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BasicTemplateIndexOptionsAlgorithm.py
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63 lines (51 loc) · 2.51 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 QuantConnect.Algorithm import *
from QuantConnect.Data import *
from QuantConnect.Indicators import *
from QuantConnect import *
class BasicTemplateIndexOptionsAlgorithm(QCAlgorithm):
def Initialize(self) -> None:
self.SetStartDate(2021, 1, 4)
self.SetEndDate(2021, 2, 1)
self.SetCash(1000000)
self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
spxOptions = self.AddIndexOption(self.spx, Resolution.Minute)
spxOptions.SetFilter(lambda x: x.CallsOnly())
self.emaSlow = self.EMA(self.spx, 80)
self.emaFast = self.EMA(self.spx, 200)
def OnData(self, data: Slice) -> None:
if self.spx not in data.Bars or not self.emaSlow.IsReady:
return
for chain in data.OptionChains.Values:
for contract in chain.Contracts.Values:
if self.Portfolio.Invested:
continu
4579
e
if (self.emaFast > self.emaSlow and contract.Right == OptionRight.Call) or \
(self.emaFast < self.emaSlow and contract.Right == OptionRight.Put):
self.Liquidate(self.InvertOption(contract.Symbol))
self.MarketOrder(contract.Symbol, 1)
def OnEndOfAlgorithm(self) -> None:
if self.Portfolio[self.spx].TotalSaleVolume > 0:
raise Exception("Index is not tradable.")
if self.Portfolio.TotalSaleVolume == 0:
raise Exception("Trade volume should be greater than zero by the end of this algorithm")
def InvertOption(self, symbol: Symbol) -> Symbol:
return Symbol.CreateOption(
symbol.Underlying,
symbol.ID.Market,
symbol.ID.OptionStyle,
OptionRight.Put if symbol.ID.OptionRight == OptionRight.Call else OptionRight.Call,
symbol.ID.StrikePrice,
symbol.ID.Date
)