Algorithmic Trading Video Series #12 | Options Trading

one suggestion: 

you may receive a divisible by zero error for quantity, so you should check if self.call.AskPrice is zero or not before using it

another suggestion: I think we need to use the self.SetWarmUp() method for this.

hmm another suggestion: should check if self.Securities[self.equity].Price exists before using it 

Thanks for the suggestions

Hey Louis,

First, I just wanted to thank you in advance for these wonderful videos. I think you’re doing a great job with these. Very detailed and helps us more novice coders understand some of these theories better.

I have a question.  I’m trying to use self.Portfolio.invested to and not invested to help trigger buy sells.  However, if I want to trade more than just 1 stock or option then this doesn’t work.  I tried self.Portfolio[“QQQ”].invested but that really only works for the stock and not underlying derivatives.  lets say I wanted to produce an algo that buys a call in QQQ when QQQ hits a buy signal but also a call in SPY when SPY hits a buy signal.  How can I strict my algo to check for portfolio investments of options from different stocks?

I see your algo does this…

option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]                if option_invested:

this may help but really only allows for 1 option at a time.  Any suggestions?

thanks

david

Hi David

We recommend the following way:

[x.Symbol for x in self.Securities.Values if x.Invested and x.Type == SecurityType.Option and x.Underlying.Value == "QQQ"]

Best
Louis

Plugged this into Ondata and then logged QQQholdings so I can see how it results and as soon as I buy an option the algo hits an error on that line of code.

QQQholdings = [x.Symbol for x in self.Securities.Values if x.Invested and x.Type == SecurityType.Option and x.Underlying.Value == "QQQ"]
       

Runtime Error: AttributeError : 'Equity' object has no attribute 'Value' at <listcomp> QQQholdings = [x.Symbol for x at self.Securities.Values if x.Invested and x.Type == SecurityType.Option and x.Underlying.Value == "QQQ"] File "main.py" in main.py: line 85

Hi David,
An alternative would be to store the Contract symbol to check :
 

QQQholdings = [x.Symbol for x in self.Securities.Values if x.Invested and x.Type == SecurityType.Option and x.Symbol in self.Contracts]
#here the contracts is a dictionary/Set to check if we have bought the contract or not

Best,
Varad Kabade

Varad,

Thanks, if I do the following:

QQQholdings = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]

It fills “QQQholdings” with the purchased call.  Now I would like to fill a few parameters to differentiate calls from puts and calls of QQQ from calls of SPY.  Is there a way to only fill it with calls or puts?

Example, how can I fill the following:

QQQcallholdings = with only QQQ calls

QQQputholdings = only QQQ puts

SPYcallholdings = Only SPY calls

SPYputholdings = Only SPY puts

I cant figure out how to extract the option of a specific underlying asset “QQQ” and I dont know how to add something to the following statement to distinguish calls from puts.

[x.Symbol for x in self.Securities.Values if x.Invested and x.Type == SecurityType.Option and x.Symbol in self.Contracts]

Can I just add something like  “if x.Right == OptionRight.Call” or “if c.Right == OptionRight.Put”?

Hi David Eldringhoff,
You can add different filters in list comprehension to get the desired contracts:
 

1. To get only SPY/QQQ call or put contracts we can add another condition like x.UnderlyingSymbol == self.spy(here we store the SPY symbol)
2. to differentiate between calls and puts we can add x.Right==OptionRight.Put(or call)

We recommend going through the properties of the OptionContract class in the following doc for more information. Note that we need to add the above condition at the end of the existing list comprehension statement.
Best,
Varad Kabade

How do I ensure the market is open before I buy call? or is the order automatically placed after the market open?