Marco Grassi
e823dfdfb7
Regression Tests / build (push) Has been cancelled
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60 lines
2.7 KiB
Python
60 lines
2.7 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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### <summary>
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### We add an option contract using 'QCAlgorithm.AddOptionContract' and place a trade, the underlying
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### gets deselected from the universe selection but should still be present since we manually added the option contract.
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### Later we call 'QCAlgorithm.RemoveOptionContract' and expect both option and underlying to be removed.
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### </summary>
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class AddOptionContractExpiresRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2014, 6, 5)
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self.SetEndDate(2014, 6, 30)
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self._expiration = datetime(2014, 6, 21)
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self._option = None
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self._traded = False
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self._twx = Symbol.Create("TWX", SecurityType.Equity, Market.USA)
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self.AddUniverse("my-daily-universe-name", self.Selector)
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def Selector(self, time):
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return [ "AAPL" ]
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if self._option == None:
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options = self.OptionChainProvider.GetOptionContractList(self._twx, self.Time)
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options = sorted(options, key=lambda x: x.ID.Symbol)
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option = next((option for option in options if option.ID.Date == self._expiration and option.ID.OptionRight == OptionRight.Call and option.ID.OptionStyle == OptionStyle.American), None)
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if option != None:
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self._option = self.AddOptionContract(option).Symbol
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if self._option != None and self.Securities[self._option].Price != 0 and not self._traded:
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self._traded = True
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self.Buy(self._option, 1)
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if self.Time > self._expiration and self.Securities[self._twx].Invested:
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# we liquidate the option exercised position
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self.Liquidate(self._twx)
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