Jhonathan Abreu
615827f259
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* Add NakedCall and NakedPut strategies helper factory methods * Housekeeping
85 lines
3.8 KiB
Python
85 lines
3.8 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 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 Naked Call strategy.
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### </summary>
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class NakedCallStrategyAlgorithm(QCAlgorithm):
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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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self.SetCash(1000000)
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option = self.AddOption("GOOG")
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self._option_symbol = option.Symbol
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option.SetFilter(-2, +2, 0, 180)
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self.SetBenchmark("GOOG")
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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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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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if len(contracts) == 0: continue
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contract = contracts[0]
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if contract != None:
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self._naked_call = OptionStrategies.NakedCall(self._option_symbol, contract.Strike, contract.Expiry)
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self.Buy(self._naked_call, 2)
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else:
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# Verify that the strategy was traded
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positionGroup = list(self.Portfolio.Positions.Groups)[0]
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buyingPowerModel = positionGroup.BuyingPowerModel
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if not isinstance(buyingPowerModel, OptionStrategyPositionGroupBuyingPowerModel):
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raise Exception("Expected position group buying power model type: OptionStrategyPositionGroupBuyingPowerModel. "
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f"Actual: {type(positionGroup.BuyingPowerModel).__name__}")
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positions = list(positionGroup.Positions)
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if len(positions) != 1:
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raise Exception(f"Expected position group to have 1 positions. Actual: {len(positions)}")
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optionPosition = [position for position in positions if position.Symbol.SecurityType == SecurityType.Option][0]
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if optionPosition.Symbol.ID.OptionRight != OptionRight.Call:
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raise Exception(f"Expected option position to be a call. Actual: {optionPosition.Symbol.ID.OptionRight}")
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expectedOptionPositionQuantity = -2
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if optionPosition.Quantity != expectedOptionPositionQuantity:
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raise Exception(f"Expected option position quantity to be {expectedOptionPositionQuantity}. Actual: {optionPosition.Quantity}")
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# Now we can liquidate by selling the strategy
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self.Sell(self._naked_call, 2);
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# We can quit now, no more testing required
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self.Quit();
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise Exception("Expected no holdings at end of algorithm")
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orders_count = len(list(self.Transactions.GetOrders(lambda order: order.Status == OrderStatus.Filled)))
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if orders_count != 2:
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raise Exception("Expected 2 orders to have been submitted and filled, 1 for buying the Naked call and 1 for the liquidation. "
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f"Actual {orders_count}")
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def OnOrderEvent(self, orderEvent):
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self.Debug(str(orderEvent))
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