Open Interest Support

[AlexCatarino]

Expected Behavior

This data source supports open interest.

Actual Behavior

We receive the following message:

“Warning: USA IndexOption OpenInterest data not supported. Please consider reviewing the data providers selection.” 

Proposed Solution

It's found in the Option Chain endpoint /v3/snapshot/options/{underlyingAsset}
https://polygon.io/docs/options/get_v3_snapshot_options__underlyingasset

Reproducing the Problem

Deploy index option algorithm with polygon data provider.

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue

[endk17]

Specification

Is there the means to query for open interest value when using Polygon datasets ?

Current

• No, right now this is not possible using current implementation of Polygon dataset
• The current implementation in QuantConnect.Polygon/PolygonOptionChainProvider.cs targets polygon data endpoint /v3/reference/options/contracts
• The polygon data endpoint /v3/reference/options/contracts does not provide values for: Open interest, the greeks (delta, gamma etc.) and implied volatility
• When using the OptionContract object, values for Open interest, the greeks (delta, gamma etc.) and implied volatility should be made available. Below is the referenced properties that are exposed when invoking the OptionContract object
  • ref: https://www.quantconnect.com/docs/v2/writing-algorithms/securities/asset-classes/index-options/handling-data#05-Option-Contracts

Proposed

The below files should be modified to support the, above noted, current specification

• QuantConnect.Polygon/PolygonOptionChainProvider.cs

  • Update the REST API endpoint from /v3/reference/options/contracts to /v3/snapshot/options/{underlyingAsset}

    • https://github.com/QuantConnect/Lean.DataSource.Polygon/blob/master/QuantConnect.Polygon/PolygonOptionChainProvider.cs#L70

  • Proposed

  var request = new RestRequest("/v3/snapshot/options/{underlyingAsset}", Method.GET).AddUrlSegment("underlyingAsset", underlying.Value);
  request.AddQueryParameter("expiration_date", date.ToStringInvariant("yyyy-MM-dd"));
  request.AddQueryParameter("limit", "250");

  • NB: When querying an index option, the value for underlyingAsset should be prefixed with I:.

    Example: For SPX; the value for underlyingAsset is I:SPX

    This ensures that the API Response returns all required attributes when querying an index option

    • https://github.com/QuantConnect/Lean.DataSource.Polygon/blob/master/QuantConnect.Polygon/PolygonOptionChainProvider.cs#L71-L72

• QuantConnect.Polygon/Rest/OptionContract.cs

  • Update the current data model to support the nested json response from the polygon api based on the response object as noted in the polygon documentation
  • In addition to the current captured api response objects, the below response objects should be captured and made available in option data response model QuantConnect.Polygon/Rest/OptionChainResponse.cs by updating the file QuantConnect.Polygon/Rest/OptionContract.cs
    • Open Interest
    • Greeks
      • delta
      • gamma
      • theta
      • vega
    • Implied Volatility
    • Last Price
    • Volume

• All test are passed

[endk17]

Hi @AlexCatarino

Can you and or your support team please assist with getting my PR reviewed and approved.

ref: #15

Many thanks
Enda

[ArthurAsenheimer]

FYI, the following algorithm reproduces the bug:

# region imports
from AlgorithmImports import *
# endregion


class IndexOptionAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2024, 1, 1) 
        self.set_end_date(2024, 5, 1)
        self.set_cash(100000)
        self.spx = self.add_index('SPX') 
        self.spx_option = self.add_index_option(self.spx.symbol) 
        self.spx_option.set_filter(-1, 1, 0, 100)  


    def on_data(self, data: Slice):
        if self.algorithm_mode is not AlgorithmMode.LIVE:
            return 
        chain = data.option_chains.get(self.spx_option.symbol)
        if not chain:
            return 
        for contract in chain: 
            self.log(f"{contract.symbol}| open interest: {contract.open_interest}; delta: {contract.greeks.delta}; implied volatility: {contract.implied_volatility}.") 

Excerpt from logs when using QC + Polygon as data providers in live mode:

2024-05-10 17:37:48 Launching analysis for L-3ffd0d19687922fd9e89e48e6bdf8fea with LEAN Engine v2.5.0.0.16423
2024-05-10 17:37:54 Paper Brokerage account base currency: USD
2024-05-10 17:38:08 Warning: usa IndexOption OpenInterest data not supported. Please consider reviewing the data providers selection.
2024-05-10 17:39:00 SPX   240517C05215000| open interest: 0.0; delta: 0.532253383735248; implied volatility: 0.0920031928428969.
2024-05-10 17:39:00 SPX   240517C05220000| open interest: 0.0; delta: 0.505825425148433; implied volatility: 0.0918866720162672.
2024-05-10 17:39:00 SPX   240517P05215000| open interest: 0.0; delta: -0.470339109238199; implied volatility: 0.102137279946327.
2024-05-10 17:39:00 SPX   240517P05220000| open interest: 0.0; delta: -0.49415161757284; implied volatility: 0.101699571257173.
2024-05-10 17:39:00 SPX   240621C05215000| open interest: 0.0; delta: 0.558908042608909; implied volatility: 0.109208822620727.
2024-05-10 17:39:00 SPX   240621C05220000| open interest: 0.0; delta: 0.549011714694276; implied volatility: 0.108904994834179.