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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/BasicTemplateOptionTradesAlgorithm.py
+20 -20
View File
@@ -23,38 +23,38 @@ from AlgorithmImports import *
### <meta name="tag" content="filter selection" />
class BasicTemplateOptionTradesAlgorithm(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)
option = self.AddOption("GOOG")
option = self.add_option("GOOG")
# add the initial contract filter
# SetFilter method accepts timedelta objects or integer for days.
# The following statements yield the same filtering criteria
option.SetFilter(-2, +2, 0, 10)
# option.SetFilter(-2, +2, timedelta(0), timedelta(10))
option.set_filter(-2, +2, 0, 10)
# option.set_filter(-2, +2, timedelta(0), timedelta(10))
# 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
def on_data(self,slice):
if not self.portfolio.invested:
for kvp in slice.option_chains:
chain = kvp.value
# find the second call strike under market price expiring today
contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)),
key = lambda x: x.Expiry, reverse=False)
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
if contracts[0] != None:
self.MarketOrder(contracts[0].Symbol, 1)
self.market_order(contracts[0].symbol, 1)
else:
self.Liquidate()
self.liquidate()
for kpv in slice.Bars:
self.Log("---> OnData: {0}, {1}, {2}".format(self.Time, kpv.Key.Value, str(kpv.Value.Close)))
for kpv in slice.bars:
self.log("---> OnData: {0}, {1}, {2}".format(self.time, kpv.key.value, str(kpv.value.close)))
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))
def on_order_event(self, order_event):
self.log(str(order_event))