Martin-Molinero
a52822853d
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* Expand Index option support - Adjust APIs so that the same underlying can be used for different options, adding support for SPX weekly options. Adding regression tests * Fix IndexOption.IsStandard * Add IndexOption test
64 lines
2.5 KiB
Python
64 lines
2.5 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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### This example demonstrates how to add and trade SPX index weekly options
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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="indexes" />
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class BasicTemplateSPXWeeklyIndexOptionsAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 10)
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self.SetCash(1000000)
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self.spx = self.AddIndex("SPX").Symbol
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# regular option SPX contracts
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self.spxOptions = self.AddIndexOption(self.spx);
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self.spxOptions.SetFilter(lambda u: (u.Strikes(0, 1).Expiration(0, 30)))
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# weekly option SPX contracts
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spxw = self.AddIndexOption(self.spx, "SPXW")
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# set our strike/expiry filter for this option chain
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spxw.SetFilter(lambda u: (u.Strikes(0, 1)
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# single week ahead since there are many SPXW contracts and we want to preserve performance
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.Expiration(0, 7)
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.IncludeWeeklys()))
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self.spxw_option = spxw.Symbol
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def OnData(self,slice):
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if self.Portfolio.Invested: return
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chain = slice.OptionChains.GetValue(self.spxw_option)
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if chain is None:
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return
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# we sort the contracts to find at the money (ATM) contract with closest expiration
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contracts = sorted(sorted(sorted(chain, \
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key = lambda x: x.Expiry), \
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key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
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key = lambda x: x.Right, reverse=True)
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# if found, buy until it expires
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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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def OnOrderEvent(self, orderEvent):
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self.Debug(str(orderEvent))
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