Colton Sellers
20910ca2dc
* Remove regression references to non-existant Python versions * Adjust regressions estimated capacity not adjusted by #5389 * Adjusts regression algorithms so that they pass (Index/Index Options) * Changes start/end date on BasicTemplateIndexAlgorithm * Changes option pricing model to BlackScholes in IndexOptionCallITMGreeksExpiryRegressionAlgorithm - The root cause of why there are no greeks at times for these options was identified. It is most likely due to the underlying's VolatilityModel not having had enough data to be "warmed up", which means it will return a standard deviation of zero to the option pricing model, rendering most metrics as NaN. * Adds missing index/index options regression algorithms - Regression algorithms are now 1-1 between C# and Python for Indexes/Index options. All regression tests are now passing * Fixes broken BasicTemplateIndex regression algorithm * Previously traded SPY, but because we have no SPY data in Lean master, I instead opted for index options, since data for those dates is already included * Deal with weekend for breaking test case * Adjust DefaultEndDate test to always pass * Check todays date for open Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
60 lines
2.0 KiB
Python
60 lines
2.0 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 datetime import datetime
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Indicators import *
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from QuantConnect import *
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class BasicTemplateIndexAlgorithm(QCAlgorithm):
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def Initialize(self) -> None:
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 15)
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self.SetCash(1000000)
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# Use indicator for signal; but it cannot be traded
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self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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# Trade on SPX ITM calls
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self.spxOption = Symbol.CreateOption(
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self.spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3200,
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datetime(2021, 1, 15)
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)
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self.AddIndexOptionContract(self.spxOption, Resolution.Minute)
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self.emaSlow = self.EMA(self.spx, 80)
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self.emaFast = self.EMA(self.spx, 200)
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def OnData(self, data: Slice):
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if self.spx not in data.Bars or self.spxOption not in data.Bars:
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return
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if not self.emaSlow.IsReady:
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return
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if self.emaFast > self.emaSlow:
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self.SetHoldings(self.spxOption, 1)
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else:
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self.Liquidate()
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def OnEndOfAlgorithm(self) -> None:
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if self.Portfolio[self.spx].TotalSaleVolume > 0:
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raise Exception("Index is not tradable.")
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