wehub-resource-sync
74 lines
2.9 KiB
Python
74 lines
2.9 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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### <summary>
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### This example demonstrates how to add options for a given underlying equity security.
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### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you
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### can inspect the 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="filter selection" />
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class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):
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underlying_ticker = "AAPL"
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def initialize(self):
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self.set_start_date(2015, 12, 15)
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self.set_end_date(2016, 2, 1)
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self.set_cash(100000)
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self.option_expired = False
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equity = self.add_equity(self.underlying_ticker, Resolution.DAILY)
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option = self.add_option(self.underlying_ticker, Resolution.DAILY)
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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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option.set_filter(lambda u: (u.calls_only().expiration(0, 60)))
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# use the underlying equity as the benchmark
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self.set_benchmark(equity.symbol)
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def on_data(self,slice):
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if self.portfolio.invested: 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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# Grab us the contract nearest expiry
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contracts = sorted(chain, key = lambda x: x.expiry)
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# if found, trade it
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if len(contracts) == 0: return
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symbol = contracts[0].symbol
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self.market_order(symbol, 1)
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def on_order_event(self, order_event):
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self.log(str(order_event))
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# Check for our expected OTM option expiry
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if "OTM" in order_event.message:
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# Assert it is at midnight 1/16 (5AM UTC)
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if order_event.utc_time.month != 1 and order_event.utc_time.day != 16 and order_event.utc_time.hour != 5:
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raise AssertionError(f"Expiry event was not at the correct time, {order_event.utc_time}")
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self.option_expired = True
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def on_end_of_algorithm(self):
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# Assert we had our option expire and fill a liquidation order
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if not self.option_expired:
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raise AssertionError("Algorithm did not process the option expiration like expected")
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