Louis Szeto
75eaf21e43
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* Add example algo of call calendar spread with SPXW * Add similar example for put calendar spread * Refine * consistency * address peer review * fix bug * bug fix * update * Improved efficiency * Address peer review
67 lines
2.9 KiB
Python
67 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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class IndexOptionCallCalendarSpreadAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 1, 1)
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self.SetEndDate(2021, 1, 1)
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self.SetCash(50000)
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self.vxz = self.AddEquity("VXZ", Resolution.Minute).Symbol
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self.spy = self.AddEquity("SPY", Resolution.Minute).Symbol
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index = self.AddIndex("VIX", Resolution.Minute).Symbol
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option = self.AddIndexOption(index, "VIXW", Resolution.Minute)
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option.SetFilter(lambda x: x.Strikes(-2, 2).Expiration(15, 45))
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self.vixw = option.Symbol
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self.multiplier = option.SymbolProperties.ContractMultiplier
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self.legs = []
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self.expiry = datetime.max
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def OnData(self, slice: Slice) -> None:
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# Liquidate if the shorter term option is about to expire
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if self.expiry < self.Time + timedelta(2) and all([slice.ContainsKey(x.Symbol) for x in self.legs]):
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self.Liquidate()
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# Return if there is any opening position
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elif [leg for leg in self.legs if self.Portfolio[leg.Symbol].Invested]:
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return
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# Get the OptionChain
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chain = slice.OptionChains.get(self.vixw)
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if not chain: return
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# Get ATM strike price
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strike = sorted(chain, key = lambda x: abs(x.Strike - chain.Underlying.Value))[0].Strike
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# Select the ATM call Option contracts and sort by expiration date
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calls = sorted([i for i in chain if i.Strike == strike and i.Right == OptionRight.Call],
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key=lambda x: x.Expiry)
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if len(calls) < 2: return
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self.expiry = calls[0].Expiry
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# Create combo order legs
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self.legs = [
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Leg.Create(calls[0].Symbol, -1),
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Leg.Create(calls[-1].Symbol, 1),
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Leg.Create(self.vxz, -100),
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Leg.Create(self.spy, -10)
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]
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quantity = self.Portfolio.TotalPortfolioValue // \
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sum([abs(self.Securities[x.Symbol].Price * x.Quantity *
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(self.multiplier if x.Symbol.ID.SecurityType == SecurityType.IndexOption else 1))
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for x in self.legs])
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self.ComboMarketOrder(self.legs, -quantity, asynchronous=True) |