wehub-resource-sync
41 lines
1.7 KiB
Python
41 lines
1.7 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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from OptionAssignmentRegressionAlgorithm import *
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### <summary>
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### Regression algorithm asserting we can specify a custom option assignment
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### </summary>
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class CustomOptionAssignmentRegressionAlgorithm(OptionAssignmentRegressionAlgorithm):
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def initialize(self):
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self.set_security_initializer(self.custom_security_initializer)
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super().initialize()
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def custom_security_initializer(self, security):
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if Extensions.is_option(security.symbol.security_type):
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# we have to be 10% in the money to get assigned
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security.set_option_assignment_model(PyCustomOptionAssignmentModel(0.1))
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def on_data(self, data):
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super().on_data(data)
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class PyCustomOptionAssignmentModel(DefaultOptionAssignmentModel):
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def __init__(self, required_in_the_money_percent):
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super().__init__(required_in_the_money_percent)
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def get_assignment(self, parameters):
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result = super().get_assignment(parameters)
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result.tag = "Custom Option Assignment"
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return result
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