Jing Wu
72 lines
2.9 KiB
Python
72 lines
2.9 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from datetime import timedelta
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class BasicTemplateOptionTradesAlgorithm(QCAlgorithm):
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''' This example demonstrates how to add options for a given underlying equity security.
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It also shows how you can prefilter contracts easily based on strikes and expirations.
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It also shows how you can inspect the option chain to pick a specific option contract to trade.'''
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def Initialize(self):
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self.SetStartDate(2015, 1, 1)
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self.SetEndDate(2015, 3, 20)
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self.SetCash(100000)
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equity = self.AddEquity("GOOG", Resolution.Minute)
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option = self.AddOption("GOOG", Resolution.Minute)
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self.symbol = option.Symbol
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# set our strike/expiry filter for this option chain
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option.SetFilter(-2, +2, timedelta(0), timedelta(30))
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equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
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# use the underlying equity as the benchmark
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self.SetBenchmark(equity.Symbol)
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def OnData(self,slice):
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if not self.Portfolio.Invested:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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# find the second call strike under market price expiring today
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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=False)
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if len(contracts) == 0: continue
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if contracts[0] != None:
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self.MarketOrder(contracts[0].Symbol, 1)
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else:
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self.Liquidate()
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for kpv in slice.Bars:
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self.Log("---> OnData: {0}, {1}, {2}".format(self.Time, kpv.Key.Value, str(kpv.Value.Close)))
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def OnOrderEvent(self, orderEvent):
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''' Order fill event handler. On an order fill update the resulting information is passed to this method.
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<param name="orderEvent">Order event details containing details of the events</param> '''
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self.Log(str(orderEvent))
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