Jhonathan Abreu
91 lines
4.5 KiB
Python
91 lines
4.5 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
|
|
### In this case, the algorithm tests the Covered and Protective Put strategies.
|
|
### </summary>
|
|
class CoveredAndProtectivePutStrategiesAlgorithm(QCAlgorithm):
|
|
|
|
def Initialize(self):
|
|
self.SetStartDate(2015, 12, 24)
|
|
self.SetEndDate(2015, 12, 24)
|
|
self.SetCash(1000000)
|
|
|
|
option = self.AddOption("GOOG")
|
|
self._option_symbol = option.Symbol
|
|
|
|
option.SetFilter(-2, +2, 0, 180)
|
|
|
|
self.SetBenchmark("GOOG")
|
|
|
|
def OnData(self,slice):
|
|
if not self.Portfolio.Invested:
|
|
for kvp in slice.OptionChains:
|
|
chain = kvp.Value
|
|
contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)),
|
|
key = lambda x: x.Expiry, reverse=True)
|
|
|
|
if len(contracts) == 0: continue
|
|
contract = contracts[0]
|
|
if contract != None:
|
|
self._covered_put = OptionStrategies.CoveredPut(self._option_symbol, contract.Strike, contract.Expiry)
|
|
self._protective_put = OptionStrategies.ProtectivePut(self._option_symbol, contract.Strike, contract.Expiry)
|
|
self.Buy(self._covered_put, 2)
|
|
else:
|
|
# Verify that the strategy was traded
|
|
positionGroup = list(self.Portfolio.Positions.Groups)[0]
|
|
|
|
buyingPowerModel = positionGroup.BuyingPowerModel
|
|
if not isinstance(buyingPowerModel, OptionStrategyPositionGroupBuyingPowerModel):
|
|
raise Exception("Expected position group buying power model type: OptionStrategyPositionGroupBuyingPowerModel. "
|
|
f"Actual: {type(positionGroup.BuyingPowerModel).__name__}")
|
|
|
|
positions = list(positionGroup.Positions)
|
|
if len(positions) != 2:
|
|
raise Exception(f"Expected position group to have 2 positions. Actual: {len(positions)}")
|
|
|
|
optionPosition = [position for position in positions if position.Symbol.SecurityType == SecurityType.Option][0]
|
|
if optionPosition.Symbol.ID.OptionRight != OptionRight.Put:
|
|
raise Exception(f"Expected option position to be a put. Actual: {optionPosition.Symbol.ID.OptionRight}")
|
|
|
|
underlyingPosition = [position for position in positions if position.Symbol.SecurityType == SecurityType.Equity][0]
|
|
expectedOptionPositionQuantity = -2
|
|
expectedUnderlyingPositionQuantity = -2 * self.Securities[self._option_symbol].SymbolProperties.ContractMultiplier
|
|
|
|
if optionPosition.Quantity != expectedOptionPositionQuantity:
|
|
raise Exception(f"Expected option position quantity to be {expectedOptionPositionQuantity}. Actual: {optionPosition.Quantity}")
|
|
|
|
if underlyingPosition.Quantity != expectedUnderlyingPositionQuantity:
|
|
raise Exception(f"Expected underlying position quantity to be {expectedUnderlyingPositionQuantity}. Actual: {underlyingPosition.Quantity}")
|
|
|
|
# Now we should be able to close the position using the inverse strategy (a protective put)
|
|
self.Buy(self._protective_put, 2);
|
|
|
|
# We can quit now, no more testing required
|
|
self.Quit();
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if self.Portfolio.Invested:
|
|
raise Exception("Expected no holdings at end of algorithm")
|
|
|
|
orders_count = len(list(self.Transactions.GetOrders(lambda order: order.Status == OrderStatus.Filled)))
|
|
if orders_count != 4:
|
|
raise Exception("Expected 4 orders to have been submitted and filled, 2 for buying the covered put and 2 for the liquidation. "
|
|
f"Actual {orders_count}")
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Debug(str(orderEvent))
|