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
 
namespace QuantConnect
{
    public class TastyIronCondorAlgorithm:QCAlgorithm
    {
    	private List<DateTime> _expiries = new List<DateTime>();
	
	    public Symbol OptionSymbol;
	    
    	public override void Initialize()
        {
            this.SetStartDate(2015, 1, 1);
            this.SetEndDate(2015, 2, 21);
        
            var option = this.AddOption("SPY");
			OptionSymbol = option.Symbol;
            option.SetFilter(universe => universe.Expiration(TimeSpan.FromDays(30), TimeSpan.FromDays(40)));
        }

        public override void OnData(Slice slice)
        {
        	OptionChain chain;
            if (slice.OptionChains.TryGetValue(this.OptionSymbol, out chain))
            {
            	foreach (var contract in chain)
            	{
            		_expiries.Add(contract.Expiry);
            	}
            }
        }
        
        public override void OnEndOfAlgorithm()
        {
        	foreach (var expiry in _expiries.Distinct())
        	{
        		Log(expiry.ToString());
        	}
        }
    }
}