wehub-resource-sync
88 lines
3.6 KiB
C#
88 lines
3.6 KiB
C#
/*
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* 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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*/
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using System;
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using System.Linq;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class IndexOptionCallButterflyAlgorithm : QCAlgorithm
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{
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private Symbol _spxw, _vxz;
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private decimal _multiplier;
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private IEnumerable<OrderTicket> _tickets = Enumerable.Empty<OrderTicket>();
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public override void Initialize()
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{
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SetStartDate(2020, 1, 1);
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SetEndDate(2021, 1, 1);
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SetCash(1000000);
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_vxz = AddEquity("VXZ", Resolution.Minute).Symbol;
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var index = AddIndex("SPX", Resolution.Minute).Symbol;
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var option = AddIndexOption(index, "SPXW", Resolution.Minute);
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option.SetFilter((x) => x.IncludeWeeklys().Strikes(-3, 3).Expiration(15, 45));
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_spxw = option.Symbol;
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_multiplier = option.SymbolProperties.ContractMultiplier;
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}
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public override void OnData(Slice slice)
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{
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// The order of magnitude per SPXW order's value is 10000 times of VXZ
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if (!Portfolio[_vxz].Invested)
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{
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MarketOrder(_vxz, 10000);
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}
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// Return if any opening index option position
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if (_tickets.Any(x => Portfolio[x.Symbol].Invested)) return;
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// Get the OptionChain
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if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
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// Get nearest expiry date
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var expiry = chain.Min(x => x.Expiry);
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// Select the call Option contracts with nearest expiry and sort by strike price
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var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call).ToList();
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if (calls.Count < 3) return;
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var sortedCallStrikes = calls.Select(x => x.Strike).OrderBy(x => x).ToArray();
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// Select ATM call
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var atmStrike = calls.MinBy(x => Math.Abs(x.Strike - chain.Underlying.Value)).Strike;
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// Get the strike prices for the ITM & OTM contracts, make sure they're in equidistance
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var spread = Math.Min(atmStrike - sortedCallStrikes[0], sortedCallStrikes[^1] - atmStrike);
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var itmStrike = atmStrike - spread;
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var otmStrike = atmStrike + spread;
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if (!sortedCallStrikes.Contains(otmStrike) || !sortedCallStrikes.Contains(itmStrike)) return;
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// Buy the call butterfly
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var callButterfly = OptionStrategies.CallButterfly(_spxw, otmStrike, atmStrike, itmStrike, expiry);
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var price = callButterfly.UnderlyingLegs.Sum(x => Math.Abs(Securities[x.Symbol].Price * x.Quantity) * _multiplier);
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if (price > 0)
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{
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var quantity = Portfolio.TotalPortfolioValue / price;
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_tickets = Buy(callButterfly, (int)Math.Floor(quantity), asynchronous: true);
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}
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}
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}
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} |