added options history algorithm

2017-09-15 18:11:09 -04:00
parent 3a08b4f4ae
commit 1c0793e649
1 changed files with 74 additions and 10 deletions
@@ -1,10 +1,74 @@
-using System;
-namespace QuantConnect.Algorithm.Python
-{
-	public class BasicTemplateOptionsHistoryAlgorithm
-	{
-		public BasicTemplateOptionsHistoryAlgorithm()
-		{
-		}
-	}
-}
+# 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.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from datetime import timedelta
+
+class BasicTemplateOptionsHistoryAlgorithm(QCAlgorithm):
+    ''' This example demonstrates how to get access to options history for a given underlying equity security.'''
+
+    def Initialize(self):
+        # this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
+        self.SetStartDate(2015, 11, 24)
+        self.SetEndDate(2016, 12, 24)
+        self.SetCash(1000000)
+        
+        equity = self.AddEquity("GOOG")
+        option = self.AddOption("GOOG")
+        self.underlying = option.Symbol
+        
+        equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
+        
+        option.SetFilter(-2,2, timedelta(0), timedelta(180))
+        self.SetBenchmark(equity.Symbol)
+
+    def OnData(self,slice):
+        if not self.Portfolio.Invested:
+            for chain in slice.OptionChains:
+                for contract in chain.Value:
+                    self.Log("{0},Bid={1} Ask={2} Last={3} OI={4} OI={4} sigma={5:0.000} NPV={6:0.000} delta={7:0.000} gamma={8:0.000} vega={9:0.000} beta={10:0.00} theta={11:0.00} IV={12:0.000}".format(
+                    contract.Symbol.Value,
+                    contract.BidPrice,
+                    contract.AskPrice,
+                    contract.LastPrice,
+                    contract.OpenInterest,
+                    self.underlying.VolatilityModel.Volatility,
+                    contract.TheoreticalPrice,
+                    contract.Greeks.Delta,
+                    contract.Greeks.Gamma,
+                    contract.Greeks.Vega,
+                    contract.Greeks.Rho,
+                    contract.Greeks.Theta / 365.0,
+                    contract.ImpliedVolatility))
+
+    def OnOrderEvent(self, orderEvent):
+        # Order fill event handler. On an order fill update the resulting information is passed to this method.
+        # Order event details containing details of the events
+        self.Log(str(orderEvent))
+
+    def OnSecuritiesChanged(self, changes):
+        if changes == SecurityChanges.None: return
+        for change in changes.AddedSecurities:
+            history = self.History(change.Symbol, 10, Resolution.Minute)
+            history = history.sortlevel(['time'], ascending=False)[:3]
+
+            self.Log("History: " + str(history.index.get_level_values('symbol').values[0])
+                        + ": " + str(history.index.get_level_values('time').values[0])
+                        + " > " + str(history['close'].values))