Overall Statistics 
Total Trades
2
Average Win
0%
Average Loss
0.24%
Compounding Annual Return
72.803%
Drawdown
0.300%
Expectancy
1
Net Profit
0.240%
Sharpe Ratio
0
Loss Rate
100%
Win Rate
0%
ProfitLoss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.50

# QUANTCONNECT.COM  Democratizing Finance, Empowering Individuals. # Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from clr import AddReference AddReference("System") AddReference("QuantConnect.Algorithm") AddReference("QuantConnect.Common") from System import * from QuantConnect import * from QuantConnect.Algorithm import * from datetime import timedelta class BasicTemplateOptionsAlgorithm(QCAlgorithm): '''This example demonstrates how to add options for a given underlying equity security. It also shows how you can prefilter contracts easily based on strikes and expirations. It also shows how you can inspect the option chain to pick a specific option contract to trade.''' def Initialize(self): self.SetStartDate(2015, 12, 24) self.SetEndDate(2015, 12, 24) self.SetCash(100000) equity = self.AddEquity("GOOG", Resolution.Minute) option = self.AddOption("GOOG", Resolution.Minute) self.symbol = option.Symbol # set our strike/expiry filter for this option chain option.SetFilter(2, +2, timedelta(0), timedelta(180)) # use the underlying equity as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): if self.Portfolio.Invested: return for kvp in slice.OptionChains: if kvp.Key != self.symbol: continue chain = kvp.Value # we sort the contracts to find at the money (ATM) contract with farthest expiration contracts = sorted(sorted(chain, \ key = lambda x: abs(chain.Underlying.Price  x.Strike)), \ key = lambda x: x.Expiry, reverse=True) # if found, trade it if len(contracts) == 0: continue symbol = contracts[0].Symbol self.MarketOrder(symbol, 1) self.MarketOnCloseOrder(symbol, 1) def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))