Ricardo Andrés Marino Rojas
711a7b42d4
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* Solve bug and add regression tests * Add regression stats * Improve regression algo * Improve regression algos
53 lines
2.4 KiB
Python
53 lines
2.4 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 AlgorithmImports import *
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### <summary>
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### Regression algorithm to test the OptionChainedUniverseSelectionModel class
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### </summary>
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class OptionChainedUniverseSelectionModelRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.UniverseSettings.Resolution = Resolution.Minute
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self.SetStartDate(2014, 6, 6)
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self.SetEndDate(2014, 6, 6)
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self.SetCash(100000)
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universe = self.AddUniverse("my-minute-universe-name", lambda time: [ "AAPL", "TWX" ])
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self.AddUniverseSelection(
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OptionChainedUniverseSelectionModel(
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universe,
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lambda u: (u.Strikes(-2, +2)
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# Expiration method accepts TimeSpan objects or integer for days.
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# The following statements yield the same filtering criteria
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.Expiration(0, 180))
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)
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)
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def OnData(self, slice):
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if self.Portfolio.Invested or not (self.IsMarketOpen("AAPL") and self.IsMarketOpen("AAPL")): return
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values = list(map(lambda x: x.Value, filter(lambda x: x.Key == "?AAPL" or x.Key == "?TWX", slice.OptionChains)))
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for chain in values:
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# we sort the contracts to find at the money (ATM) contract with farthest expiration
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contracts = sorted(sorted(sorted(chain, \
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key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
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key = lambda x: x.Expiry, reverse=True), \
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key = lambda x: x.Right, reverse=True)
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# if found, trade it
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if len(contracts) == 0: return
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symbol = contracts[0].Symbol
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self.MarketOrder(symbol, 1)
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self.MarketOnCloseOrder(symbol, -1)
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