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
5.804
Tracking Error
0.152
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

class BasicTemplateOptionsAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 1, 1)
        self.SetEndDate(2016, 1, 10)
        self.SetCash(100000)

        option = self.AddOption("SPY")
        equity = self.AddEquity("SPY")
        self.option_symbol = option.Symbol
        self.SetBenchmark("SPY")

    def OnData(self,slice):
        #if self.Portfolio.Invested: return
        length = slice.OptionChains.Count
        price = self.Securities[self.Symbol("SPY")].Price
        self.Debug("Length of OptionChains: " + str(length))
        self.Debug("Price: " + str(price))

    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))