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Derivatives: Number of days until the expiration date

by QuantShare, 777 days ago
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This function calculates the number of days until a contract expires. It works with all symbols that have a date in the 'Expiration Date' field. I am using it with these US options symbols (US Options symbols A-M, US Options symbols N-Z).

The function takes no arguments and it just uses the date it finds in the 'Expiration Date' field and calculates the number of days until the current security contract expires (for example, derivatives like futures or options). The 'Expiration Date' format must be of as follows 'Month/Day/Year', but if you have a different format, you can easily update the code so it can parse that format.

In the 'Custom function' plug-in, select this function and then update the following lines:
string[] temp = cFunctions.SymbolInfo.ExpirationData.Split('/');
int year = Convert.ToInt32(temp[2]);
int month = Convert.ToInt32(temp[0]);
int day = Convert.ToInt32(temp[1]);

The 'Expiration Date' field data is first split and then each part is converted and associated to the year, month or the day variable.

Using this function and the options database, you can for example create a watchlist that displays only options contracts that expire in a period of time between 10 and 30 days:
filter = GetTimeToExpiration() > 10 && GetTimeToExpiration() < 30;


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Type: Trading Indicator

Object ID: 311


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Market: Options Market

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