Jhonathan Abreu
bdcb6d9474
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* Account for premium in option strategies margin * Minor fixes * Add OptionInitialMargin class to separate strategies margin and premium * Minor fix * Minor fix * Cleanup, docs and other minor changes * Minor changes * Minor changes * Minor changes * Address peer review
69 lines
2.7 KiB
Python
69 lines
2.7 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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### Shows how setting to use the SecurityMarginModel.Null (or BuyingPowerModel.Null)
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### to disable the sufficient margin call verification.
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### See also: <see cref="OptionEquityBullCallSpreadRegressionAlgorithm"/>
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### </summary>
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### <meta name="tag" content="reality model" />
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class NullBuyingPowerOptionBullCallSpreadAlgorithm(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(200000)
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self.SetSecurityInitializer(lambda security: security.SetMarginModel(SecurityMarginModel.Null))
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self.Portfolio.SetPositions(SecurityPositionGroupModel.Null);
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equity = self.AddEquity("GOOG")
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option = self.AddOption(equity.Symbol)
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self.optionSymbol = option.Symbol
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option.SetFilter(-2, 2, 0, 180)
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def OnData(self, slice):
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if self.Portfolio.Invested or not self.IsMarketOpen(self.optionSymbol):
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return
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chain = slice.OptionChains.get(self.optionSymbol)
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if chain:
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call_contracts = [x for x in chain if x.Right == OptionRight.Call]
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expiry = min(x.Expiry for x in call_contracts)
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call_contracts = sorted([x for x in call_contracts if x.Expiry == expiry],
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key = lambda x: x.Strike)
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long_call = call_contracts[0]
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short_call = [x for x in call_contracts if x.Strike > long_call.Strike][0]
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quantity = 1000
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tickets = [
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self.MarketOrder(short_call.Symbol, -quantity),
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self.MarketOrder(long_call.Symbol, quantity)
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]
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for ticket in tickets:
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if ticket.Status != OrderStatus.Filled:
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raise Exception(f"There should be no restriction on buying {ticket.Quantity} of {ticket.Symbol} with BuyingPowerModel.Null")
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def OnEndOfAlgorithm(self) -> None:
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if self.Portfolio.TotalMarginUsed != 0:
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raise Exception("The TotalMarginUsed should be zero to avoid margin calls.")
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