Louis Szeto
6d5f5dce58
* pep8 conversion * PEP8 updates/fixes * Minor update --------- Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
90 lines
3.6 KiB
Python
90 lines
3.6 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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### Demonstration of how to chain a coarse and fine universe selection with an option chain universe selection model
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### that will add and remove an'OptionChainUniverse' for each symbol selected on fine
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### </summary>
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class CoarseFineOptionUniverseChainRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.set_start_date(2014,6,4) #Set Start Date
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self.set_end_date(2014,6,6) #Set End Date
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self.universe_settings.resolution = Resolution.MINUTE
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self._twx = Symbol.create("TWX", SecurityType.EQUITY, Market.USA)
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self._aapl = Symbol.create("AAPL", SecurityType.EQUITY, Market.USA)
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self._last_equity_added = None
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self._changes = None
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self._option_count = 0
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universe = self.add_universe(self.coarse_selection_function, self.fine_selection_function)
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self.add_universe_options(universe, self.option_filter_function)
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def option_filter_function(self, universe):
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universe.include_weeklys().front_month()
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contracts = list()
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for symbol in universe:
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if len(contracts) == 5:
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break
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contracts.append(symbol)
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return universe.contracts(contracts)
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def coarse_selection_function(self, coarse):
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if self.time <= datetime(2014,6,5):
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return [ self._twx ]
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return [ self._aapl ]
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def fine_selection_function(self, fine):
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if self.time <= datetime(2014,6,5):
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return [ self._twx ]
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return [ self._aapl ]
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def on_data(self, data):
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if self._changes == None or any(security.price == 0 for security in self._changes.added_securities):
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return
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# liquidate removed securities
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for security in self._changes.removed_securities:
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if security.invested:
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self.liquidate(security.symbol)
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for security in self._changes.added_securities:
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if not security.symbol.has_underlying:
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self._last_equity_added = security.symbol
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else:
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# options added should all match prev added security
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if security.symbol.underlying != self._last_equity_added:
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raise ValueError(f"Unexpected symbol added {security.symbol}")
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self._option_count += 1
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self.set_holdings(security.symbol, 0.05)
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self._changes = None
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# this event fires whenever we have changes to our universe
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def on_securities_changed(self, changes):
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if self._changes == None:
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self._changes = changes
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return
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self._changes = self._changes + changes
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def on_end_of_algorithm(self):
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if self._option_count == 0:
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raise ValueError("Option universe chain did not add any option!")
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