Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
78 lines
3.7 KiB
Python
78 lines
3.7 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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### 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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class BasicTemplateOptionsHistoryAlgorithm(QCAlgorithm):
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''' This example demonstrates how to get access to options history for a given underlying equity security.'''
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def Initialize(self):
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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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self.SetStartDate(2015, 12, 24)
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self.SetEndDate(2015, 12, 24)
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self.SetCash(1000000)
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option = self.AddOption("GOOG")
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# add the initial contract filter
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# SetFilter method accepts timedelta objects or integer for days.
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# The following statements yield the same filtering criteria
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option.SetFilter(-2, +2, 0, 180)
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# option.SetFilter(-2,2, timedelta(0), timedelta(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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self.SetWarmUp(TimeSpan.FromDays(4))
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# set the benchmark to be the initial cash
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self.SetBenchmark(lambda x: 1000000)
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def OnData(self,slice):
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if self.IsWarmingUp: return
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if not self.Portfolio.Invested:
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for chain in slice.OptionChains:
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volatility = self.Securities[chain.Key.Underlying].VolatilityModel.Volatility
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for contract in chain.Value:
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self.Log("{0},Bid={1} Ask={2} Last={3} OI={4} sigma={5:.3f} NPV={6:.3f} \
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delta={7:.3f} gamma={8:.3f} vega={9:.3f} beta={10:.2f} theta={11:.2f} IV={12:.2f}".format(
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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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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,
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contract.ImpliedVolatility))
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def OnSecuritiesChanged(self, changes):
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for change in changes.AddedSecurities:
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# only print options price
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if change.Symbol.Value == "GOOG": return
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history = self.History(change.Symbol, 10, Resolution.Minute).sort_index(level='time', ascending=False)[:3]
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for index, row in history.iterrows():
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self.Log("History: " + str(index[3])
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+ ": " + index[4].strftime("%m/%d/%Y %I:%M:%S %p")
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+ " > " + str(row.close))
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