OptionsHelper (Wealth-Lab Framework)

OptionsHelper is a static class with methods to assist with converting and parsing option symbols with different formats.

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript123
{
	public class SyntheticOptionSymbol : UserStrategyBase
	{
		public override void Initialize(BarHistory bars)
		{			
			//identify an ATM call with an expiration at least 5 days in the future
			string symbol = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Call, bars.LastValue, bars.DateTimes[bars.Count - 1], 5); 
			string c2sym = OptionsHelper.C2Symbol(symbol); 
			
			//show the symbols
			DrawHeaderText($"Synthetic symbol is {symbol}", WLColor.Gold, 12, "Price");
			DrawHeaderText($"C2 symbol is {c2sym}", WLColor.Gold, 12, "Price");
		}

		//execute the strategy rules here, this is executed once for each bar in the backtest history
		public override void Execute(BarHistory bars, int idx)
		{ }
	}
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using WealthLab.InteractiveBrokers;

namespace WealthScript2 
{
    public class MyStrategy : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
			// get the last expired call for the ATM strike on that day
			int bar = bars.Count - 1;
			DateTime nextEx = bars.NextOptionExpiryDate(bar);
			DateTime exp = nextEx;
			do
			{
				exp = bars.NextOptionExpiryDate(--bar);
			}
			while (exp == nextEx && bar > 0);

			DrawHeaderText($"Previous expiration was {exp:yyyy-MM-dd}", WLColor.NeonGreen, 14);	
			
			int idx = bars.DateTimes.IndexOf(exp);
			if (idx == -1)
			{
				DrawHeaderText($"Expiration for {exp:yyyy-MM-dd} is not loaded in the chart");
				return; 
			}
			
			double strike = Math.Round(bars.Close[idx] / 5) * 5;
			string osym = OptionSynthetic.Symbol(bars, OptionType.Call, strike, exp);

			// first check if the IB real contract data is available in cache
			string ibsym = OptionsHelper.ConvertSymbol(osym, OptionSymbolFormat.Compact);
			BarHistory obars = GetHistory(bars, ibsym);

			if (obars == null)
			{
				// data wasn't in cache - we need to go synthetic
				obars = OptionSynthetic.GetHistory(bars, osym, 0.15); 
			}
	        
	        PlotBarHistory(obars, "opane"); 
        }

        public override void Execute(BarHistory bars, int idx)
        { }
    }
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;

namespace WealthScript123
{
	public class MyStrategy : UserStrategyBase
	{
		public override void Initialize(BarHistory bars)
		{
			_lastIdx = bars.Count - 1;
			string osym = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Call, bars.Close[_lastIdx], bars.DateTimes[_lastIdx], 10);
			(string, OptionType, double, DateTime) optionParts = OptionsHelper.ParseSymbol(osym);
			
			string underlier = optionParts.Item1;
			OptionType otype = optionParts.Item2; 
			double strike = optionParts.Item3; 
			DateTime expiry = optionParts.Item4; 
						
			WriteToDebugLog($"The underlier for {osym} is {underlier}"); 
			WriteToDebugLog($"The option type is {otype}"); 
			WriteToDebugLog($"The strike is {strike}"); 			
			WriteToDebugLog($"The expiration date is {expiry:yyyy-MM-dd}"); 
		}

		public override void Execute(BarHistory bars, int idx)
		{ }

		//declare private variables below
		int _lastIdx;
	}
}

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using System.Collections.Generic;
using WealthLab.Indicators;

namespace WealthScript125
{
    public class StrikeAtDelta: UserStrategyBase
    {
		Parameter _deltaParam;
		bool _weeklies = false; 
		WLColor _clr = WLColor.NeonGreen;
		TimeSeries _iv;
		
		public StrikeAtDelta()
		{
			_deltaParam = AddParameter("Target Delta", ParameterType.Double, 0.12, 0, 1, 0.01); 
		}				
		
        public override void Initialize(BarHistory bars)
        {
			double delta = _deltaParam.AsDouble;
			DateTime expiry = bars.NextOptionExpiryDate(bars.Count - 1);

			//estimate IV using HV
			_iv = HV.Series(bars.Close, 21, 252) / 100.0;
			
			DrawHeaderText($"Delta: {delta:N4}; expiry: {expiry:yyyy-MM-dd}", _clr, 14);
			DrawHeaderText($"IV: {_iv.LastValue :N4}", _clr, 14);		
			
			double price = OptionsHelper.PriceAtDelta(OptionType.Call, delta, bars.LastValue, _iv.LastValue, expiry);
			DrawHeaderText($"Stock Price at Delta {delta:N4} is {price:N2}", _clr, 14);

			//use the price to identify the closest strike
			string osym = OptionSynthetic.GetOptionsSymbol(bars, OptionType.Call, price, bars.EndDate, 0);
			DrawHeaderText($"The nearest Call at Delta {delta:N4}: {osym}", _clr, 14);
        }

        public override void Execute(BarHistory bars, int idx)
        {  }
    }
}