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changed the mirror symbol - fixed the IV calculation #51

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changed the mirror symbol - fixed the IV calculation #51

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4 changes: 4 additions & 0 deletions Initialization/SetupBaseStructure.py
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Original file line number Diff line number Diff line change
Expand Up @@ -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)
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