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pep8 conversion of python algos #11 (#7952)

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* pep8 conversion

* Minor tweak

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-19 23:54:50 +08:00
committed by GitHub
parent 3c30e255fe
commit 979bd9baef
18 changed files with 369 additions and 368 deletions
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Algorithm.Python/OptionChainProviderAlgorithm.py
+25 -25
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@@ -25,47 +25,47 @@ from AlgorithmImports import *
class OptionChainProviderAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2015, 12, 24)
self.SetEndDate(2015, 12, 24)
self.SetCash(100000)
def initialize(self):
self.set_start_date(2015, 12, 24)
self.set_end_date(2015, 12, 24)
self.set_cash(100000)
# add the underlying asset
self.equity = self.AddEquity("GOOG", Resolution.Minute)
self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
self.equity = self.add_equity("GOOG", Resolution.MINUTE)
self.equity.set_data_normalization_mode(DataNormalizationMode.RAW)
# initialize the option contract with empty string
self.contract = str()
self.contractsAdded = set()
self.contracts_added = set()
def OnData(self, data):
def on_data(self, data):
if not self.Portfolio[self.equity.Symbol].Invested:
self.MarketOrder(self.equity.Symbol, 100)
if not self.portfolio[self.equity.symbol].invested:
self.market_order(self.equity.symbol, 100)
if not (self.Securities.ContainsKey(self.contract) and self.Portfolio[self.contract].Invested):
self.contract = self.OptionsFilter(data)
if not (self.securities.contains_key(self.contract) and self.portfolio[self.contract].invested):
self.contract = self.options_filter(data)
if self.Securities.ContainsKey(self.contract) and not self.Portfolio[self.contract].Invested:
self.MarketOrder(self.contract, -1)
if self.securities.contains_key(self.contract) and not self.portfolio[self.contract].invested:
self.market_order(self.contract, -1)
def OptionsFilter(self, data):
def options_filter(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 '''
contracts = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, data.Time)
self.underlyingPrice = self.Securities[self.equity.Symbol].Price
contracts = self.option_chain_provider.get_option_contract_list(self.equity.symbol, data.time)
self.underlying_price = 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]
otm_calls = [i for i in contracts if i.id.option_right == OptionRight.CALL and
i.id.strike_price - self.underlying_price > 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]
if contract not in self.contractsAdded:
self.contractsAdded.add(contract)
contract = sorted(sorted(otm_calls, key = lambda x: x.id.date),
key = lambda x: x.id.strike_price - self.underlying_price)[0]
if contract not in self.contracts_added:
self.contracts_added.add(contract)
# use AddOptionContract() to subscribe the data for specified contract
self.AddOptionContract(contract, Resolution.Minute)
self.add_option_contract(contract, Resolution.MINUTE)
return contract
else:
return str()