Louis Szeto
72a6ea9d31
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* Add SPXW Iron Condor example algorithm * review * peer review * Address peer review
62 lines
2.4 KiB
Python
62 lines
2.4 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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#region imports
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from AlgorithmImports import *
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#endregion
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class IndexOptionIronCondorAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2019, 9, 1)
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self.SetEndDate(2019, 11, 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, 5).Expiration(0, 14))
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self.spxw = option.Symbol
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self.bb = self.BB(index, 10, 2, resolution=Resolution.Daily)
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self.WarmUpIndicator(index, self.bb)
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def OnData(self, slice: Slice) -> None:
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if self.Portfolio.Invested: return
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# Get the OptionChain
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chain = slice.OptionChains.get(self.spxw)
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if not chain: return
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# Get the closest expiry date
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expiry = min([x.Expiry for x in chain])
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chain = [x for x in chain if x.Expiry == expiry]
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# Separate the call and put contracts and sort by Strike to find OTM contracts
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calls = sorted([x for x in chain if x.Right == OptionRight.Call], key=lambda x: x.Strike, reverse=True)
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puts = sorted([x for x in chain if x.Right == OptionRight.Put], key=lambda x: x.Strike)
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if len(calls) < 3 or len(puts) < 3: return
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# Create combo order legs
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price = self.bb.Price.Current.Value
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quantity = 1
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if price > self.bb.UpperBand.Current.Value or price < self.bb.LowerBand.Current.Value:
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quantity = -1
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legs = [
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Leg.Create(calls[0].Symbol, quantity),
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Leg.Create(puts[0].Symbol, quantity),
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Leg.Create(calls[2].Symbol, -quantity),
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Leg.Create(puts[2].Symbol, -quantity)
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]
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self.ComboMarketOrder(legs, 10, asynchronous=True) |