Jhonathan Abreu
756a61b8e0
* Add ShortCallCalendarSpread and ShortCalendarPutSpread strategies helper factory methods * Housekeeping
64 lines
3.5 KiB
Python
64 lines
3.5 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
import itertools
|
|
|
|
from OptionStrategyFactoryMethodsBaseAlgorithm import *
|
|
|
|
### <summary>
|
|
### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
|
|
### In this case, the algorithm tests the Call Calendar Spread and Short Call Calendar Spread strategies.
|
|
### </summary>
|
|
class LongAndShortCallCalendarSpreadStrategiesAlgorithm(OptionStrategyFactoryMethodsBaseAlgorithm):
|
|
|
|
def ExpectedOrdersCount(self) -> int:
|
|
return 4
|
|
|
|
def TradeStrategy(self, chain: OptionChain, option_symbol: Symbol):
|
|
callContracts = sorted((contract for contract in chain if contract.Right == OptionRight.Call),
|
|
key=lambda x: abs(x.Strike - chain.Underlying.Value))
|
|
for strike, group in itertools.groupby(callContracts, lambda x: x.Strike):
|
|
contracts = sorted(group, key=lambda x: x.Expiry)
|
|
if len(contracts) < 2: continue
|
|
|
|
self._near_expiration = contracts[0].Expiry
|
|
self._far_expiration = contracts[1].Expiry
|
|
|
|
self._call_calendar_spread = OptionStrategies.CallCalendarSpread(option_symbol, strike, self._near_expiration, self._far_expiration)
|
|
self._short_call_calendar_spread = OptionStrategies.ShortCallCalendarSpread(option_symbol, strike, self._near_expiration, self._far_expiration)
|
|
self.Buy(self._call_calendar_spread, 2)
|
|
return
|
|
|
|
def AssertStrategyPositionGroup(self, positionGroup: IPositionGroup, option_symbol: Symbol):
|
|
positions = list(positionGroup.Positions)
|
|
if len(positions) != 2:
|
|
raise Exception(f"Expected position group to have 2 positions. Actual: {len(positions)}")
|
|
|
|
nearExpirationPosition = next((position for position in positions
|
|
if position.Symbol.ID.OptionRight == OptionRight.Call and position.Symbol.ID.Date == self._near_expiration),
|
|
None)
|
|
if nearExpirationPosition is None or nearExpirationPosition.Quantity != -2:
|
|
raise Exception(f"Expected near expiration position to be -2. Actual: {nearExpirationPosition.Quantity}")
|
|
|
|
farExpirationPosition = next((position for position in positions
|
|
if position.Symbol.ID.OptionRight == OptionRight.Call and position.Symbol.ID.Date == self._far_expiration),
|
|
None)
|
|
if farExpirationPosition is None or farExpirationPosition.Quantity != 2:
|
|
raise Exception(f"Expected far expiration position to be 2. Actual: {farExpirationPosition.Quantity}")
|
|
|
|
def LiquidateStrategy(self):
|
|
# We should be able to close the position using the inverse strategy (a short call calendar spread)
|
|
self.Buy(self._short_call_calendar_spread, 2)
|