Louis Szeto
c2efa65048
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Add index weeklies' Call/Put Butterfly sample algo * Address peer review
87 lines
3.2 KiB
C#
87 lines
3.2 KiB
C#
/*
|
|
* 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.
|
|
*/
|
|
|
|
using System;
|
|
using System.Linq;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Orders;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
public class IndexOptionCallButterflyAlgorithm : QCAlgorithm
|
|
{
|
|
private Symbol _spxw, _vxz;
|
|
private decimal _multiplier;
|
|
private List<Leg> _legs = new();
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2020, 1, 1);
|
|
SetEndDate(2021, 1, 1);
|
|
SetCash(1000000);
|
|
|
|
_vxz = AddEquity("VXZ", Resolution.Minute).Symbol;
|
|
|
|
var index = AddIndex("SPX", Resolution.Minute).Symbol;
|
|
var option = AddIndexOption(index, "SPXW", Resolution.Minute);
|
|
option.SetFilter((x) => x.IncludeWeeklys().Strikes(-3, 3).Expiration(15, 45));
|
|
|
|
_spxw = option.Symbol;
|
|
_multiplier = option.SymbolProperties.ContractMultiplier;
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
// The order of magnitude per SPXW order's value is 10000 times of VXZ
|
|
if (!Portfolio[_vxz].Invested)
|
|
{
|
|
MarketOrder(_vxz, 10000);
|
|
}
|
|
|
|
// Return if any opening index option position
|
|
if (_legs.Any(x => Portfolio[x.Symbol].Invested)) return;
|
|
|
|
// Get the OptionChain
|
|
if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
|
|
|
|
// Get nearest expiry date
|
|
var expiry = chain.Min(x => x.Expiry);
|
|
|
|
// Select the call Option contracts with nearest expiry and sort by strike price
|
|
var calls = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Call).ToList();
|
|
if (calls.Count < 3) return;
|
|
var sortedCalls = calls.OrderBy(x => x.Strike).ToArray();
|
|
|
|
// Select ATM call
|
|
var atmCall = calls.MinBy(x => Math.Abs(x.Strike - chain.Underlying.Value));
|
|
|
|
// Create combo order legs
|
|
_legs = new List<Leg>
|
|
{
|
|
Leg.Create(sortedCalls[0].Symbol, -1),
|
|
Leg.Create(sortedCalls[^1].Symbol, -1),
|
|
Leg.Create(atmCall.Symbol, 2)
|
|
};
|
|
var price = _legs.Sum(x => Math.Abs(Securities[x.Symbol].Price * x.Quantity) * _multiplier);
|
|
if (price > 0)
|
|
{
|
|
var quantity = Portfolio.TotalPortfolioValue / price;
|
|
ComboMarketOrder(_legs, -(int)Math.Floor(quantity), asynchronous: true);
|
|
}
|
|
|
|
}
|
|
}
|
|
} |