Michael Handschuh
b1b8da1e17
* Add underlying holdings to regression result handler details log When debugging option exercise/assignment issues it's useful to see the underlying holdings at the time the option contract fill event is processed. Also adds the full symbol string to the top of the order event section. The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't the full SecurityIdentifier - by including the full SID string it makes it easier to correlate fills over symbol rename boundaries. * Fix automatic option assignment from market simulation During the recent OptionExerciseOrder.Quantity refactor, this case was missed. Additionally, it was realized that there were no regression tests covering the automatic assignment via the market conditions simulation. This change introduces a regression algorithm that covers the automatic assignment of put/call options. * Update BasicOptionAssignmentSimulation._rand to be non-static If this value is static then we reuse the same Random instance for ALL regression tests, thereby defeating the purpose of using a well known seed number. This means we get different results based on the order execution of preceding algorithms. By making this an instance variable each algorithm will start with the same seed value, ensuring consistent runs between regression tests, either run as a suite or running a single algorithm in isolation.
LEAN Data Formats / Options
QuantConnect hosts options data provided by AlgoSeek. The data contains quotes, trades, and open interest data. You can explore options data on our website at https://www.quantconnect.com/data/tree/option/
The data are stored as compressed ZIP files, each containing multiple CSV entries, varying on the option style, e.g. call/put, strike price, and expiration date.
Options data can be used with the following Resolutions:
- Minute
The markets we currently support are:
- USA
tickType in this documentation can refer to one of the following:
- trade
- quote
- openinterest
Minute File Format
Minute files are located in the option / market / resolution / symbol folder.
The zip files have the filename format: YYYYMMDD_tickType_optionType.zip. The CSV file contained within has the filename format: YYYYMMDD_symbol_resolution_tickType_optionType_optionStyle_decicentStrikePrice_symbolExpirationDate(YYYYMMDD).csv
Minute trade schema and example data is as follows:
| Time | Open | High | Low | Close | Volume |
|---|---|---|---|---|---|
| 63271000 | 120800 | 125600 | 120800 | 125000 | 404 |
- Time - Milliseconds since midnight
- Open - Opening price as deci-cents
- High - High price as deci-cents
- Low - Low price as deci-cents
- Close - Closing price as deci-cents
- Volume - Total contracts traded
Minute quote schema and example data is as follows:
| Time | Bid Open | Bid High | Bid Low | Bid Close | Last Bid Size | Ask Open | Ask High | Ask Low | Ask Close | Last Ask Size |
|---|---|---|---|---|---|---|---|---|---|---|
| 10920000 | 120800 | 125600 | 120800 | 125000 | 10 | 120900 | 126800 | 120900 | 137000 | 100 |
- Time - Milliseconds since midnight
- Bid Open - Opening price for the best bid as deci-cents
- Bid High - Highest recorded bid price as deci-cents
- Bid Low - Lowest recorded bid price as deci-cents
- Bid Close - Closing price for the best bid as deci-cents
- Last Bid Size - Size of best bid at close
- Ask Open - Opening price for the best ask as deci-cents
- Ask High - Highest recorded ask price as deci-cents
- Ask Low - Lowest recorded ask price as deci-cents
- Ask Close - Closing price for the best ask as deci-cents
- Last Ask Size - Size of best ask at close
Divide prices by 10,000 to convert deci-cents to dollars
Minute open interest schema and example data is as follows:
| Time | Open Interest |
|---|---|
| 50280000 | 102 |
- Time - Milliseconds since midnight
- Open Interest - outstanding contracts