wehub-resource-sync
51 lines
2.4 KiB
Python
51 lines
2.4 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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### Regression algorithm asserting the behavior of specifying a null position group allowing us to fill orders which would be invalid if not
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### </summary>
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class NullMarginMultipleOrdersRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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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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self.set_cash(10000)
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# override security position group model
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self.portfolio.set_positions(SecurityPositionGroupModel.NULL)
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# override margin requirements
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self.set_security_initializer(lambda security: security.set_buying_power_model(ConstantBuyingPowerModel(1)))
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equity = self.add_equity("GOOG", leverage=4, fill_forward=True)
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option = self.add_option(equity.symbol, fill_forward=True)
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self._option_symbol = option.symbol
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option.set_filter(lambda u: u.standards_only().strikes(-2, +2).expiration(0, 180))
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def on_data(self, data: Slice):
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if not self.portfolio.invested:
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if self.is_market_open(self._option_symbol):
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chain = data.option_chains.get(self._option_symbol)
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if chain:
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call_contracts = [contract for contract in chain if contract.right == OptionRight.CALL]
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call_contracts.sort(key=lambda x: (x.expiry, 1/ x.strike), reverse=True)
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option_contract = call_contracts[0]
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self.market_order(option_contract.symbol.underlying, 1000)
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self.market_order(option_contract.symbol, -10)
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if self.portfolio.total_margin_used != 1010:
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raise ValueError(f"Unexpected margin used {self.portfolio.total_margin_used}")
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