{"action":"created","issue":{"url":"https://api.github.com/repos/QuantConnect/Lean/issues/166","labels_url":"https://api.github.com/repos/QuantConnect/Lean/issues/166/labels{/name}","comments_url":"https://api.github.com/repos/QuantConnect/Lean/issues/166/comments","events_url":"https://api.github.com/repos/QuantConnect/Lean/issues/166/events","html_url":"https://github.com/QuantConnect/Lean/issues/166","id":106662984,"number":166,"title":"Options Support","user":{"login":"jaredbroad","id":2243225,"avatar_url":"https://avatars.githubusercontent.com/u/2243225?v=3","gravatar_id":"","url":"https://api.github.com/users/jaredbroad","html_url":"https://github.com/jaredbroad","followers_url":"https://api.github.com/users/jaredbroad/followers","following_url":"https://api.github.com/users/jaredbroad/following{/other_user}","gists_url":"https://api.github.com/users/jaredbroad/gists{/gist_id}","starred_url":"https://api.github.com/users/jaredbroad/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/jaredbroad/subscriptions","organizations_url":"https://api.github.com/users/jaredbroad/orgs","repos_url":"https://api.github.com/users/jaredbroad/repos","events_url":"https://api.github.com/users/jaredbroad/events{/privacy}","received_events_url":"https://api.github.com/users/jaredbroad/received_events","type":"User","site_admin":false},"labels":[{"url":"https://api.github.com/repos/QuantConnect/Lean/labels/feature","name":"feature","color":"84b6eb"},{"url":"https://api.github.com/repos/QuantConnect/Lean/labels/help%20wanted","name":"help wanted","color":"159818"}],"state":"open","locked":false,"assignee":null,"milestone":null,"comments":15,"created_at":"2015-09-15T22:44:04Z","updated_at":"2015-09-17T19:22:49Z","closed_at":null,"body":"Support for options trading. Broadly speaking this will have several pieces. Lets scope out the depth of the changes needed here:\r\n\r\nPHASE 1:\r\nLEAN\r\n- New security type\r\n- Options fill models\r\n- Option pricing/fee models\r\n- New option data type which holds the strike price/deltas/thetas etc for a specific option-strike-call/put-expiration..\r\n- Option symbol builder (combining all the pieces which make the option unique)\r\n- Option data type also needs to look up the option data for its symbol.\r\n- AlgoManager sends in add subscription requests to the Datafeed who adds the option data requested (and creates associated security objects)\r\n\r\nProposed User Facing\r\n- AddSecurity(\"SPX\", +2(strikes assumed symetrical), Calls, TimeSpan.FromMonths(6))\r\nUser adds an Underlying, +- strike deltas from market, type, and TimeSpan in future.\r\n- We access the option data in the slice array, simplify indexing:\r\n- slice.Options[\"SPX\", 2 (strikes), OptionType.Call].ToList() of Option objects.\r\n\r\nToolBox:\r\n- Tool for converting from X-popular data provider into LEAN data format.\r\n\r\n\r\nPHASE 2: \r\nBrokerage and live trading support. TBD."},"comment":{"url":"https://api.github.com/repos/QuantConnect/Lean/issues/comments/141194689","html_url":"https://github.com/QuantConnect/Lean/issues/166#issuecomment-141194689","issue_url":"https://api.github.com/repos/QuantConnect/Lean/issues/166","id":141194689,"user":{"login":"mchandschuh","id":531416,"avatar_url":"https://avatars.githubusercontent.com/u/531416?v=3","gravatar_id":"","url":"https://api.github.com/users/mchandschuh","html_url":"https://github.com/mchandschuh","followers_url":"https://api.github.com/users/mchandschuh/followers","following_url":"https://api.github.com/users/mchandschuh/following{/other_user}","gists_url":"https://api.github.com/users/mchandschuh/gists{/gist_id}","starred_url":"https://api.github.com/users/mchandschuh/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/mchandschuh/subscriptions","organizations_url":"https://api.github.com/users/mchandschuh/orgs","repos_url":"https://api.github.com/users/mchandschuh/repos","events_url":"https://api.github.com/users/mchandschuh/events{/privacy}","received_events_url":"https://api.github.com/users/mchandschuh/received_events","type":"User","site_admin":false},"created_at":"2015-09-17T19:22:49Z","updated_at":"2015-09-17T19:22:49Z","body":"@AlexCatarino @rbohac  - can you explain the importance of the distinction between the weekly/monthly/quarterly contracts? My understanding is that  the weeklys are just offered closer to the expiry, so CBOE states that weekly contracts are available for a consecutive six weeks. \r\n\r\nAre there benefits to trading one verse the other? I would imagine the open interest would be higher in the monthly/quarterly since they've been offered for longer. I just want to understand the desire to segregate them in the algorithm."}}