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
66 lines
2.9 KiB
Python
66 lines
2.9 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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from AlgorithmImports import *
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### <summary>
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### This example demonstrates how to execute a Call Butterfly option equity strategy
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### It adds options for a given underlying equity security, and shows how you can prefilter contracts easily based on strikes and expirations
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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="trading and orders" />
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class BasicTemplateOptionEquityStrategyAlgorithm(QCAlgorithm):
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UnderlyingTicker = "GOOG"
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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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equity = self.AddEquity(self.UnderlyingTicker)
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option = self.AddOption(self.UnderlyingTicker)
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self.option_symbol = option.Symbol
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# set our strike/expiry filter for this option chain
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option.SetFilter(lambda u: (u.Strikes(-2, +2)
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# Expiration method accepts TimeSpan objects or integer for days.
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# The following statements yield the same filtering criteria
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.Expiration(0, 180)))
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def OnData(self,slice):
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if self.Portfolio.Invested or not self.IsMarketOpen(self.option_symbol): return
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chain = slice.OptionChains.GetValue(self.option_symbol)
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if chain is None:
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return
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groupedByExpiry = dict()
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for contract in [contract for contract in chain if contract.Right == OptionRight.Call]:
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groupedByExpiry.setdefault(int(contract.Expiry.timestamp()), []).append(contract)
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firstExpiry = list(sorted(groupedByExpiry))[0]
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callContracts = sorted(groupedByExpiry[firstExpiry], key = lambda x: x.Strike)
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expiry = callContracts[0].Expiry
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lowerStrike = callContracts[0].Strike
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middleStrike = callContracts[1].Strike
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higherStrike = callContracts[2].Strike
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optionStrategy = OptionStrategies.CallButterfly(self.option_symbol, higherStrike, middleStrike, lowerStrike, expiry)
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self.Order(optionStrategy, 10)
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent))
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