Jhonathan Abreu
ad6046fea5
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* Add ShortButterflyCall and ShortButterflyPut strategies helper factory methods * Reduce duplication by adding the base OptionStrategyFactoryMethodsBaseAlgorithm algorithm class * Housekeeping
77 lines
3.9 KiB
Python
77 lines
3.9 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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import itertools
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from AlgorithmImports import *
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from OptionStrategyFactoryMethodsBaseAlgorithm import *
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### <summary>
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### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
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### In this case, the algorithm tests the Strangle and Short Strangle strategies.
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### </summary>
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class LongAndShortStrangleStrategiesAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
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def ExpectedOrdersCount(self) -> int:
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return 4
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def TradeStrategy(self, chain: OptionChain, option_symbol: Symbol):
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contracts = sorted(sorted(chain, key=lambda x: abs(chain.Underlying.Price - x.Strike)),
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key=lambda x: x.Expiry, reverse=True)
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groupedContracts = (list(group) for _, group in itertools.groupby(contracts, lambda x: x.Expiry))
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callContract = None
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putContract = None
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for group in groupedContracts:
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callContracts = sorted((contract for contract in group if contract.Right == OptionRight.Call),
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key=lambda x: x.Strike, reverse=True)
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putContracts = sorted((contract for contract in group if contract.Right == OptionRight.Put),
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key=lambda x: x.Strike)
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if len(callContracts) > 0 and len(putContracts) > 0 and callContracts[0].Strike > putContracts[0].Strike:
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callContract = callContracts[0]
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putContract = putContracts[0]
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break
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if callContract is not None and putContract is not None:
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self._strangle = OptionStrategies.Strangle(option_symbol, callContract.Strike, putContract.Strike, callContract.Expiry)
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self._short_strangle = OptionStrategies.ShortStrangle(option_symbol, callContract.Strike, putContract.Strike,
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callContract.Expiry)
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self.Buy(self._strangle, 2)
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def AssertStrategyPositionGroup(self, positionGroup: IPositionGroup, option_symbol: Symbol):
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positions = list(positionGroup.Positions)
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if len(positions) != 2:
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raise Exception(f"Expected position group to have 2 positions. Actual: {len(positions)}")
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callPosition = next((position for position in positions if position.Symbol.ID.OptionRight == OptionRight.Call), None)
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if callPosition is None:
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raise Exception("Expected position group to have a call position")
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putPosition = next((position for position in positions if position.Symbol.ID.OptionRight == OptionRight.Put), None)
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if putPosition is None:
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raise Exception("Expected position group to have a put position")
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expectedCallPositionQuantity = 2
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expectedPutPositionQuantity = 2
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if callPosition.Quantity != expectedCallPositionQuantity:
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raise Exception(f"Expected call position quantity to be {expectedCallPositionQuantity}. Actual: {callPosition.Quantity}")
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if putPosition.Quantity != expectedPutPositionQuantity:
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raise Exception(f"Expected put position quantity to be {expectedPutPositionQuantity}. Actual: {putPosition.Quantity}")
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def LiquidateStrategy(self):
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# We should be able to close the position using the inverse strategy (a short strangle)
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self.Buy(self._short_strangle, 2)
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