Louis Szeto
30e47f3e8b
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71 lines
3.4 KiB
Python
71 lines
3.4 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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### The demonstration algorithm shows some of the most common order methods when working with FutureOption assets.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="trading and orders" />
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class BasicTemplateFutureOptionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2022, 1, 1)
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self.SetEndDate(2022, 2, 1)
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self.SetCash(100000)
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gold_futures = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
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gold_futures.SetFilter(0, 180)
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self.symbol = gold_futures.Symbol
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self.AddFutureOption(self.symbol, lambda universe: universe.Strikes(-5, +5)
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.CallsOnly()
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.BackMonth()
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.OnlyApplyFilterAtMarketOpen())
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# Historical Data
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history = self.History(self.symbol, 60, Resolution.Daily)
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self.Log(f"Received {len(history)} bars from {self.symbol} FutureOption historical data call.")
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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slice: Slice object keyed by symbol containing the stock data
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'''
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# Access Data
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for kvp in data.OptionChains:
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underlying_future_contract = kvp.Key.Underlying
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chain = kvp.Value
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if not chain: continue
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for contract in chain:
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self.Log(f"""Canonical Symbol: {kvp.Key};
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Contract: {contract};
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Right: {contract.Right};
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Expiry: {contract.Expiry};
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Bid price: {contract.BidPrice};
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Ask price: {contract.AskPrice};
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Implied Volatility: {contract.ImpliedVolatility}""")
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if not self.Portfolio.Invested:
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atm_strike = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0].Strike
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selected_contract = sorted([contract for contract in chain if contract.Strike == atm_strike], \
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key = lambda x: x.Expiry, reverse=True)[0]
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self.MarketOrder(selected_contract.Symbol, 1)
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def OnOrderEvent(self, orderEvent):
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self.Debug("{} {}".format(self.Time, orderEvent.ToString())) |