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
 
import numpy as np
from datetime import timedelta
import datetime

class BasicTemplateAlgorithm(QCAlgorithm):
    '''Basic template algorithm simply initializes the date range and cash'''

    def Initialize(self):
        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

        self.SetStartDate(2018, 1, 1)  #Set Start Date
        self.SetEndDate(2018,3, 31)    #Set End Date
        self.SetCash(100000)           #Set Strategy Cash
        # Find more symbols here: http://quantconnect.com/data
        self.underlyingsymbol = 'SPY'
        self.AddEquity("SPY", Resolution.Minute)
        
    def OnData(self, slice):
        if self.Time.hour==9 and self.Time.minute==31:
            nc = self.get_contracts()
            self.Log(str(nc))
        pass
    
    def get_contracts(self):
        contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date())
        return len(contracts)