wehub-resource-sync
77 lines
4.0 KiB
Python
77 lines
4.0 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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import itertools
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from AlgorithmImports import *
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from OptionStrategyFactoryMethodsBaseAlgorithm import *
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### <summary>
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### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
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### In this case, the algorithm tests the Strangle and Short Strangle strategies.
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### </summary>
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class LongAndShortStrangleStrategiesAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
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def expected_orders_count(self) -> int:
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return 4
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def trade_strategy(self, chain: OptionChain, option_symbol: Symbol):
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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=True)
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grouped_contracts = (list(group) for _, group in itertools.groupby(contracts, lambda x: x.expiry))
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call_contract = None
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put_contract = None
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for group in grouped_contracts:
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call_contracts = sorted((contract for contract in group if contract.right == OptionRight.CALL),
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key=lambda x: x.strike, reverse=True)
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put_contracts = sorted((contract for contract in group if contract.right == OptionRight.PUT),
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key=lambda x: x.strike)
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if len(call_contracts) > 0 and len(put_contracts) > 0 and call_contracts[0].strike > put_contracts[0].strike:
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call_contract = call_contracts[0]
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put_contract = put_contracts[0]
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break
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if call_contract is not None and put_contract is not None:
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self._strangle = OptionStrategies.strangle(option_symbol, call_contract.strike, put_contract.strike, call_contract.expiry)
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self._short_strangle = OptionStrategies.short_strangle(option_symbol, call_contract.strike, put_contract.strike,
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call_contract.expiry)
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self.buy(self._strangle, 2)
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def assert_strategy_position_group(self, position_group: IPositionGroup, option_symbol: Symbol):
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positions = list(position_group.positions)
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if len(positions) != 2:
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raise AssertionError(f"Expected position group to have 2 positions. Actual: {len(positions)}")
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call_position = next((position for position in positions if position.symbol.id.option_right == OptionRight.CALL), None)
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if call_position is None:
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raise AssertionError("Expected position group to have a call position")
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put_position = next((position for position in positions if position.symbol.id.option_right == OptionRight.PUT), None)
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if put_position is None:
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raise AssertionError("Expected position group to have a put position")
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expected_call_position_quantity = 2
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expected_put_position_quantity = 2
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if call_position.quantity != expected_call_position_quantity:
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raise AssertionError(f"Expected call position quantity to be {expected_call_position_quantity}. Actual: {call_position.quantity}")
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if put_position.quantity != expected_put_position_quantity:
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raise AssertionError(f"Expected put position quantity to be {expected_put_position_quantity}. Actual: {put_position.quantity}")
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def liquidate_strategy(self):
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# We should be able to close the position using the inverse strategy (a short strangle)
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self.buy(self._short_strangle, 2)
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