wehub-resource-sync
55 lines
1.9 KiB
Python
55 lines
1.9 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 BasicTemplateIndexAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2021, 1, 4)
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self.set_end_date(2021, 1, 18)
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self.set_cash(1000000)
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# Use indicator for signal; but it cannot be traded
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self.spx = self.add_index("SPX", Resolution.MINUTE).symbol
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# Trade on SPX ITM calls
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self.spx_option = Symbol.create_option(
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self.spx,
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Market.USA,
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OptionStyle.EUROPEAN,
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OptionRight.CALL,
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3200,
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datetime(2021, 1, 15)
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)
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self.add_index_option_contract(self.spx_option, Resolution.MINUTE)
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self.ema_slow = self.ema(self.spx, 80)
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self.ema_fast = self.ema(self.spx, 200)
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def on_data(self, data: Slice):
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if self.spx not in data.bars or self.spx_option not in data.bars:
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return
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if not self.ema_slow.is_ready:
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return
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if self.ema_fast > self.ema_slow:
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self.set_holdings(self.spx_option, 1)
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else:
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self.liquidate()
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def on_end_of_algorithm(self) -> None:
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if self.portfolio[self.spx].total_sale_volume > 0:
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raise AssertionError("Index is not tradable.")
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