Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
60 lines
2.4 KiB
Python
60 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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class BasicTemplateIndexOptionsAlgorithm(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, 2, 1)
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self.SetCash(1000000)
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self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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spxOptions = self.AddIndexOption(self.spx, Resolution.Minute)
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spxOptions.SetFilter(lambda x: x.CallsOnly())
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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) -> None:
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if self.spx not in data.Bars or not self.emaSlow.IsReady:
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return
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for chain in data.OptionChains.Values:
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for contract in chain.Contracts.Values:
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if self.Portfolio.Invested:
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continue
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if (self.emaFast > self.emaSlow and contract.Right == OptionRight.Call) or \
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(self.emaFast < self.emaSlow and contract.Right == OptionRight.Put):
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self.Liquidate(self.InvertOption(contract.Symbol))
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self.MarketOrder(contract.Symbol, 1)
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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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if self.Portfolio.TotalSaleVolume == 0:
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raise Exception("Trade volume should be greater than zero by the end of this algorithm")
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def InvertOption(self, symbol: Symbol) -> Symbol:
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return Symbol.CreateOption(
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symbol.Underlying,
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symbol.ID.Market,
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symbol.ID.OptionStyle,
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OptionRight.Put if symbol.ID.OptionRight == OptionRight.Call else OptionRight.Call,
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symbol.ID.StrikePrice,
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symbol.ID.Date
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)
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