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
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
#region imports
from AlgorithmImports import *
#endregion
import pandas as pd

class HorizontalDynamicSplitter(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2022, 8, 15)  #Set Start Date
        self.SetEndDate(2022, 8, 16)  #Set End Date
        self.SetCash(50000)  #Set Strategy Cash
        equity = self.AddEquity("SPY", Resolution.Minute) # Add the underlying stock: Google
        option = self.AddOption("SPY", Resolution.Minute) # Add the option corresponding to underlying stock
        self.symbol = option.Symbol
        option.SetFilter(-10, 10, timedelta(0), timedelta(days = 1))
        


    def OnData(self, data):
        self.Log(f"OnData")
        for i in data.OptionChains:
            self.Log(f" i{i}")
            if i.Key != self.symbol: continue
            optionchain = i.Value
            df = pd.DataFrame([[x.Expiry] for x in optionchain],
                       index=[x.Symbol.Value for x in optionchain],
                       columns=['expiry'])
                       
            if df.shape[0] > 0:
                self.Log(f"\n{df.to_string()}")
                self.Quit()