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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/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.py
+22 -22
View File
@@ -20,44 +20,44 @@ from AlgorithmImports import *
### <meta name="tag" content="options" />
### <meta name="tag" content="indexes" />
class BasicTemplateSPXWeeklyIndexOptionsAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2021, 1, 4)
self.SetEndDate(2021, 1, 10)
self.SetCash(1000000)
def initialize(self):
self.set_start_date(2021, 1, 4)
self.set_end_date(2021, 1, 10)
self.set_cash(1000000)
self.spx = self.AddIndex("SPX").Symbol
self.spx = self.add_index("SPX").symbol
# regular option SPX contracts
self.spxOptions = self.AddIndexOption(self.spx);
self.spxOptions.SetFilter(lambda u: (u.Strikes(0, 1).Expiration(0, 30)))
self.spx_options = self.add_index_option(self.spx)
self.spx_options.set_filter(lambda u: (u.strikes(0, 1).expiration(0, 30)))
# weekly option SPX contracts
spxw = self.AddIndexOption(self.spx, "SPXW")
spxw = self.add_index_option(self.spx, "SPXW")
# set our strike/expiry filter for this option chain
spxw.SetFilter(lambda u: (u.Strikes(0, 1)
spxw.set_filter(lambda u: (u.strikes(0, 1)
# single week ahead since there are many SPXW contracts and we want to preserve performance
.Expiration(0, 7)
.IncludeWeeklys()))
.expiration(0, 7)
.include_weeklys()))
self.spxw_option = spxw.Symbol
self.spxw_option = spxw.symbol
def OnData(self,slice):
if self.Portfolio.Invested: return
def on_data(self,slice):
if self.portfolio.invested: return
chain = slice.OptionChains.GetValue(self.spxw_option)
chain = slice.option_chains.get_value(self.spxw_option)
if chain is None:
return
# we sort the contracts to find at the money (ATM) contract with closest expiration
contracts = sorted(sorted(sorted(chain, \
key = lambda x: x.Expiry), \
key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Right, reverse=True)
key = lambda x: x.expiry), \
key = lambda x: abs(chain.underlying.price - x.strike)), \
key = lambda x: x.right, reverse=True)
# if found, buy until it expires
if len(contracts) == 0: return
symbol = contracts[0].Symbol
self.MarketOrder(symbol, 1)
symbol = contracts[0].symbol
self.market_order(symbol, 1)
def OnOrderEvent(self, orderEvent):
self.Debug(str(orderEvent))
def on_order_event(self, order_event):
self.debug(str(order_event))