quant1729
512b4064c1
Added futures symbols map file to the project due to very slow IQFeed symbol update function (account changes?) Changed BasicTemplateOptionsAlgorithm.cs to run a single option position (enter/exit)
97 lines
3.9 KiB
C#
97 lines
3.9 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add options for a given underlying equity security.
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/// It also shows how you can prefilter contracts easily based on strikes and expirations.
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/// It also shows how you can inspect the option chain to pick a specific option contract to trade.
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/// </summary>
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public class BasicTemplateOptionsAlgorithm : QCAlgorithm
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{
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private const string UnderlyingTicker = "GOOG";
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public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
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public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
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public override void Initialize()
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{
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(10000);
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var equity = AddEquity(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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// set our strike/expiry filter for this option chain
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option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(10));
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// use the underlying equity as the benchmark
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SetBenchmark(equity.Symbol);
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}
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/// <summary>
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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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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
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{
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// find the second call strike under market price expiring today
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var contract = chain
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.OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
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.ThenByDescending(x => x.Expiry)
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.FirstOrDefault();
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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}
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else
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{
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Liquidate();
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}
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foreach (var kpv in slice.Bars)
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{
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Console.WriteLine("---> OnData: {0}, {1}, {2}", Time, kpv.Key.Value, kpv.Value.Close.ToString("0.00"));
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}
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}
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/// <summary>
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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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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the evemts</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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}
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}
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