Martin-Molinero
e42d84319d
* Add support for Null SecurityPositionGroupModel - Add support for algorithms to set the null security position group model which will not group securities together but rather return the single group buying power model. Adding regression algorithms * Add Null Margin python regression & cleanup - Add python regression algorithm & minor regression algorithms clean up
51 lines
2.4 KiB
Python
51 lines
2.4 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 AlgorithmImports import *
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### <summary>
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### Regression algorithm asserting the behavior of specifying a null position group allowing us to fill orders which would be invalid if not
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### </summary>
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class NullMarginMultipleOrdersRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2015, 12, 24)
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self.SetEndDate(2015, 12, 24)
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self.SetCash(10000)
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# override security position group model
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self.Portfolio.SetPositions(SecurityPositionGroupModel.Null)
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# override margin requirements
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self.SetSecurityInitializer(lambda security: security.SetBuyingPowerModel(ConstantBuyingPowerModel(1)))
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equity = self.AddEquity("GOOG", leverage=4, fillForward=True)
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option = self.AddOption(equity.Symbol, fillForward=True)
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self._optionSymbol = option.Symbol
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option.SetFilter(lambda u: u.Strikes(-2, +2).Expiration(0, 180))
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def OnData(self, data: Slice):
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if not self.Portfolio.Invested:
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if self.IsMarketOpen(self._optionSymbol):
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chain = data.OptionChains.GetValue(self._optionSymbol)
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if chain is not None:
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callContracts = [contract for contract in chain if contract.Right == OptionRight.Call]
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callContracts.sort(key=lambda x: (x.Expiry, 1/ x.Strike), reverse=True)
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optionContract = callContracts[0]
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self.MarketOrder(optionContract.Symbol.Underlying, 1000)
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self.MarketOrder(optionContract.Symbol, -10)
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if self.Portfolio.TotalMarginUsed != 1010:
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raise ValueError(f"Unexpected margin used {self.Portfolio.TotalMarginUsed}")
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