c4cbef9 Dec 29, 2016
97 lines (87 sloc) 4.24 KB
* 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
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* 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>
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);
var equity = AddEquity(UnderlyingTicker);
var option = AddOption(UnderlyingTicker);
// set our custom filter for this option chain
option.SetFilter(universe => from symbol in universe
.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
/// <summary>
/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
/// </summary>
/// <param name="slice">The current slice of data keyed by symbol string</param>
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
if (contract != null)
MarketOrder(contract.Symbol, 1);
/// <summary>
/// Order fill event handler. On an order fill update the resulting information is passed to this method.
/// </summary>
/// <param name="orderEvent">Order event details containing details of the evemts</param>
/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
public override void OnOrderEvent(OrderEvent orderEvent)