wehub-resource-sync
85 lines
3.2 KiB
C#
85 lines
3.2 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;
|
|
using System.Linq;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
public class IndexOptionPutCalendarSpreadAlgorithm : QCAlgorithm
|
|
{
|
|
private Symbol _vixw, _vxz;
|
|
private IEnumerable<OrderTicket> _tickets = Enumerable.Empty<OrderTicket>();
|
|
private DateTime _firstExpiry = DateTime.MaxValue;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2020, 1, 1);
|
|
SetEndDate(2023, 1, 1);
|
|
SetCash(50000);
|
|
|
|
_vxz = AddEquity("VXZ", Resolution.Minute).Symbol;
|
|
|
|
var index = AddIndex("VIX", Resolution.Minute).Symbol;
|
|
var option = AddIndexOption(index, "VIXW", Resolution.Minute);
|
|
option.SetFilter((x) => x.Strikes(-2, 2).Expiration(15, 45));
|
|
_vixw = option.Symbol;
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (!Portfolio[_vxz].Invested)
|
|
{
|
|
MarketOrder(_vxz, 100);
|
|
}
|
|
|
|
var indexOptionsInvested = _tickets.Where(x => Portfolio[x.Symbol].Invested).ToList();
|
|
// Liquidate if the shorter term option is about to expire
|
|
if (_firstExpiry < Time.AddDays(2) && _tickets.All(x => slice.ContainsKey(x.Symbol)))
|
|
{
|
|
foreach (var holding in indexOptionsInvested)
|
|
{
|
|
Liquidate(holding.Symbol);
|
|
}
|
|
}
|
|
// Return if there is any opening index option position
|
|
else if (indexOptionsInvested.Count > 0)
|
|
{
|
|
return;
|
|
}
|
|
|
|
// Get the OptionChain
|
|
if (!slice.OptionChains.TryGetValue(_vixw, out var chain)) return;
|
|
|
|
// Get ATM strike price
|
|
var strike = chain.MinBy(x => Math.Abs(x.Strike - chain.Underlying.Value)).Strike;
|
|
|
|
// Select the ATM put Option contracts and sort by expiration date
|
|
var puts = chain.Where(x => x.Strike == strike && x.Right == OptionRight.Put)
|
|
.OrderBy(x => x.Expiry).ToArray();
|
|
if (puts.Length < 2) return;
|
|
_firstExpiry = puts[0].Expiry;
|
|
|
|
// Sell the put calendar spread
|
|
var putCalendarSpread = OptionStrategies.PutCalendarSpread(_vixw, strike, _firstExpiry, puts[^1].Expiry);
|
|
_tickets = Sell(putCalendarSpread, 1, asynchronous: true);
|
|
}
|
|
}
|
|
}
|