Louis Szeto
c2efa65048
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* Add index weeklies' Call/Put Butterfly sample algo * Address peer review
67 lines
2.7 KiB
Python
67 lines
2.7 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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#region imports
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from AlgorithmImports import *
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#endregion
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class IndexOptionCallButterflyAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 1, 1)
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self.SetEndDate(2021, 1, 1)
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self.SetCash(1000000)
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self.vxz = self.AddEquity("VXZ", Resolution.Minute).Symbol
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index = self.AddIndex("SPX", Resolution.Minute).Symbol
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option = self.AddIndexOption(index, "SPXW", Resolution.Minute)
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option.SetFilter(lambda x: x.IncludeWeeklys().Strikes(-3, 3).Expiration(15, 45))
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self.option = option.Symbol
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self.multiplier = option.SymbolProperties.ContractMultiplier
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self.legs = []
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def OnData(self, slice: Slice) -> None:
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# The order of magnitude per SPXW order's value is 10000 times of VXZ
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if not self.Portfolio[self.vxz].Invested:
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self.MarketOrder(self.vxz, 10000)
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# Return if any opening index option position
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if any([self.Portfolio[x.Symbol].Invested for x in self.legs]): return
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# Get the OptionChain
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chain = slice.OptionChains.get(self.option)
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if not chain: return
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# Get nearest expiry date
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expiry = min([x.Expiry for x in chain])
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# Select the call Option contracts with nearest expiry and sort by strike price
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calls = [x for x in chain if x.Expiry == expiry and x.Right == OptionRight.Call]
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if len(calls) < 3: return
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sorted_calls = sorted(calls, key=lambda x: x.Strike)
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# Select ATM call
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atm_call = sorted(calls, key=lambda x: abs(x.Strike - chain.Underlying.Value))[0]
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# Create combo order legs
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self.legs = [
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Leg.Create(sorted_calls[0].Symbol, -1),
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Leg.Create(sorted_calls[-1].Symbol, -1),
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Leg.Create(atm_call.Symbol, 2)
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]
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price = sum([abs(self.Securities[x.Symbol].Price * x.Quantity) * self.multiplier for x in self.legs])
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if price > 0:
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quantity = self.Portfolio.TotalPortfolioValue // price
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self.ComboMarketOrder(self.legs, -quantity, asynchronous=True) |