wehub-resource-sync
61 lines
2.6 KiB
Python
61 lines
2.6 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### This example demonstrates how to add options for a given underlying equity security.
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### It also shows how you can prefilter contracts easily based on strikes and expirations.
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### It also shows how you can inspect the option chain to pick a specific option contract to trade.
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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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class BasicTemplateOptionTradesAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2015, 12, 24)
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self.set_end_date(2015, 12, 24)
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self.set_cash(100000)
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option = self.add_option("GOOG")
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# add the initial contract filter
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# SetFilter method accepts timedelta objects or integer for days.
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# The following statements yield the same filtering criteria
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option.set_filter(-2, +2, 0, 10)
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# option.set_filter(-2, +2, timedelta(0), timedelta(10))
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# use the underlying equity as the benchmark
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self.set_benchmark("GOOG")
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def on_data(self,slice):
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if not self.portfolio.invested:
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for kvp in slice.option_chains:
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chain = kvp.value
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# find the second call strike under market price expiring today
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contracts = sorted(sorted(chain, key = lambda x: abs(chain.underlying.price - x.strike)),
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key = lambda x: x.expiry, reverse=False)
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if len(contracts) == 0: continue
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if contracts[0] != None:
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self.market_order(contracts[0].symbol, 1)
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else:
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self.liquidate()
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for kpv in slice.bars:
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self.log("---> OnData: {0}, {1}, {2}".format(self.time, kpv.key.value, str(kpv.value.close)))
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def on_order_event(self, order_event):
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self.log(str(order_event))
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