wehub-resource-sync
63 lines
2.7 KiB
Python
63 lines
2.7 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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### <summary>
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### This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.STRADDLE) helper classes to batch send orders for common strategies.
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### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the
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### option chain to pick a specific option contract to trade.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="options" />
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### <meta name="tag" content="option strategies" />
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### <meta name="tag" content="filter selection" />
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class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):
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def initialize(self):
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# Set the cash we'd like to use for our backtest
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self.set_cash(1000000)
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# Start and end dates for the backtest.
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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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# Add assets you'd like to see
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option = self.add_option("GOOG")
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self.option_symbol = option.symbol
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# set our strike/expiry filter for this option chain
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# SetFilter method accepts timedelta objects or integer for days.
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# The following statements yield the same filtering criteria
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option.set_filter(lambda u: (u.standards_only().strikes(-2, +2).expiration(0, 180)))
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# use the underlying equity as the benchmark
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self.set_benchmark("GOOG")
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def on_data(self,slice):
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if not self.portfolio.invested:
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for kvp in slice.option_chains:
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chain = kvp.value
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contracts = sorted(sorted(chain, key = lambda x: abs(chain.underlying.price - x.strike)),
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key = lambda x: x.expiry, reverse=False)
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if len(contracts) == 0: continue
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atm_straddle = contracts[0]
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if atm_straddle != None:
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self.sell(OptionStrategies.straddle(self.option_symbol, atm_straddle.strike, atm_straddle.expiry), 2)
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else:
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self.liquidate()
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def on_order_event(self, order_event):
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self.log(str(order_event))
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