How to set a certain number of options to trade based on portfolio size

To update your code to calculate how many bull credit spreads to open to gain a maximum of 2% of your portfolio based on the credit received, you can follow these steps:

1. Determine Portfolio Value: Retrieve the current total portfolio value using self.Portfolio.TotalPortfolioValue.

2. Calculate Target Gain: Compute the target gain amount by multiplying the portfolio value by 0.02 (2%).

3. Get Option Chain: Access the option chain for the underlying asset to identify the available option contracts.

4. Select Spread Contracts: Choose the specific option contracts for the bull credit spread, ensuring they meet your strategy criteria.

5. Calculate Credit per Spread: Determine the credit received per spread by calculating the difference in premiums between the short and long options.

6. Determine Number of Spreads: Divide the target gain amount by the credit per spread to calculate the number of spreads to open.

7. Place Orders: Use the calculated number of spreads to place the appropriate orders for the bull credit spread strategy.

Here's how you can implement this in your algorithm:

class IndexOptionBullPutSpreadAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2019, 1, 1)
        self.set_end_date(2020, 1, 1)
        self.set_cash(100000)
        index = self.add_index("SPX", Resolution.MINUTE).symbol
        option = self.add_index_option(index, "SPXW", Resolution.MINUTE)
        option.set_filter(lambda x: x.weeklys_only().strikes(-10, -5).expiration(0, 0))
        self.spxw = option.symbol
        self.tickets = []

    def on_data(self, slice: Slice) -> None:
        # Return if open position exists
        if any([self.portfolio[x.symbol].invested for x in self.tickets]):
            return

        # Get option chain
        chain = slice.option_chains.get(self.spxw)
        if not chain:
            return

        # Get the nearest expiry date of the contracts
        expiry = min([x.expiry for x in chain])

        # Select the put Option contracts with the nearest expiry and sort by strike price
        puts = sorted([i for i in chain if i.expiry == expiry and i.right == OptionRight.PUT], 
                      key=lambda x: x.strike)
        if len(puts) < 2:
            return

        # Calculate the credit per spread
        credit_per_spread = puts[-1].bid_price - puts[0].ask_price

        # Calculate the target gain amount (2% of portfolio)
        target_gain = self.portfolio.total_portfolio_value * 0.02

        # Determine the number of spreads to open
        num_spreads = int(target_gain / credit_per_spread)

        # Buy the bull put spread
        bull_put_spread = OptionStrategies.bull_put_spread(self.spxw, puts[-1].strike, puts[0].strike, expiry)
        self.tickets = self.buy(bull_put_spread, num_spreads)

This code calculates the number of bull put spreads to open based on the credit received and the target gain of 2% of the portfolio value. Adjust the strikes and expiry selection logic as needed to fit your strategy.

Sources: Index Option Bull Put Spread Algorithm, Index Option Bull Call Spread Algorithm, Index Option Bear Put Spread Algorithm, Bull Put Spread - QuantConnect.com, Bull Call Spread - QuantConnect.com