wehub-resource-sync
106 lines
4.7 KiB
C#
106 lines
4.7 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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*/
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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.Data.UniverseSelection;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example demonstrating how to access to options history for a given underlying equity security.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="filter selection" />
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/// <meta name="tag" content="history" />
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public class BasicTemplateOptionsHistoryAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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// this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(1000000);
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var option = AddOption("GOOG");
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// add the initial contract filter
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// SetFilter method accepts TimeSpan objects or integer for days.
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// The following statements yield the same filtering criteria
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option.SetFilter(-2, +2, 0, 180);
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// option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
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// set the pricing model for Greeks and volatility
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// find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
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option.PriceModel = OptionPriceModels.BlackScholes();
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// set the warm-up period for the pricing model
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SetWarmup(TimeSpan.FromDays(4));
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// set the benchmark to be the initial cash
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SetBenchmark(d => 1000000);
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (IsWarmingUp) return;
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if (!Portfolio.Invested)
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{
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foreach (var chain in slice.OptionChains)
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{
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var underlying = Securities[chain.Key.Underlying];
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foreach (var contract in chain.Value)
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{
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Log($"{contract.Symbol.Value}," +
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$"Bid={contract.BidPrice.ToStringInvariant()} " +
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$"Ask={contract.AskPrice.ToStringInvariant()} " +
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$"Last={contract.LastPrice.ToStringInvariant()} " +
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$"OI={contract.OpenInterest.ToStringInvariant()} " +
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$"σ={underlying.VolatilityModel.Volatility.ToStringInvariant("0.000")} " +
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$"NPV={contract.TheoreticalPrice.ToStringInvariant("0.000")} " +
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$"Δ={contract.Greeks.Delta.ToStringInvariant("0.000")} " +
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$"Γ={contract.Greeks.Gamma.ToStringInvariant("0.000")} " +
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$"ν={contract.Greeks.Vega.ToStringInvariant("0.000")} " +
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$"ρ={contract.Greeks.Rho.ToStringInvariant("0.00")} " +
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$"Θ={(contract.Greeks.Theta / 365.0m).ToStringInvariant("0.00")} " +
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$"IV={contract.ImpliedVolatility.ToStringInvariant("0.000")}"
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);
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}
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}
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var change in changes.AddedSecurities)
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{
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// Only print options price
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if (change.Symbol.Value == "GOOG") continue;
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var history = History(change.Symbol, 10, Resolution.Minute);
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foreach (var data in history.OrderByDescending(x => x.Time).Take(3))
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{
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Log($"History: {data.Symbol.Value}: {data.Time} > {data.Close}");
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}
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}
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}
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}
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}
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