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Add QCAlgorithm.OptionChain() method to fetch option chains (#8316)
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* Add new QCAlgorithm.OptionChain method to get full data option chain

* Add extension method to get canonical symbol

* Support future options in new OptionChain method

* Replace option chain provider with OptionChain method in some regression algorithms

* Add new regression algorithms for OptionChain method

* Replace option chain provider with OptionChain method in some regression algorithms

* Minor

* Cleanup

* Minor changes in regression algorithms

* Minor adjustments
This commit is contained in:
Jhonathan Abreu
2024-09-11 15:15:51 -04:00
committed by GitHub
parent 724d0b06a5
commit 16c4259342
64 changed files with 420 additions and 108 deletions
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Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs
+2 -2
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@@ -39,8 +39,8 @@ namespace QuantConnect.Algorithm.CSharp
var aapl = AddEquity("AAPL").Symbol;
_contract = OptionChainProvider.GetOptionContractList(aapl, Time)
.OrderBy(symbol => symbol.ID.Symbol)
_contract = OptionChain(aapl)
.OrderBy(x => x.ID.Symbol)
.FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
&& optionContract.ID.OptionStyle == OptionStyle.American);
}