wehub-resource-sync
60 lines
2.6 KiB
Python
60 lines
2.6 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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### This example demonstrates how to override the option pricing model with the
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### <see cref="QLOptionPriceModel"/> for a given option security.
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### </summary>
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class QLOptionPricingModelRegressionAlgorithm(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(100000)
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equity = self.add_equity("GOOG")
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self._option = self.add_option(equity.symbol)
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self._option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180))
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# Set the option price model to the default QL model
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self._option.set_price_model(QLOptionPriceModelProvider.INSTANCE.get_option_price_model(self._option.symbol))
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if not isinstance(self._option.price_model, QLOptionPriceModel):
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raise Exception("Option pricing model was not set to QLOptionPriceModel, which should be the default")
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self._checked = False
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def on_data(self, slice):
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if self._checked:
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return;
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chain = slice.option_chains.get(self._option.symbol)
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if chain is not None:
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if not isinstance(self._option.price_model, QLOptionPriceModel):
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raise Exception("Option pricing model was not set to QLOptionPriceModel");
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for contract in chain:
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theoretical_price = contract.theoretical_price
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iv = contract.implied_volatility
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greeks = contract.greeks
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self.log(f"{contract.symbol}:: Theoretical Price: {theoretical_price}, IV: {iv}, " +
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f"Delta: {greeks.delta}, Gamma: {greeks.gamma}, Vega: {greeks.vega}, " +
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f"Theta: {greeks.theta}, Rho: {greeks.rho}, Lambda: {greeks.lambda_}")
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self._checked = True
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def on_end_of_algorithm(self):
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if not self._checked:
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raise Exception("Option chain was never received.")
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