Option Contract

OptionContract represents a listed put or call option on a non-crypto underlying. It defines the option kind, strike price, activation time, expiration time, currency, multiplier, and lot size.

Examples include equity options, index options, and futures options.

Fields

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required	Stored as `id` in Rust.
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`asset_class`	`AssetClass`	Required	Asset class of the underlying.
`exchange`	`Option<Ustr>`	`None`	Exchange MIC or venue code when known.
`underlying`	`Ustr`	Required	Underlying asset, future, or index.
`option_kind`	`OptionKind`	Required	Put or call.
`strike_price`	`Price`	Required	Option strike price.
`activation_ns`	`UnixNanos`	Required	Contract activation timestamp.
`expiration_ns`	`UnixNanos`	Required	Contract expiration timestamp.
`currency`	`Currency`	Required	Premium quote and settlement currency.
`price_precision`	`u8`	Required	Decimal places allowed for prices.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_precision`	`u8`	`0`	Options trade in whole contracts.
`size_increment`	`Quantity`	`1`	Minimum contract size step.
`multiplier`	`Quantity`	Required	Contract multiplier.
`lot_size`	`Quantity`	Required	Rounded lot or contract lot size.
`margin_init`	`Option<Decimal>`	`0`	Initial margin rate.
`margin_maint`	`Option<Decimal>`	`0`	Maintenance margin rate.
`maker_fee`	`Option<Decimal>`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Option<Decimal>`	`0`	Taker fee rate. Negative values rebate.
`max_quantity`	`Option<Quantity>`	`None`	Maximum order quantity.
`min_quantity`	`Option<Quantity>`	`1`	Minimum order quantity.
`max_price`	`Option<Price>`	`None`	Maximum valid quote or order price.
`min_price`	`Option<Price>`	`None`	Minimum valid quote or order price.
`tick_scheme`	`Option<Ustr>`	`None`	Registered variable tick scheme name.
`info`	`Option<Params>`	`None`	Adapter metadata.
`ts_event`	`UnixNanos`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	Required	Initialization timestamp in nanoseconds.

</Tab> <Tab value="Python">

Field	Type	Required/default	Notes
`instrument_id`	`InstrumentId`	Required
`raw_symbol`	`Symbol`	Required	Native venue symbol.
`asset_class`	`AssetClass`	Required	Asset class of the underlying.
`exchange`	`str \| None`	`None`	Exchange MIC or venue code when known.
`underlying`	`str`	Required	Underlying asset, future, or index.
`option_kind`	`OptionKind`	Required	Put or call.
`strike_price`	`Price`	Required	Option strike price.
`activation_ns`	`int`	Required	Contract activation timestamp.
`expiration_ns`	`int`	Required	Contract expiration timestamp.
`currency`	`Currency`	Required	Premium quote and settlement currency.
`price_precision`	`int`	Required	Decimal places allowed for prices.
`price_increment`	`Price`	Required	Smallest valid price step.
`size_precision`	`int`	`0`	Options trade in whole contracts.
`size_increment`	`Quantity`	`1`	Minimum contract size step.
`multiplier`	`Quantity`	Required	Contract multiplier.
`lot_size`	`Quantity`	Required	Rounded lot or contract lot size.
`margin_init`	`Decimal \| None`	`0`	Initial margin rate.
`margin_maint`	`Decimal \| None`	`0`	Maintenance margin rate.
`maker_fee`	`Decimal \| None`	`0`	Maker fee rate. Negative values rebate.
`taker_fee`	`Decimal \| None`	`0`	Taker fee rate. Negative values rebate.
`max_quantity`	`Quantity \| None`	`None`	Maximum order quantity.
`min_quantity`	`Quantity \| None`	`1`	Minimum order quantity.
`max_price`	`Price \| None`	`None`	Maximum valid quote or order price.
`min_price`	`Price \| None`	`None`	Minimum valid quote or order price.
`tick_scheme`	`str \| None`	`None`	Registered variable tick scheme name.
`info`	`dict \| None`	`None`	Adapter metadata.
`ts_event`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`int`	Required	Initialization timestamp in nanoseconds.

</Tab> </Tabs>

Note: Python constructors use instrument_id; Rust stores the same value as id.

Behavior

OptionContract has instrument class Option.
It trades in whole contracts with size precision 0 and size increment 1.
The option kind and strike price define the payoff shape.
Use CryptoOption for options where the underlying and settlement are crypto currencies.

Example

rust

use chrono::{TimeZone, Utc};
use nautilus_core::UnixNanos;
use nautilus_model::{
    enums::{AssetClass, OptionKind},
    identifiers::{InstrumentId, Symbol},
    instruments::OptionContract,
    types::{Currency, Price, Quantity},
};
use ustr::Ustr;

let activation = Utc.with_ymd_and_hms(2021, 9, 17, 0, 0, 0).unwrap();
let expiration = Utc.with_ymd_and_hms(2021, 12, 17, 0, 0, 0).unwrap();

let aapl_call = OptionContract::builder()
    .instrument_id(InstrumentId::from("AAPL211217C00150000.OPRA"))
    .raw_symbol(Symbol::from("AAPL211217C00150000"))
    .asset_class(AssetClass::Equity)
    .exchange(Ustr::from("GMNI"))
    .underlying(Ustr::from("AAPL"))
    .option_kind(OptionKind::Call)
    .strike_price(Price::from("150.00"))
    .currency(Currency::from("USD"))
    .activation_ns(UnixNanos::from(activation.timestamp_nanos_opt().unwrap() as u64))
    .expiration_ns(UnixNanos::from(expiration.timestamp_nanos_opt().unwrap() as u64))
    .price_precision(2)
    .price_increment(Price::from("0.01"))
    .multiplier(Quantity::from("100"))
    .lot_size(Quantity::from("1"))
    .ts_event(UnixNanos::default())
    .ts_init(UnixNanos::default())
    .build()
    .unwrap();

python

import pandas as pd

from nautilus_trader.model import AssetClass
from nautilus_trader.model import Currency
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import OptionContract
from nautilus_trader.model import OptionKind
from nautilus_trader.model import Price
from nautilus_trader.model import Quantity
from nautilus_trader.model import Symbol

aapl_call = OptionContract(
    instrument_id=InstrumentId.from_str("AAPL211217C00150000.OPRA"),
    raw_symbol=Symbol("AAPL211217C00150000"),
    asset_class=AssetClass.EQUITY,
    underlying="AAPL",
    option_kind=OptionKind.CALL,
    strike_price=Price.from_str("150.00"),
    currency=Currency.from_str("USD"),
    activation_ns=pd.Timestamp("2021-09-17", tz="UTC").value,
    expiration_ns=pd.Timestamp("2021-12-17", tz="UTC").value,
    price_precision=2,
    price_increment=Price.from_str("0.01"),
    multiplier=Quantity.from_int(100),
    lot_size=Quantity.from_int(1),
    ts_event=0,
    ts_init=0,
    exchange="GMNI",
)

Adapters

Representative adapters that create or consume OptionContract instruments include:

Databento for listed options data.
Interactive Brokers for listed option contracts.

Options covers option data, Greeks, and chain subscriptions.
Crypto Option covers crypto option contracts.

Option Contract

Option Contract

Fields

Behavior

Example

Adapters

Related guides