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Extends Option.SetFilter with an overload that accepts PyObject

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This feature enables users to write complex filters for option universes.
Fixes OptionExerciseAssignRegressionAlgorithm
Adds regression test for OptionExerciseAssignRegressionAlgorithm
This commit is contained in:
AlexCatarino
2017-10-06 16:55:18 +01:00
parent 58a7f0cf8a
commit d2e352cf58
3 changed files with 34 additions and 20 deletions
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Algorithm.Python/OptionExerciseAssignRegressionAlgorithm.py
+21 -19
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@@ -21,7 +21,7 @@ from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from datetime import datetime
from datetime import datetime, timedelta
### <summary>
### This regression algorithm tests option exercise and assignment functionality
@@ -33,45 +33,47 @@ class OptionExerciseAssignRegressionAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetCash(25000)
self.SetCash(100000)
self.SetStartDate(2015,12,24)
self.SetEndDate(2015,12,24)
equity = self.AddEquity("GOOG")
option = self.AddOption("GOOG")
Underlying = equity.Symbol
self.OptionSymbol = option.Symbol
# set our strike/expiry filter for this option chain
option.SetFilter(-2, 2, TimeSpan.Zero, TimeSpan.FromDays(10))
self.SetBenchmark(Underlying)
option.SetFilter(self.UniverseFunc)
self.SetBenchmark(equity.Symbol)
self.OptionSymbol = option.Symbol
self._assignedOption = False
''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override
for receiving all subscription data in a single event
<param name="slice">The current slice of data keyed by symbol string</param> '''
def OnData(self, slice):
if self.Portfolio.Invested: return
for kvp in slice.OptionChains:
chain = kvp.Value
# find the call options expiring today
contracts = [i for i in chain if i.Right == OptionRight.Call and
i.Expiry.date() == self.Time.date()]
contracts = filter(lambda x:
x.Expiry.date() == self.Time.date() and
x.Strike < chain.Underlying.Price and
x.Right == OptionRight.Call, chain)
# sorted the contracts by their strikes, find the second strike under market price
sorted_contracts = [i for i in sorted(contracts, key = lambda x:x.Strike, reverse = True)
if i.Strike < chain.Underlying.Price]
sorted_contracts = sorted(contracts, key = lambda x: x.Strike, reverse = True)[:2];
if sorted_contracts:
self.MarketOrder(sorted_contracts[0].Symbol, 1)
self.MarketOrder(sorted_contracts[1].Symbol, -1)
''' Order fill event handler. On an order fill update the resulting information is passed to this method.
<param name="orderEvent">Order event details containing details of the events</param> '''
# set our strike/expiry filter for this option chain
def UniverseFunc(self, universe):
return universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(10))
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))
def OnAssignmentOrderEvent(self, assignmentEvent):
self.Log(str(assignmentEvent))
self._assignedOption = True