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BasicTemplateIndexAlgorithm.py
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59 lines (48 loc) · 2.01 KB
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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
from datetime import datetime
from QuantConnect.Algorithm import *
from QuantConnect.Data import *
from QuantConnect.Indicators import *
from QuantConnect import *
class BasicTemplateIndexAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.SetStartDate(2021, 1, 4)
self.SetEndDate(2021, 1, 15)
self.SetCash(1000000)
# Use indicator for signal; but it cannot be traded
self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
# Trade on SPX ITM calls
self.spxOption = Symbol.CreateOption(
self.spx,
Market.USA,
OptionStyle.European,
OptionRight.Call,
3200,
datetime(2021, 1, 15)
)
self.AddIndexOptionContract(self.spxOption, Resolution.Minute)
self.emaSlow = self.EMA(self.spx, 80)
self.emaFast = self.EMA(self.spx, 200)
def OnData(self, data: Slice):
if self.spx not in data.Bars or self.spxOption not in data.Bars:
return
if not self.emaSlow.IsReady:
return
if self.emaFast > self.emaSlow:
self.SetHoldings(self.spxOption, 1)
else:
self.Liquidate()
def OnEndOfAlgorithm(self) -> None:
if self.Portfolio[self.spx].TotalSaleVolume > 0:
raise Exception("Index is not tradable.")