Louis Szeto
49 lines
2.0 KiB
Python
49 lines
2.0 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 IndexOptionBearPutSpreadAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2022, 1, 1)
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self.SetEndDate(2022, 7, 1)
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self.SetCash(100000)
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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.WeeklysOnly().Strikes(5, 10).Expiration(0, 0))
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self.spxw = option.Symbol
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self.tickets = []
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def OnData(self, slice: Slice) -> None:
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# Return if open position exists
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if any([self.Portfolio[x.Symbol].Invested for x in self.tickets]):
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return
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# Get option chain
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chain = slice.OptionChains.get(self.spxw)
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if not chain: return
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# Get the nearest expiry date of the contracts
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expiry = min([x.Expiry for x in chain])
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# Select the put Option contracts with the nearest expiry and sort by strike price
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puts = sorted([i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put],
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key=lambda x: x.Strike)
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if len(puts) < 2: return
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# Buy the bear put spread
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bear_put_spread = OptionStrategies.BearPutSpread(self.spxw, puts[-1].Strike, puts[0].Strike, expiry)
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self.tickets = self.Buy(bear_put_spread, 1) |