wehub-resource-sync
79 lines
2.8 KiB
Python
79 lines
2.8 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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### Regression algorithm to test the creation and usage of a custom option price model
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### </summary>
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class CustomOptionPriceModelRegressionAlgorithm(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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self._option_symbol = option.symbol
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option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
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self._option_price_model = CustomOptionPriceModel()
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option.set_price_model(self._option_price_model)
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def on_data(self, slice):
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if self.portfolio.invested:
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return
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chain = slice.option_chains.get(self._option_symbol)
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if not chain:
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return
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contracts = sorted(sorted(sorted(chain, \
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key = lambda x: abs(chain.underlying.price - x.strike)), \
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key = lambda x: x.expiry, reverse=True), \
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key = lambda x: x.right, reverse=True)
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if len(contracts) == 0:
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return
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if (contracts[0].theoretical_price > 0):
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self.market_order(contracts[0].symbol, 1)
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def on_end_of_algorithm(self):
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if self._option_price_model.evaluation_count == 0:
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raise RegressionTestException("CustomOptionPriceModel.Evaluate() was never called")
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class CustomOptionPriceModel():
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def __init__(self):
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self.evaluation_count = 0
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def evaluate(self, parameters):
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self.evaluation_count += 1
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contract = parameters.contract
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underlying = contract.underlying_last_price
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strike = contract.strike
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greeks = Greeks(0.5, 0.2, 0.15, 0.05, 0.1, 2.0)
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if contract.right == OptionRight.CALL:
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intrinsic = max(0, underlying - strike)
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else:
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intrinsic = max(0, strike - underlying)
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# Delta and Rho are negative for a put
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greeks.delta *= -1
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greeks.rho *= -1
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theoretical_price = intrinsic + 1.0
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implied_volatility = 0.2
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return OptionPriceModelResult(theoretical_price, implied_volatility, greeks)
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