wehub-resource-sync
72 lines
3.6 KiB
Python
72 lines
3.6 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
import itertools
|
|
from AlgorithmImports import *
|
|
|
|
from OptionStrategyFactoryMethodsBaseAlgorithm import *
|
|
|
|
### <summary>
|
|
### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
|
|
### In this case, the algorithm tests the Straddle and Short Straddle strategies.
|
|
### </summary>
|
|
class LongAndShortStraddleStrategiesAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
|
|
|
|
def expected_orders_count(self) -> int:
|
|
return 4
|
|
|
|
def trade_strategy(self, chain: OptionChain, option_symbol: Symbol):
|
|
contracts = sorted(sorted(chain, key=lambda x: abs(chain.underlying.price - x.strike)),
|
|
key=lambda x: x.expiry, reverse=True)
|
|
grouped_contracts = [list(group) for _, group in itertools.groupby(contracts, lambda x: (x.strike, x.expiry))]
|
|
filtered_grouped_contracts = (group
|
|
for group in grouped_contracts
|
|
if (any(contract.right == OptionRight.CALL for contract in group) and
|
|
any(contract.right == OptionRight.PUT for contract in group)))
|
|
contracts = next(filtered_grouped_contracts, [])
|
|
|
|
if len(contracts) == 0:
|
|
return
|
|
|
|
contract = contracts[0]
|
|
if contract is not None:
|
|
self._straddle = OptionStrategies.straddle(option_symbol, contract.strike, contract.expiry)
|
|
self._short_straddle = OptionStrategies.short_straddle(option_symbol, contract.strike, contract.expiry)
|
|
self.buy(self._straddle, 2)
|
|
|
|
def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol):
|
|
positions = list(position_group.positions)
|
|
if len(positions) != 2:
|
|
raise AssertionError(f"Expected position group to have 2 positions. Actual: {len(positions)}")
|
|
|
|
call_position = next((position for position in positions if position.symbol.id.option_right == OptionRight.CALL), None)
|
|
if call_position is None:
|
|
raise AssertionError("Expected position group to have a call position")
|
|
|
|
put_position = next((position for position in positions if position.symbol.id.option_right == OptionRight.PUT), None)
|
|
if put_position is None:
|
|
raise AssertionError("Expected position group to have a put position")
|
|
|
|
expected_call_position_quantity = 2
|
|
expected_put_position_quantity = 2
|
|
|
|
if call_position.quantity != expected_call_position_quantity:
|
|
raise AssertionError(f"Expected call position quantity to be {expected_call_position_quantity}. Actual: {call_position.quantity}")
|
|
|
|
if put_position.quantity != expected_put_position_quantity:
|
|
raise AssertionError(f"Expected put position quantity to be {expected_put_position_quantity}. Actual: {put_position.quantity}")
|
|
|
|
def liquidate_strategy(self):
|
|
# We should be able to close the position using the inverse strategy (a short straddle)
|
|
self.buy(self._short_straddle, 2)
|