Set Default Option Greeks Models on Securities to be Calculated by QC Indicators - Githubissues

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Lean Algorithmic Trading Engine by QuantConnect (Python, C#)

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Set Default Option Greeks Models on Securities to be Calculated by QC Indicators #8336

Open AlexCatarino opened 1 week ago

AlexCatarino commented 1 week ago

Expected Behavior

We can use IOptionPriceModels that implement QC Indicators under the hood so that OptionContract in Slice.OptionChains have greeks from indicators.

Actual Behavior

Users need to define indicators in their code.

Potential Solution

Create IOptionPriceModel's with Option Indicators matching the configuration of pre-calculated greeks.

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