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Add regression algorithms

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This commit is contained in:
Jhonathan Abreu
2024-12-24 10:01:32 -04:00
parent 2124b92acf
commit a35689731d
13 changed files with 588 additions and 32 deletions
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Algorithm.Python/FutureOptionChainFullDataRegressionAlgorithm.py
+2 -2
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@@ -26,7 +26,7 @@ class FutureOptionChainFullDataRegressionAlgorithm(QCAlgorithm):
future_contract = self.add_future_contract(
Symbol.create_future(Futures.Indices.SP_500_E_MINI, Market.CME, datetime(2020, 3, 20)),
Resolution.MINUTE).symbol;
Resolution.MINUTE).symbol
option_chain = self.option_chain(future_contract, flatten=True)
@@ -34,7 +34,7 @@ class FutureOptionChainFullDataRegressionAlgorithm(QCAlgorithm):
df = option_chain.data_frame
# Get contracts expiring within 4 months, with the latest expiration date, highest strike and lowest price
contracts = df.loc[(df.expiry <= self.time + timedelta(days=120))]
contracts = df.sort_values(['expiry', 'strike', 'lastprice'], ascending=[False, False, True])
contracts = contracts.sort_values(['expiry', 'strike', 'lastprice'], ascending=[False, False, True])
self._option_contract = contracts.index[0]
self.add_future_option_contract(self._option_contract)