-
-
Notifications
You must be signed in to change notification settings - Fork 3.2k
/
BasicTemplateIndexOptionsAlgorithm.py
59 lines (48 loc) · 2.45 KB
/
BasicTemplateIndexOptionsAlgorithm.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
# 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 AlgorithmImports import *
class BasicTemplateIndexOptionsAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 4)
self.set_end_date(2021, 2, 1)
self.set_cash(1000000)
self.spx = self.add_index("SPX", Resolution.MINUTE).symbol
spx_options = self.add_index_option(self.spx, Resolution.MINUTE)
spx_options.set_filter(lambda x: x.calls_only())
self.ema_slow = self.ema(self.spx, 80)
self.ema_fast = self.ema(self.spx, 200)
def on_data(self, data: Slice) -> None:
if self.spx not in data.bars or not self.ema_slow.is_ready:
return
for chain in data.option_chains.values():
for contract in chain.contracts.values():
if self.portfolio.invested:
continue
if (self.ema_fast > self.ema_slow and contract.right == OptionRight.CALL) or \
(self.ema_fast < self.ema_slow and contract.right == OptionRight.PUT):
self.liquidate(self.invert_option(contract.symbol))
self.market_order(contract.symbol, 1)
def on_end_of_algorithm(self) -> None:
if self.portfolio[self.spx].total_sale_volume > 0:
raise Exception("Index is not tradable.")
if self.portfolio.total_sale_volume == 0:
raise Exception("Trade volume should be greater than zero by the end of this algorithm")
def invert_option(self, symbol: Symbol) -> Symbol:
return Symbol.create_option(
symbol.underlying,
symbol.id.market,
symbol.id.option_style,
OptionRight.PUT if symbol.id.option_right == OptionRight.CALL else OptionRight.CALL,
symbol.id.strike_price,
symbol.id.date
)