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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.
*
*/
using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// This example demonstrates how to add options for a given underlying equity security.
/// It also shows how you can prefilter contracts easily based on strikes and expirations.
/// It also shows how you can inspect the option chain to pick a specific option contract to trade.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="options" />
/// <meta name="tag" content="filter selection" />
public class BasicTemplateOptionsFilterUniverseAlgorithm : QCAlgorithm
{
private const string UnderlyingTicker = "GOOG";
public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
public override void Initialize()
{
SetStartDate(2015, 12, 24);
SetEndDate(2015, 12, 24);
SetCash(10000);
var equity = AddEquity(UnderlyingTicker);
var option = AddOption(UnderlyingTicker);
// set our custom filter for this option chain
option.SetFilter(universe => from symbol in universe
.WeeklysOnly()
.Expiration(TimeSpan.Zero, TimeSpan.FromDays(10))
where symbol.ID.OptionRight != OptionRight.Put &&
universe.Underlying.Price - symbol.ID.StrikePrice < 60
select symbol);
// use the underlying equity as the benchmark
SetBenchmark(equity.Symbol);
}
public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
OptionChain chain;
if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
{
// find the second call strike under market price expiring today
var contract = (
from optionContract in chain.OrderByDescending(x => x.Strike)
where optionContract.Right == OptionRight.Call
where optionContract.Expiry == Time.Date
where optionContract.Strike < chain.Underlying.Price
select optionContract
).Skip(2).FirstOrDefault();
if (contract != null)
{
MarketOrder(contract.Symbol, 1);
}
}
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
Log(orderEvent.ToString());
}
}
}
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