Stefano Raggi
9b3909b6e8
The algorithm had two issues: 1. the LINQ query for contract selection was not including the option right (Put or Call) 2. the algorithm was submitting two extra orders at the end of the day (when market closed) A helper method was also added in QCAlgorithm to determine if the market is open for a given symbol at the current time.
92 lines
3.9 KiB
C#
92 lines
3.9 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add options for a given underlying equity security.
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/// It also shows how you can prefilter contracts easily based on strikes and expirations.
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/// It also shows how you can inspect the option chain to pick a specific option contract to trade.
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/// </summary>
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public class BasicTemplateOptionsAlgorithm : QCAlgorithm
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{
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private const string UnderlyingTicker = "GOOG";
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public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
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public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
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public override void Initialize()
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{
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(100000);
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var equity = AddEquity(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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// set our strike/expiry filter for this option chain
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option.SetFilter(u => u.Strikes(-2, +2)
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.Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));
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// use the underlying equity as the benchmark
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SetBenchmark(equity.Symbol);
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested && IsMarketOpen(OptionSymbol))
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{
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
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{
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// we find at the money (ATM) put contract with farthest expiration
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var atmContract = chain
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.OrderByDescending(x => x.Expiry)
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.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
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.ThenByDescending(x => x.Right)
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.FirstOrDefault();
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if (atmContract != null)
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{
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// if found, trade it
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MarketOrder(atmContract.Symbol, 1);
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MarketOnCloseOrder(atmContract.Symbol, -1);
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}
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}
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the evemts</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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}
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}
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