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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.Algorithm.Framework")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Orders import *
from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Alphas import *
from QuantConnect.Algorithm.Framework.Portfolio import *
from QuantConnect.Algorithm.Framework.Selection import *
from Alphas.ConstantAlphaModel import ConstantAlphaModel
from Selection.OptionUniverseSelectionModel import OptionUniverseSelectionModel
from Execution.ImmediateExecutionModel import ImmediateExecutionModel
from Risk.NullRiskManagementModel import NullRiskManagementModel
from datetime import date, timedelta
### <summary>
### Basic template options framework algorithm uses framework components
### to define an algorithm that trades options.
### </summary>
class BasicTemplateOptionsFrameworkAlgorithm(QCAlgorithm):
def Initialize(self):
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2014, 6, 5)
self.SetEndDate(2014, 6, 6)
self.SetCash(100000)
# set framework models
self.SetUniverseSelection(EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(self.SelectOptionChainSymbols))
self.SetAlpha(ConstantOptionContractAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(hours = 0.5)))
self.SetPortfolioConstruction(SingleSharePortfolioConstructionModel())
self.SetExecution(ImmediateExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def SelectOptionChainSymbols(self, utcTime):
newYorkTime = Extensions.ConvertFromUtc(utcTime, TimeZones.NewYork)
ticker = "TWX" if newYorkTime.date() < date(2014, 6, 6) else "AAPL"
return [ Symbol.Create(ticker, SecurityType.Option, Market.USA, f"?{ticker}") ]
class EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(OptionUniverseSelectionModel):
'''Creates option chain universes that select only the earliest expiry ATM weekly put contract
and runs a user defined optionChainSymbolSelector every day to enable choosing different option chains'''
def __init__(self, select_option_chain_symbols):
super().__init__(timedelta(1), select_option_chain_symbols)
def Filter(self, filter):
'''Defines the option chain universe filter'''
return (filter.Strikes(+1, +1)
.Expiration(timedelta(0), timedelta(7))
.WeeklysOnly()
.PutsOnly()
.OnlyApplyFilterAtMarketOpen())
class ConstantOptionContractAlphaModel(ConstantAlphaModel):
'''Implementation of a constant alpha model that only emits insights for option symbols'''
def __init__(self, type, direction, period):
super().__init__(type, direction, period)
def ShouldEmitInsight(self, utcTime, symbol):
# only emit alpha for option symbols and not underlying equity symbols
if symbol.SecurityType != SecurityType.Option:
return False
return super().ShouldEmitInsight(utcTime, symbol)
class SingleSharePortfolioConstructionModel(PortfolioConstructionModel):
'''Portfolio construction model that sets target quantities to 1 for up insights and -1 for down insights'''
def CreateTargets(self, algorithm, insights):
targets = []
for insight in insights:
targets.append(PortfolioTarget(insight.Symbol, insight.Direction))
return targets
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