wehub-resource-sync
69 lines
2.8 KiB
Python
69 lines
2.8 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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from AlgorithmImports import *
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### <summary>
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### Shows how setting to use the SecurityMarginModel.null (or BuyingPowerModel.NULL)
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### to disable the sufficient margin call verification.
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### See also: <see cref="OptionEquityBullCallSpreadRegressionAlgorithm"/>
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### </summary>
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### <meta name="tag" content="reality model" />
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class NullBuyingPowerOptionBullCallSpreadAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2015, 12, 24)
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self.set_end_date(2015, 12, 24)
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self.set_cash(200000)
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self.set_security_initializer(lambda security: security.set_margin_model(SecurityMarginModel.NULL))
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self.portfolio.set_positions(SecurityPositionGroupModel.NULL)
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equity = self.add_equity("GOOG")
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option = self.add_option(equity.symbol)
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self.option_symbol = option.symbol
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option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
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def on_data(self, slice):
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if self.portfolio.invested or not self.is_market_open(self.option_symbol):
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return
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chain = slice.option_chains.get(self.option_symbol)
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if chain:
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call_contracts = [x for x in chain if x.right == OptionRight.CALL]
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expiry = min(x.expiry for x in call_contracts)
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call_contracts = sorted([x for x in call_contracts if x.expiry == expiry],
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key = lambda x: x.strike)
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long_call = call_contracts[0]
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short_call = [x for x in call_contracts if x.strike > long_call.strike][0]
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quantity = 1000
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tickets = [
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self.market_order(short_call.symbol, -quantity),
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self.market_order(long_call.symbol, quantity)
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]
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for ticket in tickets:
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if ticket.status != OrderStatus.FILLED:
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raise AssertionError(f"There should be no restriction on buying {ticket.quantity} of {ticket.symbol} with BuyingPowerModel.NULL")
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def on_end_of_algorithm(self) -> None:
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if self.portfolio.total_margin_used != 0:
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raise AssertionError("The TotalMarginUsed should be zero to avoid margin calls.")
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