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 TestAlgo(QCAlgorithm):
    def Initialize(self):
        self.SetStartDate(2017,1,1)
        self.SetEndDate(2017,1,10)
        self.SetCash(10000)

        my_ticker = "SPY"

        # it does produce logs if resolution is set to Minute
        option = self.AddOption(my_ticker, Resolution.Hour)
        option.SetFilter(-50, 50, timedelta(0), timedelta(120))
        
    def OnData(self, data):
        for chain in data.OptionChains:
            calls = [c for c in chain.Value if c.Right == OptionRight.Call]
            self.Log(str(len(calls)))