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
-8.164
Tracking Error
0.229
Treynor Ratio
0
Total Fees
$0.00
 
from QuantConnect.Algorithm import *
from QuantConnect.Securities.Option import OptionPriceModels

class BasicTemplateOptionsFilterUniverseAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2019, 1, 1)
        self.SetEndDate(2019, 1, 15)
        self.SetCash(100000)
        
        self.option = self.AddOption("AAPL")
        
        self.option.SetFilter(-3, +3, 0, 31) 
        
        self.optionCall = None

    def OnData(self, data):
        
        if self.optionCall is None:
            self.TradeOptions(data)
        else:
            self.Plot("BidPrice", "Current", self.Securities[self.optionCall.Symbol].BidPrice)
            self.Plot("BidPrice", "Original", self.optionCall.BidPrice)
    
    def TradeOptions(self, data):
        for symbol, chain in data.OptionChains.items():

            # sorted the optionchain by expiration date and choose the furthest date
            expiry = sorted(chain, key = lambda x: x.Expiry, reverse=True)[0].Expiry
            
            # filter the call and put contract
            call = [i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Call]
            
            # sorted the contracts according to their strike prices 
            call_contracts = sorted(call, key = lambda x: x.Strike)    
            if len(call_contracts) == 0: return
            
            self.optionCall = call_contracts[0]