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pep8 conversion on python algorithms #2 (#7933)

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* pep8 conversion

* more

* Minor fix

* Fix related regression algorithm

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-18 04:36:53 +08:00
committed by GitHub
parent c2bea3c173
commit 784e497691
25 changed files with 466 additions and 466 deletions
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Algorithm.Python/BasicTemplateFutureOptionAlgorithm.py
+32 -32
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@@ -22,50 +22,50 @@ from AlgorithmImports import *
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)
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.set_start_date(2022, 1, 1)
self.set_end_date(2022, 2, 1)
self.set_cash(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())
gold_futures = self.add_future(Futures.Metals.GOLD, Resolution.MINUTE)
gold_futures.set_filter(0, 180)
self._symbol = gold_futures.symbol
self.add_future_option(self._symbol, lambda universe: universe.strikes(-5, +5)
.calls_only()
.back_month()
.only_apply_filter_at_market_open())
# Historical Data
history = self.History(self.symbol, 60, Resolution.Daily)
self.Log(f"Received {len(history)} bars from {self.symbol} FutureOption historical data call.")
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.
def on_data(self, data):
'''on_data 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
for kvp in data.option_chains:
underlying_future_contract = kvp.key.underlying
chain = kvp.value
if not chain: continue
for contract in chain:
self.Log(f"""Canonical Symbol: {kvp.Key};
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}""")
Right: {contract.right};
Expiry: {contract.expiry};
Bid price: {contract.bid_price};
Ask price: {contract.ask_price};
Implied Volatility: {contract.implied_volatility}""")
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)
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.market_order(selected_contract.symbol, 1)
def OnOrderEvent(self, orderEvent):
self.Debug("{} {}".format(self.Time, orderEvent.ToString()))
def on_order_event(self, order_event):
self.debug("{} {}".format(self.time, order_event.to_string()))