AlexCatarino
80 lines
3.8 KiB
Python
80 lines
3.8 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Data import *
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from QCAlgorithm import QCAlgorithm
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import numpy as np
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from datetime import timedelta
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### <summary>
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### Demonstration of the Option Chain Provider -- a much faster mechanism for manually specifying the option contracts you'd like to recieve
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### data for and manually subscribing to them.
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### </summary>
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### <meta name="tag" content="strategy example" />
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### <meta name="tag" content="options" />
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="selecting options" />
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### <meta name="tag" content="manual selection" />
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class OptionChainProviderAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2015, 12, 24)
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self.SetEndDate(2015, 12, 24)
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self.SetCash(100000)
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# add the underlying asset
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self.equity = self.AddEquity("GOOG", Resolution.Minute)
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self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
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# initialize the option contract with empty string
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self.contract = str()
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self.contractsAdded = set()
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def OnData(self, data):
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if not self.Portfolio[self.equity.Symbol].Invested:
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self.MarketOrder(self.equity.Symbol, 100)
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if not (self.Securities.ContainsKey(self.contract) and self.Portfolio[self.contract].Invested):
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self.contract = self.OptionsFilter(data)
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if self.Securities.ContainsKey(self.contract) and not self.Portfolio[self.contract].Invested:
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self.MarketOrder(self.contract, -1)
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def OptionsFilter(self, data):
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''' OptionChainProvider gets a list of option contracts for an underlying symbol at requested date.
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Then you can manually filter the contract list returned by GetOptionContractList.
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The manual filtering will be limited to the information included in the Symbol
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(strike, expiration, type, style) and/or prices from a History call '''
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contracts = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, data.Time)
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self.underlyingPrice = self.Securities[self.equity.Symbol].Price
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# filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
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otm_calls = [i for i in contracts if i.ID.OptionRight == OptionRight.Call and
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i.ID.StrikePrice - self.underlyingPrice > 0 and
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10 < (i.ID.Date - data.Time).days < 30]
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if len(otm_calls) > 0:
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contract = sorted(sorted(otm_calls, key = lambda x: x.ID.Date),
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key = lambda x: x.ID.StrikePrice - self.underlyingPrice)[0]
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if contract not in self.contractsAdded:
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self.contractsAdded.add(contract)
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# use AddOptionContract() to subscribe the data for specified contract
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self.AddOptionContract(contract, Resolution.Minute)
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return contract
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else:
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return str() |