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Add QCAlgorithm.OptionChain() method to fetch option chains #8316

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jhonabreul
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Description

Add QCAlgorithm.OptionChain() method to fetch option chains but, unlike the IOptionChainProvider, returning OptionUniverse instances instead of just the symbols, so that it includes additional daily options data like price data, implied volatility and greeks.

Follow up #8212

Related Issue

N/A

Motivation and Context

SImpler way to fetch an option universe with options data at the time of the algorithm (QCAlgorithm.Time). Without this, it would required making history requests as illustrated in the OptionUniverseHistoryRegressionAlgorithm regression algorithm.

Requires Documentation Change

Need to document new method and the deprecation of QCAlgorithm.OptionChainProvider

How Has This Been Tested?

  • Unit tests
  • New regression algorithms
  • Existing regression algorithms, replacing QCAlgorithm.OptionChainProvider with the new QCAlgorithm.OptionChain() method.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

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@Martin-Molinero Martin-Molinero left a comment

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Thank you! 👍

@jhonabreul jhonabreul merged commit 16c4259 into QuantConnect:master Sep 11, 2024
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@jhonabreul jhonabreul deleted the feature-option-chain-data-api branch September 11, 2024 19:16
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2 participants