wehub-resource-sync
50 lines
2.2 KiB
Python
50 lines
2.2 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>
|
|
### This regression algorithm verifies automatic option contract assignment behavior.
|
|
### </summary>
|
|
class OptionAssignmentRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
self.set_start_date(2015, 12, 23)
|
|
self.set_end_date(2015, 12, 28)
|
|
self.set_cash(100000)
|
|
self.stock = self.add_equity("GOOG", Resolution.MINUTE)
|
|
|
|
contracts = list(self.option_chain(self.stock.symbol))
|
|
|
|
self.put_option_symbol = sorted(
|
|
[c for c in contracts if c.id.option_right == OptionRight.PUT and c.id.strike_price == 800],
|
|
key=lambda c: c.id.date
|
|
)[0]
|
|
|
|
self.call_option_symbol = sorted(
|
|
[c for c in contracts if c.id.option_right == OptionRight.CALL and c.id.strike_price == 600],
|
|
key=lambda c: c.id.date
|
|
)[0]
|
|
|
|
self.put_option = self.add_option_contract(self.put_option_symbol)
|
|
self.call_option = self.add_option_contract(self.call_option_symbol)
|
|
|
|
def on_data(self, data):
|
|
if not self.portfolio.invested and self.stock.price != 0 and self.put_option.price != 0 and self.call_option.price != 0:
|
|
#this gets executed on start and after each auto-assignment, finally ending with expiration assignment
|
|
if self.time < self.put_option_symbol.id.date:
|
|
self.market_order(self.put_option_symbol, -1)
|
|
|
|
if self.time < self.call_option_symbol.id.date:
|
|
self.market_order(self.call_option_symbol, -1)
|