Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
 
from datetime import timedelta

class BasicTemplateOptionsAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2018, 9, 1)
        self.SetEndDate(2018, 9, 4)
        self.SetCash(100000)
        self.symbols = []
        for ticker in ["IBM", "AAPL", "EBAY"]:
            option = self.AddOption(ticker)
            self.symbols.append(option.Symbol)
            option.SetFilter(-3, +3, timedelta(0), timedelta(180))
            
        self.list = False
        
    def OnData(self,slice):
        for symbol in self.symbols:
            chain = slice.OptionChains.GetValue(symbol)
            if chain is None:
                return
            else:
                self.list = [i.Symbol.Value for i in chain if  i.Right == 0]
                self.Debug(symbol.Value+ " "+str(len(self.list)))
        if self.list:
            self.Quit()