wehub-resource-sync
78 lines
3.8 KiB
Python
78 lines
3.8 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 *
|
|
|
|
### <summary>
|
|
### Example demonstrating how to access to options history for a given underlying equity security.
|
|
### </summary>
|
|
### <meta name="tag" content="using data" />
|
|
### <meta name="tag" content="options" />
|
|
### <meta name="tag" content="filter selection" />
|
|
### <meta name="tag" content="history" />
|
|
class BasicTemplateOptionsHistoryAlgorithm(QCAlgorithm):
|
|
''' This example demonstrates how to get access to options history for a given underlying equity security.'''
|
|
|
|
def initialize(self):
|
|
# this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
|
|
self.set_start_date(2015, 12, 24)
|
|
self.set_end_date(2015, 12, 24)
|
|
self.set_cash(1000000)
|
|
|
|
option = self.add_option("GOOG")
|
|
# add the initial contract filter
|
|
# SetFilter method accepts timedelta objects or integer for days.
|
|
# The following statements yield the same filtering criteria
|
|
option.set_filter(-2, +2, 0, 180)
|
|
# option.set_filter(-2,2, timedelta(0), timedelta(180))
|
|
|
|
# set the pricing model for Greeks and volatility
|
|
# find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
|
|
option.price_model = OptionPriceModels.black_scholes()
|
|
# set the warm-up period for the pricing model
|
|
self.set_warm_up(TimeSpan.from_days(4))
|
|
# set the benchmark to be the initial cash
|
|
self.set_benchmark(lambda x: 1000000)
|
|
|
|
def on_data(self,slice):
|
|
if self.is_warming_up: return
|
|
if not self.portfolio.invested:
|
|
for chain in slice.option_chains:
|
|
volatility = self.securities[chain.key.underlying].volatility_model.volatility
|
|
for contract in chain.value:
|
|
self.log("{0},Bid={1} Ask={2} Last={3} OI={4} sigma={5:.3f} NPV={6:.3f} \
|
|
delta={7:.3f} gamma={8:.3f} vega={9:.3f} beta={10:.2f} theta={11:.2f} IV={12:.2f}".format(
|
|
contract.symbol.value,
|
|
contract.bid_price,
|
|
contract.ask_price,
|
|
contract.last_price,
|
|
contract.open_interest,
|
|
volatility,
|
|
contract.theoretical_price,
|
|
contract.greeks.delta,
|
|
contract.greeks.gamma,
|
|
contract.greeks.vega,
|
|
contract.greeks.rho,
|
|
contract.greeks.theta / 365,
|
|
contract.implied_volatility))
|
|
|
|
def on_securities_changed(self, changes):
|
|
for change in changes.added_securities:
|
|
# only print options price
|
|
if change.symbol.value == "GOOG": return
|
|
history = self.history(change.symbol, 10, Resolution.MINUTE).sort_index(level='time', ascending=False)[:3]
|
|
for index, row in history.iterrows():
|
|
self.log("History: " + str(index[3])
|
|
+ ": " + index[4].strftime("%m/%d/%Y %I:%M:%S %p")
|
|
+ " > " + str(row.close))
|