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pep8 conversion of python algorithms #3 (#7934)
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Browse Source 
* raw pep8 conversion

* Minor fixes

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-18 06:28:04 +08:00
committed by GitHub
parent 6d5f5dce58
commit ed351c8726
30 changed files with 788 additions and 705 deletions
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Algorithm.Python/BasicTemplateOptionStrategyAlgorithm.py
+22 -22
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@@ -14,7 +14,7 @@
from AlgorithmImports import *
### <summary>
### This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.Straddle) helper classes to batch send orders for common strategies.
### This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.STRADDLE) helper classes to batch send orders for common strategies.
### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the
### option chain to pick a specific option contract to trade.
### </summary>
@@ -24,40 +24,40 @@ from AlgorithmImports import *
### <meta name="tag" content="filter selection" />
class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):
def Initialize(self):
def initialize(self):
# Set the cash we'd like to use for our backtest
self.SetCash(1000000)
self.set_cash(1000000)
# Start and end dates for the backtest.
self.SetStartDate(2015,12,24)
self.SetEndDate(2015,12,24)
self.set_start_date(2015,12,24)
self.set_end_date(2015,12,24)
# Add assets you'd like to see
option = self.AddOption("GOOG")
self.option_symbol = option.Symbol
option = self.add_option("GOOG")
self.option_symbol = option.symbol
# set our strike/expiry filter for this option chain
# SetFilter method accepts timedelta objects or integer for days.
# The following statements yield the same filtering criteria
option.SetFilter(-2, +2, 0, 180)
# option.SetFilter(-2,2, timedelta(0), timedelta(180))
option.set_filter(-2, +2, 0, 180)
# option.set_filter(-2,2, timedelta(0), timedelta(180))
# use the underlying equity as the benchmark
self.SetBenchmark("GOOG")
self.set_benchmark("GOOG")
def OnData(self,slice):
if not self.Portfolio.Invested:
for kvp in slice.OptionChains:
chain = kvp.Value
contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)),
key = lambda x: x.Expiry, reverse=False)
def on_data(self,slice):
if not self.portfolio.invested:
for kvp in slice.option_chains:
chain = kvp.value
contracts = sorted(sorted(chain, key = lambda x: abs(chain.underlying.price - x.strike)),
key = lambda x: x.expiry, reverse=False)
if len(contracts) == 0: continue
atmStraddle = contracts[0]
if atmStraddle != None:
self.Sell(OptionStrategies.Straddle(self.option_symbol, atmStraddle.Strike, atmStraddle.Expiry), 2)
atm_straddle = contracts[0]
if atm_straddle != None:
self.sell(OptionStrategies.STRADDLE(self.option_symbol, atm_straddle.strike, atm_straddle.expiry), 2)
else:
self.Liquidate()
self.liquidate()
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))
def on_order_event(self, order_event):
self.log(str(order_event))