Hi, I'm also getting 0 for implied volatility. Â I started w/ the basic algo from githubÂ
Â
for future options and added a pricing model. Â I'd attach a backtest, but it's not showing in the list.
The following never triggers -Â
if contract.ImpliedVolatility > 0:
self.Log(f"{contract} {contract.ImpliedVolatility}")
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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>
### The demonstration algorithm shows some of the most common order methods when working with FutureOption assets.
### </summary>
### <meta name="tag" content="using data" />
### <meta name="tag" content="using quantconnect" />
### <meta name="tag" content="trading and orders" />
class BasicTemplateFutureOptionAlgorithm(QCAlgorithm):
def Initialize(self):
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
self.SetStartDate(2022, 1, 1)
self.SetEndDate(2022, 2, 1)
self.SetCash(100000)
self.SetWarmup(30, Resolution.Daily)
self.SetSecurityInitializer(self.CustomSecurityInitializer)
gold_futures = self.AddFuture(Futures.Metals.Gold, Resolution.Minute)
gold_futures.SetFilter(0, 180)
self.symbol = gold_futures.Symbol
option = self.AddFutureOption(self.symbol, lambda universe: universe.Strikes(-5, +5)
.CallsOnly()
.BackMonth()
.OnlyApplyFilterAtMarketOpen())
# Historical Data
history = self.History(self.symbol, 60, Resolution.Daily)
self.Log(f"Received {len(history)} bars from {self.symbol} FutureOption historical data call.")
def CustomSecurityInitializer(self, security: Security) -> None:
security.SetMarketPrice(self.GetLastKnownPrice(security))
if security.Type == SecurityType.FutureOption:
security.PriceModel = OptionPriceModels.CrankNicolsonFD()
def OnData(self, data):
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
Arguments:
slice: Slice object keyed by symbol containing the stock data
'''
# Access Data
for kvp in data.OptionChains:
underlying_future_contract = kvp.Key.Underlying
chain = kvp.Value
if not chain: continue
for contract in chain:
self.Log(f"""Canonical Symbol: {kvp.Key};
Contract: {contract};
Right: {contract.Right};
Expiry: {contract.Expiry};
Bid price: {contract.BidPrice};
Ask price: {contract.AskPrice};
Implied Volatility: {contract.ImpliedVolatility}""")
if contract.ImpliedVolatility > 0:
self.Log(f"{contract} {contract.ImpliedVolatility}")
if not self.Portfolio.Invested:
atm_strike = sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike))[0].Strike
selected_contract = sorted([contract for contract in chain if contract.Strike == atm_strike], \
key = lambda x: x.Expiry, reverse=True)[0]
self.MarketOrder(selected_contract.Symbol, 1)
def OnOrderEvent(self, orderEvent):
self.Debug("{} {}".format(self.Time, orderEvent.ToString()))