QuantConnect / QuantConnect/Lean
AddFutureOption api refactor
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@jhonabreul is already working on this.
Since Jul 18, 2022.
consistency
refactor
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Description
Expected Behavior
AddFutureOptionfollows theAddSecurity/Equity/Option/Future.. etcpattern
Actual Behavior
- Current implementation is
public void AddFutureOption(Symbol symbol, Func<OptionFilterUniverse, OptionFilterUniverse> optionFilter = null)
Potential Solution
- Add missing arguments in the expected order: resolution, fillForward, extended market hours,,
- Should default to the settings of the underlying if no argument was given
- If the settings of the FOP and the underlying are different should throw
- Remove the
optionFilterargument. Instead return a theOptionChainedUniverseSelectionModelinstance wrapped behind an interface which allows users to callSetFilteron it like forOption&Future. The selection model would use this filter when creating the new universes.AddUniverseOptionscould also return the wrappedOptionChainedUniverseSelectionModelinstance, but we can keep the option filter argument for it
Reproducing the Problem
N/A
System Information
N/A
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