- Added support for sourcing and caching the full symbol list from IQ…

…Feed website.

- Added IQFeed options support to toolbox: option chain universe, option symbol list, subscriptions, live prices
- Added LiveTradingDataFeed to support options live screaming
- Added IB live options trading support: trading orders, holdings, live option exercising
- Modified ISymbolMapper interface to support derivatives (options, futures)
- Fixed minor bugs with (introduced ealier) symbol changes for options
Tested with IQFeed version 5.2.4.2. IB TWS offline version 957.

Algorithm/QCAlgorithm.cs

@@ -483,8 +483,7 @@ from kvp in UniverseManager
  // add option underlying securities if not present
  foreach (var option in Securities.Select(x => x.Value).OfType<Option>())
  {
- var sid = option.Symbol.ID;
- var underlying = QuantConnect.Symbol.Create(sid.Symbol, SecurityType.Equity, sid.Market);
+ var underlying = option.Symbol.Underlying;
  Security equity;
  if (!Securities.TryGetValue(underlying, out equity))
  {
@@ -1227,6 +1226,12 @@ public Security AddSecurity(SecurityType securityType, string symbol, Resolution
  /// <param name="extendedMarketHours">ExtendedMarketHours send in data from 4am - 8pm, not used for FOREX</param>
  public Security AddSecurity(SecurityType securityType, string symbol, Resolution resolution, string market, bool fillDataForward, decimal leverage, bool extendedMarketHours)
  {
+ // if AddSecurity method is called to add an option, we delegate a call to AddOption methods
+ if (securityType == SecurityType.Option)
+ {
+ return AddOption(symbol, resolution, market, fillDataForward, leverage);
+ }
+
  try
  {
  if (market == null)
@@ -1309,14 +1314,48 @@ public Option AddOption(string underlying, Resolution resolution = Resolution.Mi
  Universe universe;
  if (!UniverseManager.TryGetValue(canonicalSymbol, out universe))
  {
- var settings = new UniverseSettings(resolution, leverage, false, false, TimeSpan.Zero);
+ var settings = new UniverseSettings(resolution, leverage, true, false, TimeSpan.Zero);
  universe = new OptionChainUniverse(canonicalSecurity, settings, SecurityInitializer);
  UniverseManager.Add(canonicalSymbol, universe);
  }
 
  return canonicalSecurity;
  }
 
+ /// <summary>
+ /// This is a private method that adds single option contract
+ /// </summary>
+ private Security AddSingleOption(string symbol, Resolution resolution, string market, bool fillDataForward, decimal leverage)
+ {
+ try
+ {
+ if (market == null)
+ {
+ if (!BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Option, out market))
+ {
+ throw new Exception("No default market set for security type: " + SecurityType.Option);
+ }
+ }
+
+ var sid = SecurityIdentifier.Parse(symbol);
+ var optionSymbol = QuantConnect.Symbol.CreateOption(sid.Underlying.Symbol, sid.Market, sid.OptionStyle, sid.OptionRight, sid.StrikePrice, sid.Date);
+
+ var marketHoursEntry = _marketHoursDatabase.GetEntry(market, optionSymbol.Underlying.Value, SecurityType.Option);
+ var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(market, optionSymbol.Underlying.Value, SecurityType.Option, CashBook.AccountCurrency);
+ var security = (Option)SecurityManager.CreateSecurity(typeof(ZipEntryName), Portfolio, SubscriptionManager,
+ marketHoursEntry.ExchangeHours, marketHoursEntry.DataTimeZone, symbolProperties, SecurityInitializer, optionSymbol, resolution,
+ fillDataForward, leverage, false, false, false, true, false);
+
+ Securities.Add(security);
+ return security;
+ }
+ catch (Exception err)
+ {
+ Error("Algorithm.AddSingleOption(): " + err);
+ return null;
+ }
+ }
+
  /// <summary>
  /// Creates and adds a new <see cref="Forex"/> security to the algorithm
  /// </summary>

Brokerages/Fxcm/FxcmSymbolMapper.cs

@@ -155,8 +155,11 @@ public string GetBrokerageSymbol(Symbol symbol)
  /// <param name="brokerageSymbol">The FXCM symbol</param>
  /// <param name="securityType">The security type</param>
  /// <param name="market">The market</param>
+ /// <param name="expirationDate">Expiration date of the security(if applicable)</param>
+ /// <param name="strike">The strike of the security (if applicable)</param>
+ /// <param name="optionRight">The option right of the security (if applicable)</param>
  /// <returns>A new Lean Symbol instance</returns>
- public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market)
+ public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market, DateTime expirationDate = default(DateTime), decimal strike = 0, OptionRight optionRight = 0)
  {
  if (string.IsNullOrWhiteSpace(brokerageSymbol))
  throw new ArgumentException("Invalid FXCM symbol: " + brokerageSymbol);

Brokerages/ISymbolMapper.cs

@@ -13,6 +13,8 @@
  * limitations under the License.
 */
 
+using System;
+
 namespace QuantConnect.Brokerages
 {
  /// <summary>
@@ -33,7 +35,10 @@ public interface ISymbolMapper
  /// <param name="brokerageSymbol">The brokerage symbol</param>
  /// <param name="securityType">The security type</param>
  /// <param name="market">The market</param>
+ /// <param name="expirationDate">Expiration date of the security(if applicable)</param>
+ /// <param name="strike">The strike of the security (if applicable)</param>
+ /// <param name="optionRight">The option right of the security (if applicable)</param>
  /// <returns>A new Lean Symbol instance</returns>
- Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market);
+ Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market, DateTime expirationDate = default(DateTime), decimal strike = 0, OptionRight optionRight = 0);
  }
 }

Brokerages/InteractiveBrokers/InteractiveBrokersBrokerage.cs

@@ -545,8 +545,15 @@ private void IBPlaceOrder(Order order, bool needsNewID, string exchange = null)
  throw new ArgumentException("Expected order with populated BrokerId for updating orders.");
  }
 
- var ibOrder = ConvertOrder(order, contract, ibOrderID);
- _client.PlaceOrder(ibOrder.OrderId, contract, ibOrder);
+ if (order.Type == OrderType.OptionExercise)
+ {
+ _client.ExerciseOptions(ibOrderID, contract, 1, order.Quantity, _account, 0);
+ }
+ else
+ {
+ var ibOrder = ConvertOrder(order, contract, ibOrderID);
+ _client.PlaceOrder(ibOrder.OrderId, contract, ibOrder);
+ }
  }
 
  private string GetPrimaryExchange(IB.Contract contract)
@@ -1053,7 +1060,7 @@ private IB.Contract CreateContract(Symbol symbol, string exchange = null)
  contract.Expiry = symbol.ID.Date.ToString(DateFormat.EightCharacter);
  contract.Right = symbol.ID.OptionRight == OptionRight.Call ? IB.RightType.Call : IB.RightType.Put;
  contract.Strike = Convert.ToDouble(symbol.ID.StrikePrice);
- contract.Symbol = symbol.ID.Symbol;
+ contract.Symbol = ibSymbol;
  }
 
  // some contracts require this, such as MSFT
@@ -1260,7 +1267,18 @@ private Symbol MapSymbol(IB.Contract contract)
  var ibSymbol = securityType == SecurityType.Forex ? contract.Symbol + contract.Currency : contract.Symbol;
  var market = securityType == SecurityType.Forex ? Market.FXCM : Market.USA;
 
- return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market);
+ if (securityType == SecurityType.Option)
+ {
+ var expiryDate = DateTime.ParseExact(contract.Expiry, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
+ var right = contract.Right == IB.RightType.Call ? OptionRight.Call : OptionRight.Put;
+ var strike = Convert.ToDecimal(contract.Strike);
+
+ return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market, expiryDate, strike, right);
+ }
+ else
+ {
+ return _symbolMapper.GetLeanSymbol(ibSymbol, securityType, market);
+ }
  }
 
  private decimal RoundPrice(decimal input, decimal minTick)

Brokerages/InteractiveBrokers/InteractiveBrokersSymbolMapper.cs

@@ -40,6 +40,11 @@ public string GetBrokerageSymbol(Symbol symbol)
  if (symbol.ID.SecurityType == SecurityType.Forex && symbol.Value.Length != 6)
  throw new ArgumentException("Forex symbol length must be equal to 6: " + symbol.Value);
 
+ if (symbol.ID.SecurityType == SecurityType.Option)
+ {
+ return symbol.Underlying.Value;
+ }
+
  return symbol.Value;
  }
 
@@ -49,16 +54,28 @@ public string GetBrokerageSymbol(Symbol symbol)
  /// <param name="brokerageSymbol">The InteractiveBrokers symbol</param>
  /// <param name="securityType">The security type</param>
  /// <param name="market">The market</param>
+ /// <param name="expirationDate">Expiration date of the security(if applicable)</param>
+ /// <param name="strike">The strike of the security (if applicable)</param>
+ /// <param name="optionRight">The option right of the security (if applicable)</param>
  /// <returns>A new Lean Symbol instance</returns>
- public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market)
+ public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market, DateTime expirationDate = default(DateTime), decimal strike = 0, OptionRight optionRight = 0)
  {
  if (string.IsNullOrWhiteSpace(brokerageSymbol))
  throw new ArgumentException("Invalid symbol: " + brokerageSymbol);
 
- if (securityType != SecurityType.Forex && securityType != SecurityType.Equity)
+ if (securityType != SecurityType.Forex && 
+ securityType != SecurityType.Equity &&
+ securityType != SecurityType.Option)
  throw new ArgumentException("Invalid security type: " + securityType);
 
- return Symbol.Create(brokerageSymbol, securityType, market);
+ if (securityType == SecurityType.Option)
+ {
+ return Symbol.CreateOption(brokerageSymbol, market, OptionStyle.American, optionRight, strike, expirationDate);
+ }
+ else
+ {
+ return Symbol.Create(brokerageSymbol, securityType, market);
+ }
  }
  }
 }

Brokerages/Oanda/OandaSymbolMapper.cs

@@ -190,8 +190,11 @@ public string GetBrokerageSymbol(Symbol symbol)
  /// <param name="brokerageSymbol">The Oanda symbol</param>
  /// <param name="securityType">The security type</param>
  /// <param name="market">The market</param>
+ /// <param name="expirationDate">Expiration date of the security(if applicable)</param>
+ /// <param name="strike">The strike of the security (if applicable)</param>
+ /// <param name="optionRight">The option right of the security (if applicable)</param>
  /// <returns>A new Lean Symbol instance</returns>
- public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market)
+ public Symbol GetLeanSymbol(string brokerageSymbol, SecurityType securityType, string market, DateTime expirationDate = default(DateTime), decimal strike = 0, OptionRight optionRight = 0)
  {
  if (string.IsNullOrWhiteSpace(brokerageSymbol))
  throw new ArgumentException("Invalid Oanda symbol: " + brokerageSymbol);

Engine/DataFeeds/Enumerators/Factories/DataQueueOptionChainUniverseDataCollectionEnumerator.cs

@@ -0,0 +1,125 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at https://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.Auxiliary;
+using System.Collections;
+
+namespace QuantConnect.Lean.Engine.DataFeeds.Enumerators
+{
+ /// <summary>
+ /// Provides an implementation of <see cref="ISubscriptionEnumeratorFactory"/> that reads
+ /// a live dataset provided by <see cref="IDataQueueUniverseProvider"/> into a <see cref="OptionChainUniverseDataCollection"/> enumerator
+ /// </summary>
+ public class DataQueueOptionChainUniverseDataCollectionEnumerator : IEnumerator<OptionChainUniverseDataCollection>
+ {
+ private readonly List<BaseData> _symbolUniverse;
+ private readonly IEnumerator<BaseData> _underlying;
+ private readonly Symbol _symbol;
+ OptionChainUniverseDataCollection _current;
+ bool _needNewCurrent;
+
+ /// <summary>
+ /// Initializes a new instance of the <see cref="DataQueueOptionChainUniverseDataCollectionEnumerator"/> class.
+ /// </summary>
+ /// <param name="symbol">Option contract symbol</param>
+ /// <param name="underlying">Underlying enumerator</param>
+ /// <param name="symbolUniverse">Symbol universe provider of the data queue</param>
+ public DataQueueOptionChainUniverseDataCollectionEnumerator(Symbol symbol, IEnumerator<BaseData> underlying, List<BaseData> symbolUniverse)
+ {
+ _symbolUniverse = symbolUniverse;
+ _underlying = underlying;
+ _needNewCurrent = true;
+ _symbol = symbol;
+
+ _current = new OptionChainUniverseDataCollection { Symbol = _symbol, Data = symbolUniverse };
+ }
+
+ /// <summary>
+ /// Returns current option chain enumerator position 
+ /// </summary>
+ public OptionChainUniverseDataCollection Current
+ {
+ get
+ {
+ if (_underlying.Current == null)
+ {
+ return null;
+ }
+
+ // if we need to update the enumerator, we update it wrapping around the underlying enumerator
+ if (_needNewCurrent)
+ {
+ var current = (OptionChainUniverseDataCollection)_current.Clone();
+ current.Underlying = _underlying.Current;
+ current.Time = _underlying.Current.Time;
+ current.EndTime = _underlying.Current.EndTime;
+
+ _current = current;
+ _needNewCurrent = false;
+ }
+
+ return _current;
+ }
+ }
+
+ /// <summary>
+ /// Returns current option chain enumerator position 
+ /// </summary>
+ object IEnumerator.Current
+ {
+ get
+ {
+ return Current;
+ }
+ }
+
+ /// <summary>
+ /// Performs application-defined tasks associated with freeing, releasing, or resetting unmanaged resources.
+ /// </summary>
+ public void Dispose()
+ {
+ _underlying.Dispose();
+ }
+
+ /// <summary>
+ /// Advances the enumerator to the next element of the collection.
+ /// </summary>
+ /// <returns>
+ /// true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.
+ /// </returns>
+ public bool MoveNext()
+ {
+ _needNewCurrent = _underlying.MoveNext();
+ return _needNewCurrent;
+ }
+
+ /// <summary>
+ /// Sets the enumerator to its initial position, which is before the first element in the collection.
+ /// </summary>
+ public void Reset()
+ {
+ _underlying.Reset();
+ _needNewCurrent = true;
+ }
+ }
+}