chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add options for a given underlying equity security. It also
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/// shows how you can prefilter contracts easily based on strikes and expirations, and how you
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/// can inspect the option chain to pick a specific option contract to trade.
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/// </summary>
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/// <meta name="tag" content="using data"/>
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/// <meta name="tag" content="options"/>
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/// <meta name="tag" content="filter selection"/>
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public class SamcoBasicTemplateOptionsAlgorithm : QCAlgorithm
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{
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private const string UnderlyingTicker = "NIFTY";
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private Symbol _optionSymbol;
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public override void Initialize()
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{
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SetTimeZone(TimeZones.Kolkata);
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SetBrokerageModel(BrokerageName.Samco, AccountType.Margin);
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SetAccountCurrency(Currencies.INR);
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var equity = AddEquity(UnderlyingTicker, market: Market.India);
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var option = AddOption(equity.Symbol, market: Market.India);
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_optionSymbol = option.Symbol;
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// set our strike/expiry filter for this option chain
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option.SetFilter(u => u.Strikes(-2, +2)
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// Expiration method accepts TimeSpan objects or integer for
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// days. The following statements yield the same filtering criteria
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.Expiration(0, 180));
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// .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for
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/// receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested && IsMarketOpen(_optionSymbol))
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{
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
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{
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// we find at the money (ATM) put contract with farthest expiration
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var atmContract = chain
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.OrderByDescending(x => x.Expiry)
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.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
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.ThenByDescending(x => x.Right)
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.FirstOrDefault();
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if (atmContract != null)
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{
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// if found, trade it
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MarketOrder(atmContract.Symbol, 1);
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MarketOnCloseOrder(atmContract.Symbol, -1);
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}
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}
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to
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/// this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the events</param>
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/// <remarks>
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/// This method can be called asynchronously and so should only be used by seasoned C#
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/// experts. Ensure you use proper locks on thread-unsafe objects
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/// </remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean
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/// repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = false;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is
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/// written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp };
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are
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/// from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$2.00"},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "0"},
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{"Return Over Maximum Drawdown", "0"},
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{"Portfolio Turnover", "0"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "1130102123"}
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};
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}
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}
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