Hello,
Can anyone suggest a sample algorithm to:
Thanks in advance. Either C# or python would be great.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
See that and the examples below. Hopefully this helps you as a start for your own algorithm. After you have started please feel free to share it and ak questions for more help. Also note that the IV is not currently loading however you can do the other things you mentioned like Bid/Ask spread and could also add your own modeling as your forecasted price target
Take a look at this templace for some inspiration https://github.com/QuantConnect/Lean/blob/master/Algorithm.CSharp/BasicTemplateOptionTradesAlgorithm.cs
For strike selection you can do some interesting things. such as
option.SetFilter(universe => from symbol in universe
.IncludeWeeklys()
.Expiration(TimeSpan.FromDays(1), TimeSpan.FromDays(7)) // Next 7 days
where symbol.ID.OptionRight == OptionRight.Put // Put Only
&& ((symbol.ID.StrikePrice - universe.Underlying.Price) / universe.Underlying.Price) <= 0.15m // within 15% of the underlying
select symbol);
Heres another snippet I'm using to review Bid/Ask & OI information that might be helpful for you
if (lastSlice.OptionChains.TryGetValue(_optionSymbol, out chain)) // lastSlice is a private variable that I am assigning within the OnData event
{
// find the first call strike under market price expiring today
var contracts = (
from optionContract in chain
.OrderBy(x => Math.Abs(x.UnderlyingLastPrice - x.Strike)) // find nearest options
.OrderBy(x => (x.Expiry - _algorithm.Time).TotalDays)
where optionContract.Right == OptionRight.Put
//where optionContract.Expiry > Time.Date
//where optionContract.Strike < chain.Underlying.Price
select optionContract
).Take(5).OrderBy(x => x.Strike); // 5 records
foreach (OptionContract _contract in contracts)
{
Decimal pctOtm = ((_contract.Strike - _contract.UnderlyingLastPrice) / _contract.UnderlyingLastPrice);
if (pctOtm >= 1) {pctOtm = pctOtm - 1;}
Debug(String.Format("Review Option Contract. Strike {0}, ULPrice={1}, Bid={2}, Ask={3} Spread={4}, Expiry={5:d} {6} {7} DTE, {8}% OI={9}",
_contract.Strike.ToString("N2"),
_contract.UnderlyingLastPrice.ToString("N2"),
_contract.BidPrice.ToString("N2"),
_contract.AskPrice.ToString("N2"),
(_contract.AskPrice - _contract.BidPrice).ToString("N2"),
_contract.Expiry,
_contract.Expiry.DayOfWeek.ToString(),
(_contract.Expiry - _algorithm.Time).TotalDays.ToString("N0"),
(pctOtm*100).ToString("N2"),
_contract.OpenInterest
));
}
}
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Thanks for the pointer Ray, this sample seems really helpful (although it will probably take me a while to fully understand C#).
One follow up question...I couldn't see how the template selected Calls (and not Puts). Is there a document which describes OptionChains?
Thanks again,
Liz
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
|