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 Probabilistic 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 -0.74 Tracking Error 0.308 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 |
from datetime import timedelta class OptionsAlgorithm(QCAlgorithm): # Order ticket for our stop order, Datetime when stop order was last hit stopMarketTicket = None stopMarketOrderFillTime = datetime.min #TSLAFilledPrice = 1000 #openingBar = None def Initialize(self): self.SetStartDate(2020, 1, 1) self.SetEndDate(2021, 3, 5) self.SetCash(100000) equity = self.AddEquity('TSLA', Resolution.Minute) option = self.AddOption('TSLA', Resolution.Minute) equity.SetDataNormalizationMode(DataNormalizationMode.Raw) self.underlyingsymbol = equity.Symbol # In initialize create a consolidator and add its bars to the window self.window = RollingWindow[TradeBar](3) equitybar=self.Consolidate('TSLA', timedelta(minutes=5), lambda x: self.window.Add(x)) self.contract = None def OnData(self, data): # Portfolio Invested means at least hold one stock, cannot use #if self.Portfolio.Invested: # return # buy the option if we don't own one if self.contract is not None and not self.Portfolio[self.contract].Invested: self.Buy(self.contract, 1) # check that we hold no options if len([security for security in self.Portfolio.Values if security.Type==SecurityType.Option and not security.Invested])==0 \ and self.window.IsReady and self.window[2].Close > self.window[2].Open \ and self.window[1].Close < self.window[1].Open \ and self.window[0].Close > self.window[0].Open \ and self.window[0].Close > self.window[1].Open: self.Debug("Call Indicator") self.BuyCall() #elif self.window.IsReady and self.window[2].Close < self.window[2].Open \ # and self.window[1].Close > self.window[1].Open \ # and self.window[0].Close < self.window[0].Open \ # and self.window[0].Close < self.window[1].Open: #self.Debug("Put Indicator") #self.MarketOrder("TSLA",-100) def OnOrderEvent(self, orderEvent): #1. Write code to only act on fills if orderEvent.Status == OrderStatus.Filled: self.Log(str(orderEvent.Symbol)) def BuyCall(self): contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date()) if len(contracts) == 0: return filtered_contracts = self.OptionsFilter(self.underlyingsymbol, contracts, -3, 3, 60, 90) call = [x for x in filtered_contracts if x.ID.OptionRight == 0] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(call, key = lambda x: abs(self.Securities['TSLA'].Price - x.ID.StrikePrice)), key = lambda x: x.ID.Date, reverse=True) contract = contracts[0] self.Debug("strike price is" + str(contracts[0].ID.StrikePrice)) self.contract = self.AddOptionContract(contract, Resolution.Minute).Symbol def OptionsFilter(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method is an initial filter of option contracts according to the range of strike price and the expiration date ''' if len(symbol_list) == 0 : return # fitler the contracts based on the expiry range contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry] # find the strike price of ATM option atm_strike = sorted(contract_list, key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice strike_list = sorted(set([i.ID.StrikePrice for i in contract_list])) # find the index of ATM strike in the sorted strike list atm_strike_rank = strike_list.index(atm_strike) try: min_strike = strike_list[atm_strike_rank + min_strike_rank] max_strike = strike_list[atm_strike_rank + max_strike_rank] except: min_strike = strike_list[0] max_strike = strike_list[-1] filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike] return filtered_contracts