Louis Szeto
020cf013df
* CustomDataRegressionAlgorithm * DescendingCustomDataObjectStoreRegressionAlgorithm * CustomDataPropertiesRegressionAlgorithm * DateTime -> should be datetime * KerasNeuralNetworkAlgorithm * OptionIndicatorsMirrorContractsRegressionAlgorithm * BybitCustomDataCryptoRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * UserDefinedUniverseAlgorithm * CompleteOrderTagUpdateAlgorithm * BasicTemplateOptionEquityStrategyAlgorithm hint * ETFConstituentUniverseFrameworkRegressionAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * SecurityDynamicPropertyPythonClassAlgorithm * hint * hinting * CallbackCommandRegressionAlgorithm * CustomWarmUpPeriodIndicatorAlgorithm * CrunchDAOSignalExportDemonstrationAlgorithm * ExpiryHelperAlphaModelFrameworkAlgorithm * ClassicRenkoConsolidatorAlgorithm * SmaCrossUniverseSelectionAlgorithm * PEP8 Fix: Assigning to a Method * SliceGetByTypeRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * CustomIndicatorAlgorithm * ScheduledQueuingAlgorithm * ComboOrdersFillModelAlgorithm * CustomIndicatorWithExtensionAlgorithm * IndicatorWithRenkoBarsRegressionAlgorithm * CoarseFineOptionUniverseChainRegressionAlgorithm * NumeraiSignalExportDemonstrationAlgorithm * DropboxUniverseSelectionAlgorithm * WeeklyUniverseSelectionRegressionAlgorithm * AutoRegressiveIntegratedMovingAverageRegressionAlgorithm * DropboxBaseDataUniverseSelectionAlgorithm * IronCondorStrategyAlgorithm * LongAndShortButterflyPutStrategiesAlgorithm * FutureStopMarketOrderOnExtendedHoursRegressionAlgorithm * LongAndShortCallCalendarSpreadStrategiesAlgorithm * KerasNeuralNetworkAlgorithm * LongAndShortPutCalendarSpreadStrategiesAlgorithm * OptionPriceModelForOptionStylesBaseRegressionAlgorithm * TensorFlowNeuralNetworkAlgorithm * MarketOnCloseOrderBufferRegressionAlgorithm * MarketOnCloseOrderBufferExtendedMarketHoursRegressionAlgorithm * typing * ComboOrderTicketDemoAlgorithm * PytorchNeuralNetworkAlgorithm * MultipleSymbolConsolidationAlgorithm * fixes * revert getattr mypy syntax * address peer review * Addresses Peer-Review --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
67 lines
3.0 KiB
Python
67 lines
3.0 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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### <summary>
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### This example demonstrates how to execute a Call Butterfly option equity strategy
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### It adds options for a given underlying equity security, and shows how you can prefilter contracts easily based on strikes and expirations
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="options" />
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### <meta name="tag" content="filter selection" />
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### <meta name="tag" content="trading and orders" />
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class BasicTemplateOptionEquityStrategyAlgorithm(QCAlgorithm):
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underlying_ticker = "GOOG"
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def initialize(self) -> None:
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self.set_start_date(2015, 12, 24)
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self.set_end_date(2015, 12, 24)
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equity = self.add_equity(self.underlying_ticker)
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option = self.add_option(self.underlying_ticker)
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self._option_symbol = option.symbol
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# set our strike/expiry filter for this option chain
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option.set_filter(lambda u: (u.strikes(-2, +2)
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# Expiration method accepts TimeSpan objects or integer for days.
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# The following statements yield the same filtering criteria
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.expiration(0, 180)))
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def on_data(self, slice: Slice) -> None:
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if self.portfolio.invested or not self.is_market_open(self._option_symbol):
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return
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chain = slice.option_chains.get_value(self._option_symbol)
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if chain is None:
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return
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grouped_by_expiry = dict()
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for contract in [contract for contract in chain if contract.right == OptionRight.CALL]:
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grouped_by_expiry.setdefault(int(contract.expiry.timestamp()), []).append(contract)
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first_expiry = list(sorted(grouped_by_expiry))[0]
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call_contracts = sorted(grouped_by_expiry[first_expiry], key = lambda x: x.strike)
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expiry = call_contracts[0].expiry
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lower_strike = call_contracts[0].strike
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middle_strike = call_contracts[1].strike
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higher_strike = call_contracts[2].strike
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option_strategy = OptionStrategies.call_butterfly(self._option_symbol, higher_strike, middle_strike, lower_strike, expiry)
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self.order(option_strategy, 10)
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def on_order_event(self, order_event: OrderEvent) -> None:
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self.log(str(order_event))
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