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Unify QCAlgorithmOptionChain API

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Also refactor OptionContract to handle: (1) Actual market data and option price model data, and (2) OptionUniverse data
This commit is contained in:
Jhonathan Abreu
2024-09-25 12:07:31 -04:00
parent 407688deb4
commit b96a9792ca
10 changed files with 217 additions and 196 deletions
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Algorithm.Python/OptionPriceModelForOptionStylesBaseRegressionAlgorithm.py
+5 -4
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@@ -53,7 +53,7 @@ class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
self._tried_greeks_calculation = True
for contract in contracts:
greeks = Greeks()
greeks = None
try:
greeks = contract.greeks
@@ -70,9 +70,10 @@ class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
# Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
# Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
if (self._option_style_is_supported
and ((contract.right == OptionRight.CALL and (greeks.delta < 0.0 or greeks.delta > 1.0 or greeks.rho < 0.0))
or (contract.right == OptionRight.PUT and (greeks.delta < -1.0 or greeks.delta > 0.0 or greeks.rho > 0.0))
or greeks.theta == 0.0 or greeks.vega < 0.0 or greeks.gamma < 0.0)):
and (greeks is None
or ((contract.right == OptionRight.CALL and (greeks.delta < 0.0 or greeks.delta > 1.0 or greeks.rho < 0.0))
or (contract.right == OptionRight.PUT and (greeks.delta < -1.0 or greeks.delta > 0.0 or greeks.rho > 0.0))
or greeks.theta == 0.0 or greeks.vega < 0.0 or greeks.gamma < 0.0))):
raise Exception(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.delta}, Rho: {greeks.rho}, Theta: {greeks.theta}, Vega: {greeks.vega}, Gamma: {greeks.gamma}')