wehub-resource-sync
96 lines
3.8 KiB
C#
96 lines
3.8 KiB
C#
/*
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* 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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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm demonstrating FutureOption asset types and requesting history.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="history" />
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/// <meta name="tag" content="future option" />
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public class BasicTemplateFutureOptionAlgorithm : QCAlgorithm
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{
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private Symbol _symbol;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2022, 1, 1);
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SetEndDate(2022, 2, 1);
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SetCash(100000);
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var gold_futures = AddFuture(Futures.Metals.Gold, Resolution.Minute);
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gold_futures.SetFilter(0, 180);
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_symbol = gold_futures.Symbol;
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AddFutureOption(_symbol, universe => universe.Strikes(-5, +5)
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.CallsOnly()
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.BackMonth()
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.OnlyApplyFilterAtMarketOpen());
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// Historical Data
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var history = History(_symbol, 60, Resolution.Daily);
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Log($"Received {history.Count()} bars from {_symbol} FutureOption historical data call.");
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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// Access Data
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foreach(var kvp in slice.OptionChains)
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{
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var underlyingFutureContract = kvp.Key.Underlying;
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var chain = kvp.Value;
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if (chain.Count() == 0) continue;
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foreach(var contract in chain)
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{
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Log($@"Canonical Symbol: {kvp.Key};
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Contract: {contract};
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Right: {contract.Right};
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Expiry: {contract.Expiry};
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Bid price: {contract.BidPrice};
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Ask price: {contract.AskPrice};
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Implied Volatility: {contract.ImpliedVolatility}");
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}
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if (!Portfolio.Invested)
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{
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var atmStrike = chain.OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike)).First().Strike;
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var selectedContract = chain.Where(x => x.Strike == atmStrike).OrderByDescending(x => x.Expiry).First();
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MarketOrder(selectedContract.Symbol, 1);
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"{Time} {orderEvent.ToString()}");
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}
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}
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}
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