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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class IndexOptionPutCalendarSpreadAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 1, 1)
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self.set_end_date(2023, 1, 1)
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self.set_cash(50000)
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self.vxz = self.add_equity("VXZ", Resolution.MINUTE).symbol
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index = self.add_index("VIX", Resolution.MINUTE).symbol
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option = self.add_index_option(index, "VIXW", Resolution.MINUTE)
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option.set_filter(lambda x: x.strikes(-2, 2).expiration(15, 45))
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self.vixw = option.symbol
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self.tickets = []
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self.expiry = datetime.max
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def on_data(self, slice: Slice) -> None:
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if not self.portfolio[self.vxz].invested:
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self.market_order(self.vxz, 100)
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index_options_invested = [leg for leg in self.tickets if self.portfolio[leg.symbol].invested]
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# Liquidate if the shorter term option is about to expire
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if self.expiry < self.time + timedelta(2) and all([slice.contains_key(x.symbol) for x in self.tickets]):
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for holding in index_options_invested:
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self.liquidate(holding.symbol)
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# Return if there is any opening index option position
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elif index_options_invested:
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return
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# Get the OptionChain
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chain = slice.option_chains.get(self.vixw)
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if not chain: return
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# Get ATM strike price
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strike = sorted(chain, key = lambda x: abs(x.strike - chain.underlying.value))[0].strike
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# Select the ATM put Option contracts and sort by expiration date
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puts = sorted([i for i in chain if i.strike == strike and i.right == OptionRight.PUT],
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key=lambda x: x.expiry)
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if len(puts) < 2: return
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self.expiry = puts[0].expiry
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# Sell the put calendar spread
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put_calendar_spread = OptionStrategies.put_calendar_spread(self.vixw, strike, self.expiry, puts[-1].expiry)
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self.tickets = self.sell(put_calendar_spread, 1, asynchronous=True) |