AlexCatarino
98a1b6a2a2
AddEquity and SetDataNormalization calls were removed because they are not mandatory since PostInitialize calls them.
72 lines
2.8 KiB
Python
72 lines
2.8 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from datetime import datetime, timedelta
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### <summary>
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### This regression algorithm tests option exercise and assignment functionality
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### We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
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### </summary>
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### <meta name="tag" content="regression test" />
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### <meta name="tag" content="options" />
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class OptionExerciseAssignRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(100000)
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self.SetStartDate(2015,12,24)
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self.SetEndDate(2015,12,24)
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option = self.AddOption("GOOG")
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# set our strike/expiry filter for this option chain
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option.SetFilter(self.UniverseFunc)
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self.SetBenchmark("GOOG")
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self._assignedOption = False
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def OnData(self, slice):
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if self.Portfolio.Invested: return
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for kvp in slice.OptionChains:
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chain = kvp.Value
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# find the call options expiring today
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contracts = filter(lambda x:
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x.Expiry.date() == self.Time.date() and
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x.Strike < chain.Underlying.Price and
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x.Right == OptionRight.Call, chain)
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# sorted the contracts by their strikes, find the second strike under market price
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sorted_contracts = sorted(contracts, key = lambda x: x.Strike, reverse = True)[:2];
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if sorted_contracts:
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self.MarketOrder(sorted_contracts[0].Symbol, 1)
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self.MarketOrder(sorted_contracts[1].Symbol, -1)
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# set our strike/expiry filter for this option chain
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def UniverseFunc(self, universe):
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return universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(10))
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent))
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def OnAssignmentOrderEvent(self, assignmentEvent):
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self.Log(str(assignmentEvent))
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self._assignedOption = True |