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66 lines (55 loc) · 2.83 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 AlgorithmImports import *
### <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, and 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" />
class BasicTemplateOptionsAlgorithm(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.option_symbol = option.Symbol
# set our strike/expiry filter for this option chain
option.SetFilter(lambda u: (u.Strikes(-2, +2)
# Expiration method accepts TimeSpan objects or integer for days.
# The following statements yield the same filtering criteria
.Expiration(0, 180)))
#.Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))))
# use the underlying equity as the benchmark
self.SetBenchmark(equity.Symbol)
def OnData(self,slice):
if self.Portfolio.Invested or not self.IsMarketOpen(self.option_symbol): return
chain = slice.OptionChains.GetValue(self.option_symbol)
if chain is None:
return
# we sort the contracts to find at the money (ATM) contract with farthest expiration
contracts = sorted(sorted(sorted(chain, \
key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
key = lambda x: x.Expiry, reverse=True), \
key = lambda x: x.Right, reverse=True)
# if found, trade it
if len(contracts) == 0: return
symbol = contracts[0].Symbol
self.MarketOrder(symbol, 1)
self.MarketOnCloseOrder(symbol, -1)
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))