Jhonathan Abreu
90a2c06a4c
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108 lines
5.4 KiB
Python
108 lines
5.4 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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import itertools
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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 Strangle and Short Strangle strategies.
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### </summary>
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class LongAndShortStrangleStrategiesAlgorithm(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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chain = slice.OptionChains.get(self._option_symbol)
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if chain is not None:
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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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groupedContracts = (list(group) for _, group in itertools.groupby(contracts, lambda x: x.Expiry))
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callContract = None
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putContract = None
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for group in groupedContracts:
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callContracts = sorted((contract for contract in group if contract.Right == OptionRight.Call),
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key=lambda x: x.Strike, reverse=True)
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putContracts = sorted((contract for contract in group if contract.Right == OptionRight.Put),
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key=lambda x: x.Strike)
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if len(callContracts) > 0 and len(putContracts) > 0 and callContracts[0].Strike > putContracts[0].Strike:
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callContract = callContracts[0]
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putContract = putContracts[0]
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break
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if callContract is not None and putContract is not None:
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self._strangle = OptionStrategies.Strangle(self._option_symbol, callContract.Strike, putContract.Strike, callContract.Expiry)
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self._short_strangle = OptionStrategies.ShortStrangle(self._option_symbol, callContract.Strike, putContract.Strike,
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callContract.Expiry)
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self.Buy(self._strangle, 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) != 2:
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raise Exception(f"Expected position group to have 2 positions. Actual: {len(positions)}")
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callPosition = next((position for position in positions if position.Symbol.ID.OptionRight == OptionRight.Call), None)
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if callPosition is None:
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raise Exception("Expected position group to have a call position")
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putPosition = next((position for position in positions if position.Symbol.ID.OptionRight == OptionRight.Put), None)
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if putPosition is None:
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raise Exception("Expected position group to have a put position")
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expectedCallPositionQuantity = 2
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expectedPutPositionQuantity = 2
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if callPosition.Quantity != expectedCallPositionQuantity:
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raise Exception(f"Expected call position quantity to be {expectedCallPositionQuantity}. Actual: {callPosition.Quantity}")
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if putPosition.Quantity != expectedPutPositionQuantity:
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raise Exception(f"Expected put position quantity to be {expectedPutPositionQuantity}. Actual: {putPosition.Quantity}")
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# Now we should be able to close the position using the inverse strategy (a short strangle)
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self.Buy(self._short_strangle, 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 != 4:
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raise Exception("Expected 4 orders to have been submitted and filled, 2 for buying the strangle and 2 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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