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Remove GreekIndicators class #40

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Merged
jhonabreul merged 2 commits into from
Feb 19, 2026
Merged

Remove GreekIndicators class #40

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da36701
Remove GreekIndicators class
jhonabreul Jan 23, 2026
c419c81
Minor change
jhonabreul Feb 3, 2026
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109 changes: 0 additions & 109 deletions Lean.DataSource.OptionsUniverseGenerator/GreeksIndicators.cs
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This file was deleted.

9 changes: 5 additions & 4 deletions Lean.DataSource.OptionsUniverseGenerator/OptionUniverseEntry.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -17,6 +17,7 @@
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Indicators;

namespace QuantConnect.DataSource.OptionsUniverseGenerator
{
Expand All @@ -30,12 +31,12 @@ public class OptionUniverseEntry : BaseContractUniverseFileEntry
/// <summary>
/// Option contract's implied volatility on the processing date.
/// </summary>
public decimal? ImpliedVolatility => _greeksIndicators?.ImpliedVolatility;
public decimal? ImpliedVolatility => _greeksIndicators?.ImpliedVolatility?.Current?.Value;

/// <summary>
/// Option contract's greeks on the processing date.
/// </summary>
public Greeks Greeks => _greeksIndicators?.GetGreeks();
public Greeks Greeks => _greeksIndicators?.Greeks;

/// <summary>
/// Initializes a new instance of the <see cref="OptionUniverseEntry"/> class.
Expand All @@ -46,9 +47,9 @@ public OptionUniverseEntry(Symbol symbol)
{
// Options universes contain a line for the underlying: we don't need greeks for it.
// Future options don't have greeks either.
if (HasGreeks(symbol.SecurityType))
if (HasGreeks(symbol.SecurityType) && !symbol.IsCanonical())
{
var mirrorOptionSymbol = OptionsUniverseGeneratorUtils.GetMirrorOptionSymbol(symbol);
var mirrorOptionSymbol = symbol.GetMirrorOptionSymbol();
_greeksIndicators = new GreeksIndicators(symbol, mirrorOptionSymbol);
}
}
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