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Merge pull request #2615 from AlexCatarino/feature-2614-implements-datadictionary-getvalue

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Implements DataDictionary.GetValue
This commit is contained in:
Michael Handschuh
2018-10-18 12:25:27 -04:00
committed by GitHub
parent a875023837 6ee4363942
commit 614451ca30
2 changed files with 27 additions and 13 deletions
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Algorithm.Python/BasicTemplateOptionsAlgorithm.py
+13 -13
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@@ -48,21 +48,21 @@ class BasicTemplateOptionsAlgorithm(QCAlgorithm):
def OnData(self,slice):
if self.Portfolio.Invested: return
for kvp in slice.OptionChains:
if kvp.Key != self.option_symbol: continue
chain = kvp.Value
chain = slice.OptionChains.GetValue(self.option_symbol)
if chain is None:
return
# we sort the contracts to find at the money (ATM) contract with farthest expiration
contracts = sorted(sorted(sorted(chain, \
key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Expiry, reverse=True), \
key = lambda x: x.Right, reverse=True)
# we sort the contracts to find at the money (ATM) contract with farthest expiration
contracts = sorted(sorted(sorted(chain, \
key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Expiry, reverse=True), \
key = lambda x: x.Right, reverse=True)
# if found, trade it
if len(contracts) == 0: continue
symbol = contracts[0].Symbol
self.MarketOrder(symbol, 1)
self.MarketOnCloseOrder(symbol, -1)
# if found, trade it
if len(contracts) == 0: return
symbol = contracts[0].Symbol
self.MarketOrder(symbol, 1)
self.MarketOnCloseOrder(symbol, -1)
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))