Louis Szeto
14b10f5e81
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* Add example of bear call spread using index option * consistency * Add bull call spread * peer review * peer review * address peer review * bug fix * fix filter * Address peer review
72 lines
2.5 KiB
C#
72 lines
2.5 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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using System.Linq;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class IndexOptionBearCallSpreadAlgorithm : QCAlgorithm
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{
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private Symbol _vixw, _spy;
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private List<Leg> _legs = new();
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public override void Initialize()
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{
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SetStartDate(2020, 1, 1);
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SetEndDate(2021, 1, 1);
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SetCash(100000);
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_spy = AddEquity("SPY", Resolution.Minute).Symbol;
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var index = AddIndex("VIX", Resolution.Minute).Symbol;
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var option = AddIndexOption(index, "VIXW", Resolution.Minute);
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option.SetFilter((x) => x.Strikes(-5, 5).Expiration(15, 45));
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_vixw = option.Symbol;
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}
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public override void OnData(Slice slice)
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{
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if (!Portfolio[_spy].Invested)
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{
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MarketOrder(_spy, 100);
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}
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// Return if hedge position presents
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if (_legs.Any(x => Portfolio[x.Symbol].Invested)) return;
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// Get the OptionChain
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if (!slice.OptionChains.TryGetValue(_vixw, out var chain)) return;
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// Get the nearest expiry date of the contracts
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var expiry = chain.Min(x => x.Expiry);
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// Select the call Option contracts with the nearest expiry and sort by strike price
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var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call)
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.OrderBy(x => x.Strike).ToArray();
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if (calls.Length < 2) return;
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// Create combo order legs
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_legs = new List<Leg>
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{
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Leg.Create(calls[0].Symbol, -1),
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Leg.Create(calls[^1].Symbol, 1)
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};
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ComboMarketOrder(_legs, 1);
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}
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}
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} |