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Refactors options algorithms

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AddEquity and SetDataNormalization calls were removed because they are not mandatory since PostInitialize calls them.
This commit is contained in:
AlexCatarino
2017-12-18 11:24:08 +00:00
parent fd59896edb
commit 98a1b6a2a2
17 changed files with 146 additions and 277 deletions
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Algorithm.Python/OptionSplitRegressionAlgorithm.py
+11 -18
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@@ -14,13 +14,11 @@
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Indicators")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from datetime import datetime, timedelta
### <summary>
@@ -32,29 +30,25 @@ from datetime import datetime, timedelta
class OptionSplitRegressionAlgorithm(QCAlgorithm):
def Initialize(self):
# this test opens position in the first day of trading, lives through stock split (7 for 1),
# and closes adjusted position on the second day
self.SetCash(1000000)
self.SetStartDate(2014,6,6)
self.SetEndDate(2014,6,9)
equity = self.AddEquity("AAPL", Resolution.Minute)
option = self.AddOption("AAPL", Resolution.Minute)
equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
option = self.AddOption("AAPL")
# set our strike/expiry filter for this option chain
option.SetFilter(self.UniverseFunc)
self.SetBenchmark(equity.Symbol)
self.OptionSymbol = option.Symbol
self.SetBenchmark("AAPL")
self.contract = None
def OnData(self, slice):
if not self.Portfolio.Invested:
if not self.Portfolio.Invested:
if self.Time.hour > 9 and self.Time.minute > 0:
for kvp in slice.OptionChains:
chain = kvp.Value
@@ -67,19 +61,18 @@ class OptionSplitRegressionAlgorithm(QCAlgorithm):
elif self.Time.day > 6 and self.Time.hour > 14 and self.Time.minute > 0:
self.Liquidate()
if self.Portfolio.Invested:
if self.Portfolio.Invested:
options_hold = [x for x in self.Portfolio.Securities if x.Value.Holdings.AbsoluteQuantity != 0]
holdings = options_hold[0].Value.Holdings.AbsoluteQuantity
if self.Time.day == 6 and holdings != 1:
self.Log("Expected position quantity of 1 but was {0}".format(holdings))
if self.Time.day == 9 and holdings != 7:
self.Log("Expected position quantity of 7 but was {0}".format(holdings))
# set our strike/expiry filter for this option chain
def UniverseFunc(self, universe):
return universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(365*2))
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))
self.Log(str(orderEvent))