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Include Options to Universe When They are First Issued #8329

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AlexCatarino opened this issue Sep 18, 2024 · 0 comments
Open
4 tasks done

Include Options to Universe When They are First Issued #8329

AlexCatarino opened this issue Sep 18, 2024 · 0 comments
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@AlexCatarino
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Expected Behavior

Be able to trade an option contract as soon as they are available (T+0)

Actual Behavior

We can only trade options on T+1 because the universe is created with EOD data.

Potential Solution

Add contracts that contracts with zero prices. They will only have the Symbol so that we can select them as before.

Reproducing the Problem

qb = QuantBook()
equity_symbol = qb.add_equity("QQQ", data_normalization_mode=DataNormalizationMode.RAW).symbol
option = qb.add_option(equity_symbol)
t_date = datetime(2013, 9, 27)
contract_symbols = qb.option_chain_provider.get_option_contract_list(equity_symbol, start_date)

[s.id.strike_price for s in contract_symbols 
    if s.id.option_right == OptionRight.PUT 
        and s.id.strike_price == 75.5
        and s.id.date == datetime(2013, 10, 11)]

The list is empty because SPY 131011P00075500 started trading on 20130927.

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
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