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
 
from QuantConnect.Algorithm import *
from QuantConnect.Securities.Option import OptionPriceModels

class BasicTemplateOptionsFilterUniverseAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2019, 4, 1)
        self.SetCash(100000)
        
        self.option = self.AddOption("AAPL")
        self.symbol = self.option.Symbol
        
        self.option.SetFilter(-1, +1, 1, 31)
        

    def OnData(self,slice):
        
        if not slice.OptionChains.ContainsKey(self.symbol):
            return
        
        chain = slice.OptionChains[self.symbol]
        contracts = [c for c in chain if c.Right == OptionRight.Put]
        self.Quit(f"{len(contracts)} put contracts")