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Merge pull request #1946 from jingwu74/master

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Fix issue of no traded options in OptionChainProviderAlgorithm
This commit is contained in:
Michael
2018-05-02 20:36:55 -04:00
committed by GitHub
parent 0488739f43 0fd08aefe6
commit 4eb896bbee
3 changed files with 79 additions and 34 deletions
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Algorithm.Python/OptionChainProviderAlgorithm.py
+32 -21
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@@ -1,5 +1,4 @@
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# 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");
@@ -37,30 +36,42 @@ from datetime import timedelta
class OptionChainProviderAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 6, 1)
self.SetEndDate(2017, 7, 1)
self.SetStartDate(2015, 12, 24)
self.SetEndDate(2015, 12, 24)
self.SetCash(100000)
self.equity = self.AddEquity("AMZN", Resolution.Minute)
# add the underlying asset
self.equity = self.AddEquity("GOOG", Resolution.Minute)
# initialize the option contract with empty string
self.contract = str()
def OnData(self,data):
def OnData(self, data):
if not self.Portfolio[self.equity.Symbol].Invested:
self.MarketOrder(self.equity.Symbol, 100)
if not (self.Securities.ContainsKey(self.contract) and self.Portfolio[self.contract].Invested):
self.contract = self.OptionsFilter(data)
if self.Securities.ContainsKey(self.contract) and not self.Portfolio[self.contract].Invested:
self.MarketOrder(self.contract, -1)
def OptionsFilter(self, data):
''' OptionChainProvider gets a list of option contracts for an underlying symbol at requested date.
Then you can manually filter the contract list returned by GetOptionContractList.
The manual filtering will be limited to the information included in the Symbol
(strike, expiration, type, style) and/or prices from a History call '''
if not self.Portfolio.Invested:
contracts = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, data.Time)
self.underlyingPrice = self.Securities[self.equity.Symbol].Price
# filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
otm_calls = [i for i in contracts if i.ID.OptionRight == OptionRight.Call and
i.ID.StrikePrice - self.underlyingPrice > 0 and
10 < (i.ID.Date - data.Time).days < 30]
if len(otm_calls) > 0:
contract = sorted(sorted(otm_calls, key = lambda x: x.ID.Date),
key = lambda x: x.ID.StrikePrice - self.underlyingPrice)[0]
# Before placing the order, use AddOptionContract() to subscribe the requested contract symbol
self.AddOptionContract(contract, Resolution.Minute)
self.MarketOrder(contract, -1)
self.MarketOrder(self.equity.Symbol, 100)
contracts = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, data.Time)
self.underlyingPrice = self.Securities[self.equity.Symbol].Price
# filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
otm_calls = [i for i in contracts if i.ID.OptionRight == OptionRight.Call and
i.ID.StrikePrice - self.underlyingPrice > 0 and
10 < (i.ID.Date - data.Time).days < 30]
if len(otm_calls) > 0:
contract = sorted(sorted(otm_calls, key = lambda x: x.ID.Date),
key = lambda x: x.ID.StrikePrice - self.underlyingPrice)[0]
# use AddOptionContract() to subscribe the data for specified contract
self.AddOptionContract(contract, Resolution.Minute)
return contract
else:
return str()