Adds BasicTemplateOptionsPriceModel

Show how to define an options price model and the available options. Tests whether the options contracts has a valid (non-zero) `Greeks.Delta`

Algorithm.Python/BasicTemplateOptionsPriceModel.py

@@ -0,0 +1,72 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Securities.Option import OptionPriceModels
+
+### <summary>
+### Example demonstrating how to define an option price model.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="filter selection" />
+### <meta name="tag" content="option price model" />
+class BasicTemplateOptionsPriceModel(QCAlgorithm):
+    '''Example demonstrating how to define an option price model.'''
+
+    def Initialize(self):
+        self.SetStartDate(2020, 1, 1)
+        self.SetEndDate(2020, 1, 5)
+        self.SetCash(100000)
+
+        # Add the option
+        option = self.AddOption("AAPL")
+        self.optionSymbol = option.Symbol
+
+        # Add the initial contract filter
+        option.SetFilter(-3, +3, 0, 31)
+
+        # Define the Option Price Model
+        option.PriceModel = OptionPriceModels.CrankNicolsonFD()
+        #option.PriceModel = OptionPriceModels.BlackScholes()
+        #option.PriceModel = OptionPriceModels.AdditiveEquiprobabilities()
+        #option.PriceModel = OptionPriceModels.BaroneAdesiWhaley()
+        #option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein()
+        #option.PriceModel = OptionPriceModels.BinomialJarrowRudd()
+        #option.PriceModel = OptionPriceModels.BinomialJoshi()
+        #option.PriceModel = OptionPriceModels.BinomialLeisenReimer()
+        #option.PriceModel = OptionPriceModels.BinomialTian()
+        #option.PriceModel = OptionPriceModels.BinomialTrigeorgis()
+        #option.PriceModel = OptionPriceModels.BjerksundStensland()
+        #option.PriceModel = OptionPriceModels.Integral()
+
+        # Set warm up with 30 trading days to warm up the underlying volatility model
+        self.SetWarmUp(30, Resolution.Daily)
+
+
+    def OnData(self,slice):
+        '''OnData will test whether the option contracts has a non-zero Greeks.Delta'''
+
+        if self.IsWarmingUp or not slice.OptionChains.ContainsKey(self.optionSymbol):
+            return
+
+        chain = slice.OptionChains[self.optionSymbol]
+        if not any([x for x in chain if x.Greeks.Delta != 0]):
+            self.Log(f'No contract with Delta != 0')

Algorithm.Python/QuantConnect.Algorithm.Python.csproj

@@ -81,6 +81,7 @@
     <None Include="CustomPartialFillModelAlgorithm.py" />
     <Content Include="BasicTemplateConstituentUniverseAlgorithm.py" />
     <Content Include="BasicTemplateOptionsConsolidationAlgorithm.py" />
+    <None Include="BasicTemplateOptionsPriceModel.py" />
     <Content Include="Benchmarks\SECReportBenchmarkAlgorithm.py" />
     <Content Include="Benchmarks\SmartInsiderEventBenchmarkAlgorithm.py" />
     <Content Include="ConsolidateRegressionAlgorithm.py" />

Algorithm.Python/QuantConnect.Algorithm.PythonTools.pyproj

@@ -35,6 +35,7 @@
     <Compile Include="BasicTemplateIntrinioEconomicData.py" />
     <Compile Include="BasicTemplateOptionsConsolidationAlgorithm.py" />
     <Compile Include="BasicTemplateOptionsFrameworkAlgorithm.py" />
+    <Compile Include="BasicTemplateOptionsPriceModel.py" />
     <Compile Include="BlackLittermanPortfolioOptimizationFrameworkAlgorithm.py" />
     <Compile Include="CapmAlphaRankingFrameworkAlgorithm.py" />
     <Compile Include="CoarseFundamentalTop3Algorithm.py" />