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
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
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
Portfolio Turnover
0%
 
# region imports
from AlgorithmImports import *
# endregion

class LogicalFluorescentOrangeWhale(QCAlgorithm):

    def Initialize(self):
            self.SetStartDate(2023, 6, 1)
            self.SetEndDate(2023, 6, 1)
            self.SetCash(100000)
            index_symbol = self.AddIndex("SPX").Symbol
            option = self.AddIndexOption(index_symbol, "SPXW")
            option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(-2, 2).Expiration(0, 30))
            #option.SetFilter(-2, 2, 0, 30)
            self.symbol = option.Symbol
            self.log_count=0
    
    def OnData(self, data: Slice):
            weekly_chain = data.OptionChains.get(self.symbol)
            if weekly_chain:
                for contract in weekly_chain:
                    if self.log_count >100:
                        return
                    self.Log(f"{contract.Symbol} price at {data.Time}: {contract.LastPrice} Expiry: {contract.Expiry.date()}")
                    self.log_count+=1