Add basic template algorithm for Cfd and FutureOption (#6454)

2022-07-01 23:20:45 +08:00
parent 506e3a1c2c
commit 30e47f3e8b
4 changed files with 291 additions and 0 deletions
@@ -0,0 +1,71 @@
+# 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 AlgorithmImports import *
+
+### <summary>
+### The demonstration algorithm shows some of the most common order methods when working with FutureOption assets.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="using quantconnect" />
+### <meta name="tag" content="trading and orders" />
+
+class BasicTemplateFutureOptionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        self.SetStartDate(2022, 1, 1)
+        self.SetEndDate(2022, 2, 1)
+        self.SetCash(100000)
+
+        gold_futures = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
+        gold_futures.SetFilter(0, 180)
+        self.symbol = gold_futures.Symbol
+        self.AddFutureOption(self.symbol, lambda universe: universe.Strikes(-5, +5)
+                                                                    .CallsOnly()
+                                                                    .BackMonth()
+                                                                    .OnlyApplyFilterAtMarketOpen())
+
+        # Historical Data
+        history = self.History(self.symbol, 60, Resolution.Daily)
+        self.Log(f"Received {len(history)} bars from {self.symbol} FutureOption historical data call.")
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        Arguments:
+            slice: Slice object keyed by symbol containing the stock data
+        '''
+        # Access Data
+        for kvp in data.OptionChains:
+            underlying_future_contract = kvp.Key.Underlying
+            chain = kvp.Value
+
+            if not chain: continue
+
+            for contract in chain:
+                self.Log(f"""Canonical Symbol: {kvp.Key}; 
+                    Contract: {contract}; 
+                    Right: {contract.Right}; 
+                    Expiry: {contract.Expiry}; 
+                    Bid price: {contract.BidPrice}; 
+                    Ask price: {contract.AskPrice}; 
+                    Implied Volatility: {contract.ImpliedVolatility}""")
+
+            if not self.Portfolio.Invested:
+                atm_strike = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0].Strike
+                selected_contract = sorted([contract for contract in chain if contract.Strike == atm_strike], \
+                           key = lambda x: x.Expiry, reverse=True)[0]
+                self.MarketOrder(selected_contract.Symbol, 1)
+
+    def OnOrderEvent(self, orderEvent):
+        self.Debug("{} {}".format(self.Time, orderEvent.ToString()))