From 46d39eac2ad98fb0d15800ff61de4e6d2f920c58 Mon Sep 17 00:00:00 2001 From: ffahimi Date: Thu, 10 Oct 2024 17:06:39 +0200 Subject: [PATCH] changed the mirror symbol - fixed the IV calculation --- Initialization/SetupBaseStructure.py | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/Initialization/SetupBaseStructure.py b/Initialization/SetupBaseStructure.py index fae8aa8..8c746c3 100644 --- a/Initialization/SetupBaseStructure.py +++ b/Initialization/SetupBaseStructure.py @@ -189,6 +189,10 @@ def CompleteSecurityInitializer(self, security: Security) -> None: right = OptionRight.CALL if security.symbol.ID.option_right == OptionRight.PUT else OptionRight.PUT mirror_symbol = Symbol.create_option(security.symbol.ID.underlying.symbol, security.symbol.ID.market, security.symbol.ID.option_style, right, security.symbol.ID.strike_price, security.symbol.ID.date) + + # Log the values using self.context.debug + # self.context.debug(f"Option Contract Details - Symbol: {security.symbol}, Underlying: {security.symbol.ID.underlying.symbol}, Market: {security.symbol.ID.market}, Option Style: {security.symbol.ID.option_style}, Right: {right}, Strike Price: {security.symbol.ID.strike_price}, Expiration Date: {security.symbol.ID.date}, Mirror Symbol: {mirror_symbol}") + try: security.iv = self.context.iv(security.symbol, mirror_symbol, resolution=self.context.timeResolution) security.delta = self.context.d(security.symbol, mirror_symbol, resolution=self.context.timeResolution)