Adds python basic templates for options and futures

2017-05-10 13:32:36 +01:00
parent 4da080b0cf
commit 41e7ad047a
4 changed files with 132 additions and 88 deletions
@@ -0,0 +1,65 @@
+# 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 *
+
+
+class BasicTemplateOptionsAlgorithm(QCAlgorithm):
+    '''This example demonstrates how to add options for a given underlying equity security.
+It also shows how you can prefilter contracts easily based on strikes and expirations.
+It also shows how you can inspect the option chain to pick a specific option contract to trade.'''
+
+    def Initialize(self):
+        self.SetStartDate(2015, 12, 24)
+        self.SetEndDate(2015, 12, 24)
+        self.SetCash(100000)
+
+        equity = self.AddEquity("GOOG", Resolution.Minute)
+        option = self.AddOption("GOOG", Resolution.Minute)
+        self.symbol = option.Symbol
+
+        # set our strike/expiry filter for this option chain
+        option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180))
+        
+        # use the underlying equity as the benchmark
+        self.SetBenchmark(equity.Symbol)
+
+
+    def OnData(self,slice):
+        if self.Portfolio.Invested: return
+            
+        for kvp in slice.OptionChains:
+            if kvp.Key != self.symbol: continue
+            chain = kvp.Value
+            
+            # we sort the contracts to find at the money (ATM) contract with farthest expiration
+            contracts = sorted(sorted(chain, \
+                key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
+                key = lambda x: x.Expiry, reverse=True)
+            
+            # if found, trade it
+            if len(contracts) == 0: continue
+            symbol = contracts[0].Symbol   
+            self.MarketOrder(symbol, 1)
+            self.MarketOnCloseOrder(symbol, -1)
+
+
+    def OnOrderEvent(self, orderEvent):
+        self.Log(str(orderEvent))