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FilterUniverseRegressionAlgorithm.py
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65 lines (51 loc) · 2.29 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 clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from datetime import timedelta
### <summary>
### This regression algorithm is for testing a custom Python filter for options
### that returns a OptionFilterUniverse.
### </summary>
### <meta name="tag" content="options" />
### <meta name="tag" content="filter selection" />
### <meta name="tag" content="regression test" />
class FilterUniverseRegressionAlgorithm(QCAlgorithm):
UnderlyingTicker = "GOOG"
def Initialize(self):
self.SetStartDate(2015, 12, 24)
self.SetEndDate(2015, 12, 24)
self.SetCash(100000)
equity = self.AddEquity(self.UnderlyingTicker)
option = self.AddOption(self.UnderlyingTicker)
self.OptionSymbol = option.Symbol
# Set our custom universe filter
option.SetFilter(self.FilterFunction)
# use the underlying equity as the benchmark
self.SetBenchmark(equity.Symbol)
def FilterFunction(self, universe):
universe = universe.WeeklysOnly().Strikes(-5, +5).CallsOnly().Expiration(0, 1)
return universe
def OnData(self,slice):
if self.Portfolio.Invested: return
for kvp in slice.OptionChains:
if kvp.Key != self.OptionSymbol: continue
chain = kvp.Value
contracts = [option for option in sorted(chain, key = lambda x:x.Strike, reverse = True)]
if contracts:
self.MarketOrder(contracts[0].Symbol, 1)