Option Strategy Filter Universe #8088
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| // Select the set strike | ||
| var strike = AllSymbols.OrderBy(x => Math.Abs(Underlying.Price - x.ID.StrikePrice + strikeFromAtm)) | ||
| .First().ID.StrikePrice; | ||
| var contracts = AllSymbols.Where(x => x.ID.StrikePrice == strike && x.ID.OptionRight == right); |
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Cool!
Couple of thoughts:
- Believe it's a bit sad & fragile having to duplicate the knowledge of each strategy again here, we could have a core implementation which could take a
OptionStrategyDefinitioninstance for example and generically handle it there, each of these sugar names could just pass their option strategy definition to the core one and boom, we can simplify many lines and potential issues due to the duplication - The implementations seem a bit inconsistent on when using
AllSymbols&/or the helper methodsWhere/Contracts/etcthe helper methods are overridingAllSymbols& calling to List (sad to do it multiple times etc) -> I think we should avoid them and just useAllSymbolsbut at the end of the method call ToList and override it - Just double checking, I see ur using Abs for date/strike input operations which is strange given the input could be +/- , seems if used in OrderBy it would treat +/- result in the same way which doesn't seem right?
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Just double checking, I see ur using Abs for date/strike input operations which is strange given the input could be +/- , seems if used in OrderBy it would treat +/- result in the same way which doesn't seem right?
Yah that was intentional. We look for the best match but not a conditional best match
| { | ||
| public override void Initialize() | ||
| { | ||
| _func = u => u.IncludeWeeklys().Strikes(-10, +10).Expiration(0, 180).BoxSpread(30, 5); |
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Isn't Expiration filter overlapping with the daysTillExpiry in the option strategy? For example in this example if Expiration was (30, 180) 🤔
Makes me think that daysTillExpiry would only be used if Expiration filter isn't used? which could mean we can push it to the end of the option strategy as an optional probably defaulting to null, maybe if Expiration wasn't use use 30 instead as default
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It is intentional: Expiration is a strict rule, but daysTillExpiry is looking for the best match only🤔 I don't think they are mutaully exclusive.
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Expiration is a strict rule, but daysTillExpiry is looking for the best match only🤔
Sounds like a bug if user provides 30 daysTIllExpiry and it can use something bellow that?
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.Strikes(-10, +10).Expiration(0, 180)
Let's remove this from the examples
Sounds like a bug if user provides 30 daysTIllExpiry and it can use something bellow that? nevermind 👍
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Please rebase from master, the regression test interface was changed & a unit test CI bug was shipped |
| var expiry = AllSymbols.OrderBy(x => Math.Abs((x.ID.Date - _lastExchangeDate.AddDays(daysTillExpiry)).Days)) | ||
| .First().ID.Date; | ||
| var contracts = AllSymbols.Where(x => x.ID.Date == expiry && x.ID.OptionRight == right); | ||
| // Select strike price | ||
| var selected = contracts.OrderBy(x => Math.Abs(x.ID.StrikePrice - Underlying.Price - strikeFromAtm)).First(); |
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I don't think the expiration filter here is behaving as expected, take the follow example
DaysTillExpiry 4
Today 8
Contract 1 expiration date 9
Contract 2 expiration date 15
Contract 3 expiration date 20
9 - (8 + 4) => Abs(-3) ? -> HERE
15 - (8 + 4) => Abs(3) -> HERE
20 - (8 + 4) => Abs(8)
We should have 1 centralized helper method location where we handle these daysTillExpiry/strikeFromAtm and reuse them in the whole file
I'd suggest rename daysTillExpiry to minDaysTillExpiry and could directly use the Expiration(minDaysTillExpiry, max)?
Description
Add helper method to filter option universe by shortlisting a particular type of option strategies
e.g.
option.SetFilter(u => u.IncludeWeeklys().Strike(-2, 2).Expiration(0, 90).IronCondor(30, 5, 10)will return 4 contracts that best fit the criteria given and be able to form an Iron Condor.Related Issue
NA
Motivation and Context
For users that only wish to obtain certain contracts for forming an option strategy, it can reduce the number of option contract data subscribed to speed up the algorithm and avoid further filtering manually.
e.g. A single-day Iron Condor algorithm yielded a near 50% speed improvement:
.IronCondor(30, 5, 10)filterRequires Documentation Change
How Has This Been Tested?
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>