Jing Wu
103 lines
4.3 KiB
C#
103 lines
4.3 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example demonstrating how to access to options history for a given underlying equity security.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="filter selection" />
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/// <meta name="tag" content="history" />
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public class BasicTemplateOptionsHistoryAlgorithm : QCAlgorithm
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{
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public override void Initialize()
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{
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// this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(1000000);
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var option = AddOption("GOOG");
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// add the initial contract filter
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option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
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// set the pricing model for Greeks and volatility
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// find more pricing models https://www.quantconnect.com/lean/documentation/topic27704.html
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option.PriceModel = OptionPriceModels.CrankNicolsonFD();
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// set the warm-up period for the pricing model
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SetWarmup(TimeSpan.FromDays(4));
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// set the benchmark to be the initial cash
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SetBenchmark(d => 1000000);
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (IsWarmingUp) return;
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if (!Portfolio.Invested)
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{
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foreach (var chain in slice.OptionChains)
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{
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var underlying = Securities[chain.Key.Underlying];
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foreach (var contract in chain.Value)
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{
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Log(String.Format(@"{0},Bid={1} Ask={2} Last={3} OI={4} σ={5:0.000} NPV={6:0.000} Δ={7:0.000} Γ={8:0.000} ν={9:0.000} ρ={10:0.00} Θ={11:0.00} IV={12:0.000}",
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contract.Symbol.Value,
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contract.BidPrice,
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contract.AskPrice,
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contract.LastPrice,
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contract.OpenInterest,
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underlying.VolatilityModel.Volatility,
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contract.TheoreticalPrice,
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contract.Greeks.Delta,
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contract.Greeks.Gamma,
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contract.Greeks.Vega,
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contract.Greeks.Rho,
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contract.Greeks.Theta / 365.0m,
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contract.ImpliedVolatility));
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}
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}
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var change in changes.AddedSecurities)
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{
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// Only print options price
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if (change.Symbol.Value == "GOOG") continue;
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var history = History(change.Symbol, 10, Resolution.Minute);
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foreach (var data in history.OrderByDescending(x => x.Time).Take(3))
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{
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Log($"History: {data.Symbol.Value}: {data.Time} > {data.Close}");
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}
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}
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}
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}
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}
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