Martin Molinero
125 lines
6.5 KiB
Python
125 lines
6.5 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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from clr import GetClrType as typeof
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AddReference("System")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm.Framework")
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from QuantConnect import *
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from QuantConnect.Securities import *
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from QuantConnect.Data.Auxiliary import ZipEntryName
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from QuantConnect.Data.UniverseSelection import OptionChainUniverse
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from Selection.UniverseSelectionModel import UniverseSelectionModel
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from datetime import datetime
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class OptionUniverseSelectionModel(UniverseSelectionModel):
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'''Provides an implementation of IUniverseSelectionMode that subscribes to option chains'''
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def __init__(self,
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refreshInterval,
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optionChainSymbolSelector,
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universeSettings = None,
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securityInitializer = None):
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'''Creates a new instance of OptionUniverseSelectionModel
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Args:
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refreshInterval: Time interval between universe refreshes</param>
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optionChainSymbolSelector: Selects symbols from the provided option chain
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universeSettings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
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securityInitializer: [Obsolete, will not be used] Performs extra initialization (such as setting models) after we create a new security object'''
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self.nextRefreshTimeUtc = datetime.min
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self.refreshInterval = refreshInterval
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self.optionChainSymbolSelector = optionChainSymbolSelector
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self.universeSettings = universeSettings
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self.securityInitializer = securityInitializer
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def GetNextRefreshTimeUtc(self):
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'''Gets the next time the framework should invoke the `CreateUniverses` method to refresh the set of universes.'''
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return self.nextRefreshTimeUtc
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def CreateUniverses(self, algorithm):
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'''Creates a new fundamental universe using this class's selection functions
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Args:
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algorithm: The algorithm instance to create universes for
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Returns:
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The universe defined by this model'''
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self.nextRefreshTimeUtc = (algorithm.UtcTime + self.refreshInterval).date()
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uniqueUnderlyingSymbols = set()
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for optionSymbol in self.optionChainSymbolSelector(algorithm.UtcTime):
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if optionSymbol.SecurityType != SecurityType.Option:
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raise ValueError("optionChainSymbolSelector must return option symbols.")
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# prevent creating duplicate option chains -- one per underlying
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if optionSymbol.Underlying not in uniqueUnderlyingSymbols:
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uniqueUnderlyingSymbols.add(optionSymbol.Underlying)
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yield self.CreateOptionChain(algorithm, optionSymbol)
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def CreateOptionChain(self, algorithm, symbol):
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'''Creates a OptionChainUniverse for a given symbol
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Args:
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algorithm: The algorithm instance to create universes for
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symbol: Symbol of the option
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Returns:
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OptionChainUniverse for the given symbol'''
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if symbol.SecurityType != SecurityType.Option:
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raise ValueError("CreateOptionChain requires an option symbol.")
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# rewrite non-canonical symbols to be canonical
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market = symbol.ID.Market
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underlying = symbol.Underlying
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if not symbol.IsCanonical():
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alias = f"?{underlying.Value}"
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symbol = Symbol.Create(underlying.Value, SecurityType.Option, market, alias)
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# resolve defaults if not specified
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settings = self.universeSettings if self.universeSettings is not None else algorithm.UniverseSettings
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initializer = self.securityInitializer if self.securityInitializer is not None else algorithm.SecurityInitializer
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# create canonical security object, but don't duplicate if it already exists
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securities = [s for s in algorithm.Securities if s.Key == symbol]
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if len(securities) == 0:
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optionChain = self.CreateOptionChainSecurity(algorithm, symbol, settings, initializer)
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else:
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optionChain = securities[0]
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# set the option chain contract filter function
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optionChain.SetFilter(self.Filter)
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# force option chain security to not be directly tradable AFTER it's configured to ensure it's not overwritten
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optionChain.IsTradable = False
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return OptionChainUniverse(optionChain, settings, initializer, algorithm.LiveMode)
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def CreateOptionChainSecurity(self, algorithm, symbol, settings, initializer):
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'''Creates the canonical option chain security for a given symbol
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Args:
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algorithm: The algorithm instance to create universes for
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symbol: Symbol of the option
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settings: Universe settings define attributes of created subscriptions, such as their resolution and the minimum time in universe before they can be removed
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initializer: [Obsolete, will not be used] Performs extra initialization (such as setting models) after we create a new security object
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Returns
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Option for the given symbol'''
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config = algorithm.SubscriptionManager.SubscriptionDataConfigService.Add(typeof(ZipEntryName),
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symbol,
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settings.Resolution,
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settings.FillForward,
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settings.ExtendedMarketHours,
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False)
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return algorithm.Securities.CreateSecurity(symbol, config, settings.Leverage, False)
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def Filter(self, filter):
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'''Defines the option chain universe filter'''
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# NOP
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return filter |