Jing Wu
91 lines
4.2 KiB
Python
91 lines
4.2 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.Algorithm")
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AddReference("QuantConnect.Indicators")
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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.Algorithm import *
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from QuantConnect.Indicators import *
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from datetime import datetime
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### <summary>
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### This is an option split regression algorithm
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### </summary>
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### <meta name="tag" content="options" />
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### <meta name="tag" content="regression test" />
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class OptionRenameRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(1000000)
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self.SetStartDate(2013,06,28)
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self.SetEndDate(2013,07,02)
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equity = self.AddEquity("FOXA")
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option = self.AddOption("FOXA")
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Underlying = equity.Symbol
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self.OptionSymbol = option.Symbol
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# set our strike/expiry filter for this option chain
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option.SetFilter(-1, 1, TimeSpan.Zero, TimeSpan.MaxValue)
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# use the underlying equity as the benchmark
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self.SetBenchmark(Underlying)
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equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
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''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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<param name="slice">The current slice of data keyed by symbol string</param> '''
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def OnData(self, slice):
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if not self.Portfolio.Invested:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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if self.Time.day == 28 and self.Time.hour > 9 and self.Time.minute > 0:
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contracts = [i for i in sorted(chain, key=lambda x:x.Expiry)
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if i.Right == OptionRight.Call and
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i.Strike == 33 and
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i.Expiry.date() == datetime(2013,8,17).date()]
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if contracts:
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# Buying option
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contract = contracts[0]
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self.Buy(contract.Symbol, 1)
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# Buy the undelying stock
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underlyingSymbol = contract.Symbol.Underlying
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self.Buy (underlyingSymbol, 100)
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# check
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if float(contract.AskPrice) != 1.1:
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raise ValueError("Regression test failed: current ask price was not loaded from NWSA backtest file and is not $1.1")
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elif self.Time.day == 2 and self.Time.hour > 14 and self.Time.minute > 0:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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self.Liquidate()
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contracts = [i for i in sorted(chain, key=lambda x:x.Expiry)
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if i.Right == OptionRight.Call and
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i.Strike == 33 and
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i.Expiry.date() == datetime(2013,8,17).date()]
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if contracts:
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contract = contracts[0]
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self.Log("Bid Price" + str(contract.BidPrice))
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if float(contract.BidPrice) != 0.05:
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raise ValueError("Regression test failed: current bid price was not loaded from FOXA file and is not $0.05")
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''' Order fill event handler. On an order fill update the resulting information is passed to this method.
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<param name="orderEvent">Order event details containing details of the events</param> '''
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent)) |