Michael Handschuh
fdc866fda0
We didn't experience the expected performance improvements. Locally under unit test there was aboout an order of magnitude throughput increase, but when run against the history benchmark, this new approach was 60% slower. We're reverting this for now to perform further analysis and better understand the performance profiling of the python history stack.
69 lines
2.8 KiB
Python
69 lines
2.8 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 clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Securities.Option import OptionStrategies
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from datetime import datetime, timedelta
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### <summary>
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### This algorithm demonstrate how to use Option Strategies (e.g. OptionStrategies.Straddle) helper classes to batch send orders for common strategies.
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### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you can inspect the
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### option chain to pick a specific option contract to trade.
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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="option strategies" />
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### <meta name="tag" content="filter selection" />
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class BasicTemplateOptionStrategyAlgorithm(QCAlgorithm):
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def Initialize(self):
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# Set the cash we'd like to use for our backtest
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self.SetCash(1000000)
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# Start and end dates for the backtest.
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self.SetStartDate(2015,12,24)
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self.SetEndDate(2015,12,24)
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# Add assets you'd like to see
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option = self.AddOption("GOOG")
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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.SetFilter(-2, +2, timedelta(0), timedelta(180))
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# use the underlying equity as the benchmark
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self.SetBenchmark("GOOG")
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def OnData(self,slice):
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if not self.Portfolio.Invested:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)),
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key = lambda x: x.Expiry, reverse=False)
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if len(contracts) == 0: continue
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atmStraddle = contracts[0]
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if atmStraddle != None:
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self.Sell(OptionStrategies.Straddle(self.option_symbol, atmStraddle.Strike, atmStraddle.Expiry), 2)
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else:
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self.Liquidate()
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent)) |