wehub-resource-sync
84 lines
4.0 KiB
Python
84 lines
4.0 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
from Alphas.ConstantAlphaModel import ConstantAlphaModel
|
|
from Selection.OptionUniverseSelectionModel import OptionUniverseSelectionModel
|
|
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
|
|
from Risk.NullRiskManagementModel import NullRiskManagementModel
|
|
|
|
|
|
### <summary>
|
|
### Basic template options framework algorithm uses framework components
|
|
### to define an algorithm that trades options.
|
|
### </summary>
|
|
class BasicTemplateOptionsFrameworkAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
self.universe_settings.resolution = Resolution.MINUTE
|
|
|
|
self.set_start_date(2014, 6, 5)
|
|
self.set_end_date(2014, 6, 9)
|
|
self.set_cash(100000)
|
|
|
|
# set framework models
|
|
self.set_universe_selection(EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(self.select_option_chain_symbols))
|
|
self.set_alpha(ConstantOptionContractAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(hours = 0.5)))
|
|
self.set_portfolio_construction(SingleSharePortfolioConstructionModel())
|
|
self.set_execution(ImmediateExecutionModel())
|
|
self.set_risk_management(NullRiskManagementModel())
|
|
|
|
|
|
def select_option_chain_symbols(self, utc_time):
|
|
new_york_time = Extensions.convert_from_utc(utc_time, TimeZones.NEW_YORK)
|
|
ticker = "TWX" if new_york_time.date() < date(2014, 6, 6) else "AAPL"
|
|
return [ Symbol.create(ticker, SecurityType.OPTION, Market.USA, f"?{ticker}") ]
|
|
|
|
class EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(OptionUniverseSelectionModel):
|
|
'''Creates option chain universes that select only the earliest expiry ATM weekly put contract
|
|
and runs a user defined option_chain_symbol_selector every day to enable choosing different option chains'''
|
|
def __init__(self, select_option_chain_symbols):
|
|
super().__init__(timedelta(1), select_option_chain_symbols)
|
|
|
|
def filter(self, filter):
|
|
'''Defines the option chain universe filter'''
|
|
return (filter.strikes(+1, +1)
|
|
# Expiration method accepts timedelta objects or integer for days.
|
|
# The following statements yield the same filtering criteria
|
|
.expiration(0, 7)
|
|
# .expiration(timedelta(0), timedelta(7))
|
|
.weeklys_only()
|
|
.puts_only()
|
|
.only_apply_filter_at_market_open())
|
|
|
|
class ConstantOptionContractAlphaModel(ConstantAlphaModel):
|
|
'''Implementation of a constant alpha model that only emits insights for option symbols'''
|
|
def __init__(self, type, direction, period):
|
|
super().__init__(type, direction, period)
|
|
|
|
def should_emit_insight(self, utc_time, symbol):
|
|
# only emit alpha for option symbols and not underlying equity symbols
|
|
if symbol.security_type != SecurityType.OPTION:
|
|
return False
|
|
|
|
return super().should_emit_insight(utc_time, symbol)
|
|
|
|
class SingleSharePortfolioConstructionModel(PortfolioConstructionModel):
|
|
'''Portfolio construction model that sets target quantities to 1 for up insights and -1 for down insights'''
|
|
def create_targets(self, algorithm, insights):
|
|
targets = []
|
|
for insight in insights:
|
|
targets.append(PortfolioTarget(insight.symbol, insight.direction))
|
|
return targets
|