wehub-resource-sync
24 lines
1.0 KiB
Python
24 lines
1.0 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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class EmptySPXOptionChainBenchmark(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2018, 1, 1)
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self.set_end_date(2020, 6, 1)
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self._index = self.add_index("SPX")
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option = self.add_option(self._index)
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option.set_filter(lambda u: u.include_weeklys().strikes(-30, 30).expiration(0, 7))
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