Overall Statistics
Total Orders
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
100000
Net Profit
0%
Sharpe Ratio
0
Sortino 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
-25.464
Tracking Error
0.142
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
Drawdown Recovery
0
 
# region imports
from AlgorithmImports import *
# endregion

class FocusedVioletChicken(QCAlgorithm):

    def initialize(self):
        self.set_start_date(self.end_date-timedelta(3))

        # Set resolution based on live vs backtest mode
        self._resolution = Resolution.SECOND if self.live_mode else Resolution.MINUTE
        
        # Add QQQ options with 0DTE filter
        self.add_option("QQQ", self._resolution).set_filter(-1, 1, 0, 0)

    def safe_log(self, msg):
        if self.live_mode:
            self.log(msg)

    def on_data(self, data: Slice):
        # Process option chains
        for chain in data.option_chains.values():
            for contract in chain:
                # Log delta, ask price, and bid price
                self.safe_log(f"{contract.symbol} | Delta: {contract.greeks.delta:.4f} | Ask: ${contract.ask_price:.2f} | Bid: ${contract.bid_price:.2f}")