Colton Sellers
33599b473d
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Move processing of delistings to Brokerage * Deal with case that exchange is not open on OptionSymbol.ID.Date * Refactor solution to use DelistingNotification event * Adjust some regression expected liquidation time * Mark some todos on deprecated functions * Update expected liqudation time for Py regressions * Update regressions that have been validated * Use HandlePositionAssigned for assignment orders * Update regressions * Update some missed unit tests; remove one that is already covered by regression * Cleanup deprecated backend functions * nit - small cleanup adjustment * Post rebase fix * Address review * Minor tweak to py regression
55 lines
1.9 KiB
Python
55 lines
1.9 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 BasicTemplateIndexAlgorithm(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, 1, 18)
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self.SetCash(1000000)
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# Use indicator for signal; but it cannot be traded
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self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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# Trade on SPX ITM calls
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self.spxOption = Symbol.CreateOption(
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self.spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3200,
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datetime(2021, 1, 15)
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)
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self.AddIndexOptionContract(self.spxOption, Resolution.Minute)
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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):
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if self.spx not in data.Bars or self.spxOption not in data.Bars:
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return
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if not self.emaSlow.IsReady:
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return
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if self.emaFast > self.emaSlow:
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self.SetHoldings(self.spxOption, 1)
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else:
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self.Liquidate()
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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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