Overall Statistics
Total Trades
1
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
$1.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
AAPL 31OJK5OW4VX2E|AAPL R735QTJ8XC9X
 
class MuscularTanMonkey(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 6, 19)
        self.SetCash(100000) 
        
        ### self.aaplChain = self.AddData(IVolatilityChain, "AAPL.IVolatilityChain", Resolution.Daily).Symbol
        self.equity = self.AddEquity("AAPL", Resolution.Minute)
        self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
        
        # in case the slice don't have a price, you can set last known price as market price to trade
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

    def OnData(self, data):
        if self.Portfolio.Invested: return
    
        ### if data.ContainsKey(self.aaplChain):
        ###    chain = data[self.aaplChain].GetProperty('Chain')
        chain = self.OptionChainProvider.GetOptionContractList(self.equity.Symbol, data.Time)
        
        if not chain: return
        
        ### contract = chain[0]['OptionSymbol']
        # Assume the security identifier of option_contract['OptionSymbol'] of chain[0] is in form of "AAPL 31OJK5OW4VX2E|AAPL R735QTJ8XC9X"
        contract = "AAPL 31OJK5OW4VX2E|AAPL R735QTJ8XC9X"       ### str(chain[0]['OptionSymbol'])
        
        # you can create your own Symbol object given the security identifier match LEAN's
        contract_symbol = self.Symbol(contract)
        # If the string is in the format of "AAPL 210618P00028750"
        ### contract_symbol = CreateOption(contract, ...)
        
        # Subscribe
        self.AddOptionContract(contract_symbol, Resolution.Minute)

        self.Buy(contract_symbol, 1)
        self.Quit()