github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

pep8 conversion of python algorithms #3 (#7934)
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled

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
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/BasicTemplateOptionsAlgorithm.py
+23 -23
View File
@@ -22,45 +22,45 @@ from AlgorithmImports import *
### <meta name="tag" content="options" />
### <meta name="tag" content="filter selection" />
class BasicTemplateOptionsAlgorithm(QCAlgorithm):
UnderlyingTicker = "GOOG"
underlying_ticker = "GOOG"
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)
equity = self.AddEquity(self.UnderlyingTicker)
option = self.AddOption(self.UnderlyingTicker)
self.option_symbol = option.Symbol
equity = self.add_equity(self.underlying_ticker)
option = self.add_option(self.underlying_ticker)
self.option_symbol = option.symbol
# set our strike/expiry filter for this option chain
option.SetFilter(lambda u: (u.Strikes(-2, +2)
option.set_filter(lambda u: (u.strikes(-2, +2)
# Expiration method accepts TimeSpan objects or integer for days.
# The following statements yield the same filtering criteria
.Expiration(0, 180)))
#.Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))))
.expiration(0, 180)))
#.expiration(TimeSpan.zero, TimeSpan.from_days(180))))
# use the underlying equity as the benchmark
self.SetBenchmark(equity.Symbol)
self.set_benchmark(equity.symbol)
def OnData(self,slice):
if self.Portfolio.Invested or not self.IsMarketOpen(self.option_symbol): return
def on_data(self, slice):
if self.portfolio.invested or not self.is_market_open(self.option_symbol): return
chain = slice.OptionChains.GetValue(self.option_symbol)
chain = slice.option_chains.get_value(self.option_symbol)
if chain is None:
return
# we sort the contracts to find at the money (ATM) contract with farthest expiration
contracts = sorted(sorted(sorted(chain, \
key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Expiry, reverse=True), \
key = lambda x: x.Right, reverse=True)
key = lambda x: abs(chain.underlying.price - x.strike)), \
key = lambda x: x.expiry, reverse=True), \
key = lambda x: x.right, reverse=True)
# if found, trade it
if len(contracts) == 0: return
symbol = contracts[0].Symbol
self.MarketOrder(symbol, 1)
self.MarketOnCloseOrder(symbol, -1)
symbol = contracts[0].symbol
self.market_order(symbol, 1)
self.market_on_close_order(symbol, -1)
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))
def on_order_event(self, order_event):
self.log(str(order_event))