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Merge pull request #1430 from jingwu74/master

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add OptionChainProviderAlgorithm
This commit is contained in:
Jared
2017-12-26 09:47:04 -05:00
committed by GitHub
parent a42e55ca81 7373d85d4a
commit 702bb5616d
3 changed files with 105 additions and 64 deletions
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Algorithm.Python/OptionChainProviderAlgorithm.py
+28 -64
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@@ -1,4 +1,5 @@
# 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");
@@ -24,7 +25,6 @@ from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
import numpy as np
from datetime import timedelta
from math import floor, ceil
### <summary>
### Demonstration of the Option Chain Provider -- a much faster mechanism for manually specifying the option contracts you'd like to recieve
@@ -35,70 +35,34 @@ from math import floor, ceil
### <meta name="tag" content="using data" />
### <meta name="tag" content="selecting options" />
### <meta name="tag" content="manual selection" />
class OptionChainProviderAlgorithm(QCAlgorithm):
class BootCampTask(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2017, 04, 01)
self.SetEndDate(2017, 06, 30)
self.SetStartDate(2017, 06, 01)
self.SetEndDate(2017, 07, 01)
self.SetCash(100000)
equity = self.AddEquity("GOOG", Resolution.Minute)
self.underlyingsymbol = equity.Symbol
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)
def OnData(self,slice):
''' OptionChainProvider gets the option chain provider,
used to get the list of option contracts for an underlying symbol.
self.equity = self.AddEquity("AMZN", Resolution.Minute)
def OnData(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 '''
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.underlyingsymbol, self.Time.date())
self.TradeOptions(contracts)
def TradeOptions(self,contracts):
# run CoarseSelection method and get a list of contracts expire within 30 to 60 days from now on
# and the strike price between rank -5 to rank 5
filtered_contracts = self.CoarseSelection(self.underlyingsymbol, contracts, -5, 5, 30, 60)
expiry = sorted(filtered_contracts,key = lambda x: x.ID.Date, reverse=True)[0].ID.Date
# filter the call options from the contracts expire on that date
call = [i for i in filtered_contracts if i.ID.Date == expiry and i.ID.OptionRight == 0]
# sorted the contracts according to their strike prices
call_contracts = sorted(call,key = lambda x: x.ID.StrikePrice)
self.call = call_contracts[0]
for i in filtered_contracts:
if i.ID.Date == expiry and i.ID.OptionRight == 1 and i.ID.StrikePrice ==call_contracts[0].ID.StrikePrice:
self.put = i
''' Before trading the specific contract, you need to add this option contract
AddOptionContract starts a subscription for the requested contract symbol '''
self.AddOptionContract(self.call, Resolution.Minute)
self.AddOptionContract(self.put, Resolution.Minute)
self.Buy(self.call.Value ,1)
self.Buy(self.put.Value ,1)
def CoarseSelection(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry):
''' This method implements the coarse selection of option contracts
according to the range of strike price and the expiration date,
this function will help you better choose the options of different moneyness '''
# fitler the contracts based on the expiry range
contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry]
# find the strike price of ATM option
atm_strike = sorted(contract_list,
key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice
strike_list = sorted(set([i.ID.StrikePrice for i in contract_list]))
# find the index of ATM strike in the sorted strike list
atm_strike_rank = strike_list.index(atm_strike)
min_strike = strike_list[atm_strike_rank + min_strike_rank]
max_strike = strike_list[atm_strike_rank + max_strike_rank]
# filter the contracts based on the range of the strike price rank
filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike]
return filtered_contracts
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)