Louis Szeto
14b10f5e81
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* Add example of bear call spread using index option * consistency * Add bull call spread * peer review * peer review * address peer review * bug fix * fix filter * Address peer review
59 lines
2.2 KiB
Python
59 lines
2.2 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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#region imports
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from AlgorithmImports import *
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#endregion
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class IndexOptionBearCallSpreadAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 1, 1)
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self.SetEndDate(2021, 1, 1)
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self.SetCash(100000)
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self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
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index = self.AddIndex("VIX", Resolution.Minute).Symbol
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option = self.AddIndexOption(index, "VIXW", Resolution.Minute)
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option.SetFilter(lambda x: x.Strikes(-5, 5).Expiration(15, 45))
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self.vixw = option.Symbol
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self.legs = []
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def OnData(self, slice: Slice) -> None:
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if not self.Portfolio[self.spy].Invested:
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self.MarketOrder(self.spy, 100)
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# Return if hedge position presents
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if any([self.Portfolio[x.Symbol].Invested for x in self.legs]):
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return
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# Return if hedge position presents
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chain = slice.OptionChains.get(self.vixw)
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if not chain: return
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# Get the nearest expiry date of the contracts
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expiry = min([x.Expiry for x in chain])
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# Select the call Option contracts with the nearest expiry and sort by strike price
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calls = sorted([i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call],
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key=lambda x: x.Strike)
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if len(calls) < 2: return
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# Create combo order legs by selecting the ITM and OTM contract
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self.legs = [
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Leg.Create(calls[0].Symbol, -1),
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Leg.Create(calls[-1].Symbol, 1)
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]
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self.ComboMarketOrder(self.legs, 1) |