Add option chain selection helpers - #9667
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Adds composable contract selection helpers to OptionChain so the usual hand-rolled nearest-expiry/nearest-strike/ATM scans become a single call: Select(), ClosestExpiry(), At(expiry), AtTheMoney(right), Calls/Puts and Strikes (with ClosestTo/FirstAbove/FirstBelow). All helpers are null-safe, count Saturday-convention expirations at their Friday last trading date, and support DTE windows to guard against selecting already-subscribed contracts outside the requested expiration range. Also fixes the OptionChain universe-contracts constructor never assigning the chain-level Underlying (the base constructor initializes it to an empty QuoteBar, so the null-coalescing assignment never fired).
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Description
Options algorithms keep re-deriving the same contract selection: nearest expiry to a target DTE, same-expiry filter, nearest-strike/ATM scan. The hand-rolled version crashes on empty
min(), misses Saturday-convention expiries, and picks 0-DTE contracts.New helpers on
OptionChain(both slice chains andalgorithm.option_chain()chains):Select(right, targetDte, minDte, maxDte, moneyness, targetDelta)— best-match single contract in one call.ClosestExpiry(targetDte, minDte, maxDte)— nearest expiration; ties prefer the earlier one.At(expiry)— single-expiration chain that composes with the other helpers.Calls/Puts— sorted by expiration then strike.AtTheMoney(right)— strike closest to the underlying price.Strikes(newStrikeListtype) — distinct sorted strikes withClosestTo,FirstAbove,FirstBelow.Design points:
null/Noneinstead of throwing, so callers guard with one null check.At()matches by that date.OptionChains reported a zero underlying price (Underlying ??=never assigned).Deferred:
contract.days_to_expiry/dteships separately; pruning out-of-window subscribed contracts from slice chains is out of scope.Related Issue
N/A
Motivation and Context
This exact selection is hand-built over and over (~10–15 lines per entry routine) and recurrently hits empty-sequence crashes, Saturday-expiry zero matches, and 0-DTE picks.
Requires Documentation Change
Yes: the new
OptionChainmembers andStrikeList(XML docs included).How Has This Been Tested?
OptionChainTestsfixture: 38 tests covering ceremony equivalence, moneyness/delta targeting, DTE windows, tie-breaking, Saturday expiries, composition throughAt(), the underlying-price fix, and null-safety on empty chains.OptionChainSelectionHelpersRegressionAlgorithm(C# + Python): asserts each helper against the hand-rolled equivalent and trades the selected contract; both languages pass with matching statistics.[PandasIgnore]d, so data frames are unchanged.Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>