chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+#region imports
+from AlgorithmImports import *
+#endregion
+
+class IndexOptionPutButterflyAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2020, 1, 1)
+        self.set_end_date(2021, 1, 1)
+        self.set_cash(1000000)
+
+        self.vxz = self.add_equity("VXZ", Resolution.MINUTE).symbol
+
+        index = self.add_index("SPX", Resolution.MINUTE).symbol
+        option = self.add_index_option(index, "SPXW", Resolution.MINUTE)
+        option.set_filter(lambda x: x.include_weeklys().strikes(-3, 3).expiration(15, 45))
+
+        self.spxw = option.symbol
+        self.multiplier = option.symbol_properties.contract_multiplier
+        self.tickets = []
+
+    def on_data(self, slice: Slice) -> None:
+        # The order of magnitude per SPXW order's value is 10000 times of VXZ
+        if not self.portfolio[self.vxz].invested:
+            self.market_order(self.vxz, 10000)
+        
+        # Return if any opening index option position
+        if any([self.portfolio[x.symbol].invested for x in self.tickets]): return
+
+        # Get the OptionChain
+        chain = slice.option_chains.get(self.spxw)
+        if not chain: return
+
+        # Get nearest expiry date
+        expiry = min([x.expiry for x in chain])
+        
+        # Select the put Option contracts with nearest expiry and sort by strike price
+        puts = [x for x in chain if x.expiry == expiry and x.right == OptionRight.PUT]
+        if len(puts) < 3: return
+        sorted_put_strikes = sorted([x.strike for x in puts])
+
+        # Select ATM put
+        atm_strike = min([abs(x - chain.underlying.value) for x in sorted_put_strikes])
+
+        # Get the strike prices for the ITM & OTM contracts, make sure they're in equidistance
+        spread = min(atm_strike - sorted_put_strikes[0], sorted_put_strikes[-1] - atm_strike)
+        otm_strike = atm_strike - spread
+        itm_strike = atm_strike + spread
+        if otm_strike not in sorted_put_strikes or itm_strike not in sorted_put_strikes: return
+        
+        # Buy the put butterfly
+        put_butterfly = OptionStrategies.put_butterfly(self.spxw, itm_strike, atm_strike, otm_strike, expiry)
+        price = sum([abs(self.securities[x.symbol].price * x.quantity) * self.multiplier for x in put_butterfly.underlying_legs])
+        if price > 0:
+            quantity = int(self.portfolio.total_portfolio_value // price)
+            self.tickets = self.buy(put_butterfly, quantity, asynchronous=True)