wehub-resource-sync
92 lines
3.4 KiB
C#
92 lines
3.4 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 System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class IndexOptionCallCalendarSpreadAlgorithm : QCAlgorithm
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{
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private Symbol _vixw, _vxz, _spy;
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private decimal _multiplier;
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private List<Leg> _legs = new();
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private DateTime _firstExpiry = DateTime.MaxValue;
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public override void Initialize()
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{
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SetStartDate(2020, 1, 1);
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SetEndDate(2021, 1, 1);
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SetCash(50000);
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_vxz = AddEquity("VXZ", Resolution.Minute).Symbol;
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_spy = AddEquity("SPY", Resolution.Minute).Symbol;
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var index = AddIndex("VIX", Resolution.Minute).Symbol;
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var option = AddIndexOption(index, "VIXW", Resolution.Minute);
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option.SetFilter((x) => x.Strikes(-2, 2).Expiration(15, 45));
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_vixw = option.Symbol;
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_multiplier = option.SymbolProperties.ContractMultiplier;
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}
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public override void OnData(Slice slice)
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{
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// Liquidate if the shorter term option is about to expire
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if (_firstExpiry < Time.AddDays(2) && _legs.All(x => slice.ContainsKey(x.Symbol)))
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{
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Liquidate();
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}
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// Return if there is any opening position
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else if (_legs.Any(x => Portfolio[x.Symbol].Invested))
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{
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return;
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}
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// Get the OptionChain
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if (!slice.OptionChains.TryGetValue(_vixw, out var chain)) return;
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// Get ATM strike price
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var strike = chain.MinBy(x => Math.Abs(x.Strike - chain.Underlying.Value)).Strike;
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// Select the ATM call Option contracts and sort by expiration date
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var calls = chain.Where(x => x.Strike == strike && x.Right == OptionRight.Call)
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.OrderBy(x => x.Expiry).ToArray();
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if (calls.Length < 2) return;
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_firstExpiry = calls[0].Expiry;
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// Create combo order legs
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_legs = new List<Leg>
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{
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Leg.Create(calls[0].Symbol, -1),
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Leg.Create(calls[^1].Symbol, 1),
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Leg.Create(_vxz, -100),
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Leg.Create(_spy, -10)
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};
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var quantity = Portfolio.TotalPortfolioValue / _legs.Sum(x =>
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{
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var value = Math.Abs(Securities[x.Symbol].Price * x.Quantity);
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return x.Symbol.ID.SecurityType == SecurityType.IndexOption
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? value * _multiplier
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: value;
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});
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ComboMarketOrder(_legs, -(int)Math.Floor(quantity), asynchronous: true);
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}
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}
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}
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