Jing Wu
76 lines
3.3 KiB
C#
76 lines
3.3 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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/*
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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 QuantConnect.Data;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration of the Option Chain Provider -- a much faster mechanism for manually specifying the option contracts you'd like to recieve
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/// data for and manually subscribing to them.
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/// </summary>
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/// <meta name="tag" content="strategy example" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="selecting options" />
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/// <meta name="tag" content="manual selection" />
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public class OptionChainProviderAlgorithm : QCAlgorithm
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{
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private Symbol _equitySymbol;
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public override void Initialize()
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{
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SetStartDate(2017, 06, 01);
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SetEndDate(2017, 07, 01);
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SetCash(100000);
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var equity = AddEquity("AMZN", Resolution.Minute);
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_equitySymbol = equity.Symbol;
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}
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested)
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{
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var contracts = OptionChainProvider.GetOptionContractList(_equitySymbol, data.Time);
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var underlyingPrice = Securities[_equitySymbol].Price;
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// filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
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var otmCalls = (from symbol in contracts
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where symbol.ID.OptionRight == OptionRight.Call
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where symbol.ID.StrikePrice - underlyingPrice > 0
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where ((symbol.ID.Date - data.Time).TotalDays < 30 && (symbol.ID.Date - data.Time).TotalDays > 10)
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select symbol);
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if (otmCalls.Count() != 0)
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{
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var contract = otmCalls.OrderBy(x => x.ID.Date)
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.ThenBy(x => (x.ID.StrikePrice - underlyingPrice))
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.FirstOrDefault();
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// Before placing the order, use AddOptionContract() to subscribe the requested contract symbol
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AddOptionContract(contract, Resolution.Minute);
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MarketOrder(contract, -1);
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MarketOrder(_equitySymbol, 100);
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}
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}
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}
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}
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} |