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)
[x] New feature (non-breaking change which adds functionality)
[ ] Breaking change (fix or feature that would cause existing functionality to change)
Description
Add
QCAlgorithm.OptionChain()
method to fetch option chains but, unlike theIOptionChainProvider
, returningOptionUniverse
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 theOptionUniverseHistoryRegressionAlgorithm
regression algorithm.Requires Documentation Change
Need to document new method and the deprecation of
QCAlgorithm.OptionChainProvider
How Has This Been Tested?
QCAlgorithm.OptionChainProvider
with the newQCAlgorithm.OptionChain()
method.Types of changes
Checklist:
bug-<issue#>-<description>
orfeature-<issue#>-<description>