wehub-resource-sync
63 lines
2.4 KiB
C#
63 lines
2.4 KiB
C#
/*
|
|
* 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.
|
|
*/
|
|
|
|
using System.Linq;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
public class IndexOptionBullPutSpreadAlgorithm : QCAlgorithm
|
|
{
|
|
private Symbol _spxw;
|
|
private IEnumerable<OrderTicket> _tickets = Enumerable.Empty<OrderTicket>();
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2019, 1, 1);
|
|
SetEndDate(2020, 1, 1);
|
|
SetCash(100000);
|
|
|
|
var index = AddIndex("SPX", Resolution.Minute).Symbol;
|
|
var option = AddIndexOption(index, "SPXW", Resolution.Minute);
|
|
option.SetFilter((x) => x.WeeklysOnly().Strikes(-10, -5).Expiration(0, 0));
|
|
|
|
_spxw = option.Symbol;
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
// Return if open position exists
|
|
if (_tickets.Any(x => Portfolio[x.Symbol].Invested)) return;
|
|
|
|
// Get the OptionChain
|
|
if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
|
|
|
|
// Get the nearest expiry date of the contracts
|
|
var expiry = chain.Min(x => x.Expiry);
|
|
|
|
// Select the put Option contracts with the nearest expiry and sort by strike price
|
|
var puts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Put)
|
|
.OrderBy(x => x.Strike).ToArray();
|
|
if (puts.Length < 2) return;
|
|
|
|
// Buy the bull put spread
|
|
var bullCallSpread = OptionStrategies.BullPutSpread(_spxw, puts[^1].Strike, puts[0].Strike, expiry);
|
|
_tickets = Buy(bullCallSpread, 1);
|
|
}
|
|
}
|
|
} |