Jhonathan Abreu
86 lines
4.4 KiB
Python
86 lines
4.4 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
import itertools
|
|
|
|
from OptionStrategyFactoryMethodsBaseAlgorithm import *
|
|
|
|
### <summary>
|
|
### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
|
|
### In this case, the algorithm tests the Iron Condor strategy.
|
|
### </summary>
|
|
class IronCondorStrategyAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
|
|
|
|
def ExpectedOrdersCount(self) -> int:
|
|
return 8
|
|
|
|
def TradeStrategy(self, chain: OptionChain, option_symbol: Symbol):
|
|
for expiry, group in itertools.groupby(chain, lambda x: x.Expiry):
|
|
contracts = sorted(group, key=lambda x: x.Strike)
|
|
if len(contracts) < 4:continue
|
|
|
|
putContracts = [x for x in contracts if x.Right == OptionRight.Put]
|
|
if len(putContracts) < 2: continue
|
|
longPutStrike = putContracts[0].Strike
|
|
shortPutStrike = putContracts[1].Strike
|
|
|
|
callContracts = [x for x in contracts if x.Right == OptionRight.Call and x.Strike > shortPutStrike]
|
|
if len(callContracts) < 2: continue
|
|
shortCallStrike = callContracts[0].Strike
|
|
longCallStrike = callContracts[1].Strike
|
|
|
|
self._iron_condor = OptionStrategies.IronCondor(option_symbol, longPutStrike, shortPutStrike, shortCallStrike, longCallStrike, expiry)
|
|
self.Buy(self._iron_condor, 2)
|
|
return
|
|
|
|
def AssertStrategyPositionGroup(self, positionGroup: IPositionGroup, option_symbol: Symbol):
|
|
positions = list(positionGroup.Positions)
|
|
if len(positions) != 4:
|
|
raise Exception(f"Expected position group to have 4 positions. Actual: {len(positions)}")
|
|
|
|
orderedStrikes = sorted((leg.Strike for leg in self._iron_condor.OptionLegs))
|
|
|
|
longPutStrike = orderedStrikes[0]
|
|
longPutPosition = next((x for x in positionGroup.Positions
|
|
if x.Symbol.ID.OptionRight == OptionRight.Put and x.Symbol.ID.StrikePrice == longPutStrike),
|
|
None)
|
|
if longPutPosition is None or longPutPosition.Quantity != 2:
|
|
raise Exception(f"Expected long put position quantity to be 2. Actual: {longPutPosition.Quantity}")
|
|
|
|
shortPutStrike = orderedStrikes[1]
|
|
shortPutPosition = next((x for x in positionGroup.Positions
|
|
if x.Symbol.ID.OptionRight == OptionRight.Put and x.Symbol.ID.StrikePrice == shortPutStrike),
|
|
None)
|
|
if shortPutPosition is None or shortPutPosition.Quantity != -2:
|
|
raise Exception(f"Expected short put position quantity to be -2. Actual: {shortPutPosition.Quantity}")
|
|
|
|
shortCallStrike = orderedStrikes[2]
|
|
shortCallPosition = next((x for x in positionGroup.Positions
|
|
if x.Symbol.ID.OptionRight == OptionRight.Call and x.Symbol.ID.StrikePrice == shortCallStrike),
|
|
None)
|
|
if shortCallPosition is None or shortCallPosition.Quantity != -2:
|
|
raise Exception(f"Expected short call position quantity to be -2. Actual: {shortCallPosition.Quantity}")
|
|
|
|
longCallStrike = orderedStrikes[3]
|
|
longCallPosition = next((x for x in positionGroup.Positions
|
|
if x.Symbol.ID.OptionRight == OptionRight.Call and x.Symbol.ID.StrikePrice == longCallStrike),
|
|
None)
|
|
if longCallPosition is None or longCallPosition.Quantity != 2:
|
|
raise Exception(f"Expected long call position quantity to be 2. Actual: {longCallPosition.Quantity}")
|
|
|
|
def LiquidateStrategy(self):
|
|
# We should be able to close the position by selling the strategy
|
|
self.Sell(self._iron_condor, 2)
|