.ConvertFromUtc(Option.Exchange.TimeZone).Date;
}
// always prepend the underlying symbol
return(_underlyingSymbol.Concat(results));
}
/// <summary>
/// Gets <see cref="OptionHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical option data for</param>
/// <param name="start">The history request start time</param>
/// <param name="end">The history request end time. Defaults to 1 day if null</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="OptionHistory"/> object that contains historical option data.</returns>
public OptionHistory GetOptionHistory(Symbol symbol, DateTime start, DateTime?end = null, Resolution?resolution = null)
{
if (!end.HasValue || end.Value == start)
{
end = start.AddDays(1);
}
// Load a canonical option Symbol if the user provides us with an underlying Symbol
if (symbol.SecurityType != SecurityType.Option && symbol.SecurityType != SecurityType.FutureOption)
{
symbol = AddOption(symbol, resolution, symbol.ID.Market).Symbol;
}
IEnumerable <Symbol> symbols;
if (symbol.IsCanonical())
{
// canonical symbol, lets find the contracts
var option = Securities[symbol] as Option;
var resolutionToUseForUnderlying = resolution ?? SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(symbol)
.GetHighestResolution();
if (!Securities.ContainsKey(symbol.Underlying))
{
// only add underlying if not present
AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
}
var allSymbols = new List <Symbol>();
for (var date = start; date < end; date = date.AddDays(1))
{
if (option.Exchange.DateIsOpen(date))
{
allSymbols.AddRange(OptionChainProvider.GetOptionContractList(symbol.Underlying, date));
}
}
var optionFilterUniverse = new OptionFilterUniverse();
var distinctSymbols = allSymbols.Distinct();
symbols = base.History(symbol.Underlying, start, end.Value, resolution)
.SelectMany(x =>
{
// the option chain symbols wont change so we can set 'exchangeDateChange' to false always
optionFilterUniverse.Refresh(distinctSymbols, x, exchangeDateChange: false);
return(option.ContractFilter.Filter(optionFilterUniverse));
})
.Distinct().Concat(new[] { symbol.Underlying });
}
else
{
// the symbol is a contract
symbols = new List <Symbol> {
symbol
};
}
return(new OptionHistory(History(symbols, start, end.Value, resolution)));
}
/// <summary>
/// Performs universe selection using the data specified
/// </summary>
/// <param name="utcTime">The current utc time</param>
/// <param name="data">The symbols to remain in the universe</param>
/// <returns>The data that passes the filter</returns>
public override IEnumerable <Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
{
var optionsUniverseDataCollection = data as OptionChainUniverseDataCollection;
if (optionsUniverseDataCollection == null)
{
throw new ArgumentException($"Expected data of type '{typeof(OptionChainUniverseDataCollection).Name}'");
}
// date change detection needs to be done in exchange time zone
var exchangeDate = data.Time.ConvertFromUtc(Option.Exchange.TimeZone).Date;
if (_cacheDate == exchangeDate)
{
return(Unchanged);
}
var availableContracts = optionsUniverseDataCollection.Data.Select(x => x.Symbol);
// we will only update unique strikes when there is an exchange date change
_optionFilterUniverse.Refresh(availableContracts, optionsUniverseDataCollection.Underlying, _lastExchangeDate != exchangeDate);
_lastExchangeDate = exchangeDate;
var results = Option.ContractFilter.Filter(_optionFilterUniverse);
// if results are not dynamic, we cache them and won't call filtering till the end of the day
if (!results.IsDynamic)
{
_cacheDate = data.Time.ConvertFromUtc(Option.Exchange.TimeZone).Date;
}
// always prepend the underlying symbol
#if NETCORE
var resultingSymbols = LinqExtensions.ToHashSet(_underlyingSymbol.Concat(results));
#else
var resultingSymbols = _underlyingSymbol.Concat(results).ToHashSet();
#endif
// we save off the filtered results to the universe data collection for later
// population into the OptionChain. This is non-ideal and could be remedied by
// the universe subscription emitting a special type after selection that could
// be checked for in TimeSlice.Create, but for now this will do
optionsUniverseDataCollection.FilteredContracts = resultingSymbols;
return(resultingSymbols);
}
/// <summary>
/// Gets <see cref="OptionHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical option data for</param>
/// <param name="start">The history request start time</param>
/// <param name="end">The history request end time. Defaults to 1 day if null</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="OptionHistory"/> object that contains historical option data.</returns>
public OptionHistory GetOptionHistory(Symbol symbol, DateTime start, DateTime?end = null, Resolution?resolution = null)
{
if (!end.HasValue || end.Value == start)
{
end = start.AddDays(1);
}
// Load a canonical option Symbol if the user provides us with an underlying Symbol
if (!symbol.SecurityType.IsOption())
{
var option = AddOption(symbol, resolution, symbol.ID.Market);
// Allow 20 strikes from the money for futures. No expiry filter is applied
// so that any future contract provided will have data returned.
if (symbol.SecurityType == SecurityType.Future && symbol.IsCanonical())
{
throw new ArgumentException("The Future Symbol provided is a canonical Symbol (i.e. a Symbol representing all Futures), which is not supported at this time. " +
"If you are using the Symbol accessible from `AddFuture(...)`, use the Symbol from `AddFutureContract(...)` instead. " +
"You can use `qb.FutureOptionChainProvider(canonicalFuture, datetime)` to get a list of futures contracts for a given date, and add them to your algorithm with `AddFutureContract(symbol, Resolution)`.");
}
if (symbol.SecurityType == SecurityType.Future && !symbol.IsCanonical())
{
option.SetFilter(universe => universe.Strikes(-10, +10));
}
symbol = option.Symbol;
}
IEnumerable <Symbol> symbols;
if (symbol.IsCanonical())
{
// canonical symbol, lets find the contracts
var option = Securities[symbol] as Option;
var resolutionToUseForUnderlying = resolution ?? SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(symbol)
.GetHighestResolution();
if (!Securities.ContainsKey(symbol.Underlying))
{
if (symbol.Underlying.SecurityType == SecurityType.Equity)
{
// only add underlying if not present
AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
}
if (symbol.Underlying.SecurityType == SecurityType.Future && symbol.Underlying.IsCanonical())
{
AddFuture(symbol.Underlying.ID.Symbol, resolutionToUseForUnderlying);
}
else if (symbol.Underlying.SecurityType == SecurityType.Future)
{
AddFutureContract(symbol.Underlying, resolutionToUseForUnderlying);
}
}
var allSymbols = new List <Symbol>();
for (var date = start; date < end; date = date.AddDays(1))
{
if (option.Exchange.DateIsOpen(date))
{
allSymbols.AddRange(OptionChainProvider.GetOptionContractList(symbol.Underlying, date));
}
}
var optionFilterUniverse = new OptionFilterUniverse();
var distinctSymbols = allSymbols.Distinct();
symbols = base.History(symbol.Underlying, start, end.Value, resolution)
.SelectMany(x =>
{
// the option chain symbols wont change so we can set 'exchangeDateChange' to false always
optionFilterUniverse.Refresh(distinctSymbols, x, exchangeDateChange: false);
return(option.ContractFilter.Filter(optionFilterUniverse));
})
.Distinct().Concat(new[] { symbol.Underlying });
}
else
{
// the symbol is a contract
symbols = new List <Symbol> {
symbol
};
}
return(new OptionHistory(History(symbols, start, end.Value, resolution)));
}
