wehub-resource-sync
81 lines
2.9 KiB
C#
81 lines
2.9 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.Linq;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Indicators;
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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 IndexOptionIronCondorAlgorithm : QCAlgorithm
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{
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private Symbol _spxw;
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private BollingerBands _bb;
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public override void Initialize()
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{
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SetStartDate(2019, 9, 1);
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SetEndDate(2019, 11, 1);
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SetCash(100000);
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var index = AddIndex("SPX", Resolution.Minute).Symbol;
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var option = AddIndexOption(index, "SPXW", Resolution.Minute);
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option.SetFilter((x) => x.WeeklysOnly().Strikes(-5, 5).Expiration(0, 14));
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_spxw = option.Symbol;
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_bb = BB(index, 10, 2, resolution: Resolution.Daily);
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WarmUpIndicator(index, _bb);
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}
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public override void OnData(Slice slice)
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{
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if (Portfolio.Invested) return;
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// Get the OptionChain
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if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
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// Get the closest expiry date
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var expiry = chain.Min(x => x.Expiry);
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var contracts = chain.Where(x => x.Expiry == expiry).ToList();
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// Separate the call and put contracts and sort by Strike to find OTM contracts
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var calls = contracts.Where(x => x.Right == OptionRight.Call)
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.OrderByDescending(x => x.Strike).ToArray();
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var puts = contracts.Where(x => x.Right == OptionRight.Put)
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.OrderBy(x => x.Strike).ToArray();
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if (calls.Length < 3 || puts.Length < 3) return;
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// Create combo order legs
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var price = _bb.Price.Current.Value;
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var quantity = 1;
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if (price > _bb.UpperBand.Current.Value || price < _bb.LowerBand.Current.Value)
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{
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quantity = -1;
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}
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var legs = new List<Leg>
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{
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Leg.Create(calls[0].Symbol, quantity),
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Leg.Create(puts[0].Symbol, quantity),
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Leg.Create(calls[2].Symbol, -quantity),
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Leg.Create(puts[2].Symbol, -quantity),
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};
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ComboMarketOrder(legs, 10, asynchronous: true);
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}
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}
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} |