wehub-resource-sync
63 lines
2.5 KiB
Python
63 lines
2.5 KiB
Python
# 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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#region imports
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from AlgorithmImports import *
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#endregion
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class IndexOptionIronCondorAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2019, 9, 1)
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self.set_end_date(2019, 11, 1)
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self.set_cash(100000)
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index = self.add_index("SPX", Resolution.MINUTE).symbol
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option = self.add_index_option(index, "SPXW", Resolution.MINUTE)
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option.set_filter(lambda x: x.weeklys_only().strikes(-5, 5).expiration(0, 14))
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self.spxw = option.symbol
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self._bb = self.bb(index, 10, 2, resolution=Resolution.DAILY)
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self.warm_up_indicator(index, self._bb)
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def on_data(self, slice: Slice) -> None:
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if self.portfolio.invested: return
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# Get the OptionChain
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chain = slice.option_chains.get(self.spxw)
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if not chain: return
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# Get the closest expiry date
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expiry = min([x.expiry for x in chain])
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contracts = [x for x in chain if x.expiry == expiry]
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# Separate the call and put contracts and sort by Strike to find OTM contracts
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calls = sorted([x for x in contracts if x.right == OptionRight.CALL], key=lambda x: x.strike, reverse=True)
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puts = sorted([x for x in contracts if x.right == OptionRight.PUT], key=lambda x: x.strike)
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if len(calls) < 3 or len(puts) < 3: return
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# Create combo order legs
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price = self._bb.price.current.value
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quantity = 1
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if price > self._bb.upper_band.current.value or price < self._bb.lower_band.current.value:
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quantity = -1
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legs = [
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Leg.create(calls[0].symbol, quantity),
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Leg.create(puts[0].symbol, quantity),
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Leg.create(calls[2].symbol, -quantity),
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Leg.create(puts[2].symbol, -quantity)
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]
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self.combo_market_order(legs, 10, asynchronous=True)
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