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 -11.711 Tracking Error 0.033 Treynor Ratio 0 Total Fees $0.00 |
# 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/LICENSE-2.0 # # 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 QuantConnect.Securities.Option import OptionPriceModels from System import * from QuantConnect import * from QuantConnect.Algorithm import * from datetime import timedelta ### <summary> ### 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. ### </summary> ### <meta name="tag" content="using data" /> ### <meta name="tag" content="options" /> ### <meta name="tag" content="filter selection" /> class BasicTemplateOptionsFilterUniverseAlgorithm(QCAlgorithm): UnderlyingTicker = "SPY" def Initialize(self): self.SetStartDate(2019, 12, 16) self.SetEndDate(2019, 12, 24) self.SetCash(100000) equity = self.AddEquity(self.UnderlyingTicker); option = self.AddOption(self.UnderlyingTicker) self.option_symbol = option.Symbol # set our strike/expiry filter for this option chain # SetFilter method accepts timedelta objects or integer for days. # The following statements yield the same filtering criteria #option.SetFilter(-5, +5, 0, 30) # option.SetFilter(-10, 10, timedelta(0), timedelta(10)) option.SetFilter(self.UniverseFunc) #option.PriceModel = OptionPriceModels.CrankNicolsonFD() option.PriceModel = OptionPriceModels.BaroneAdesiWhaley() self.SetWarmUp(3) # timedelta(7) # use the underlying equity as the benchmark self.SetBenchmark(equity.Symbol) def OnData(self,slice): if self.IsWarmingUp: return if self.Portfolio.Invested: return if self.Time.hour > 10: return for kvp in slice.OptionChains: if kvp.Key != self.option_symbol: continue chain = kvp.Value # find the call options expiring today #contracts = [i for i in chain if i.Right == OptionRight.Call and i.Expiry.date() == self.Time.date()] contracts = [i for i in chain if i.Right == OptionRight.Call and (i.Expiry.date() - self.Time.date()).days == 0] # sorted the contracts by their strike, find the second strike under market price sorted_contracts = [i for i in sorted(contracts, key = lambda x:x.Strike, reverse = True) if i.Strike < chain.Underlying.Price] # if found, trade it if len(sorted_contracts) == 0: #self.Log("No call contracts expiring today") return self.Log(f"delta {sorted_contracts[1].Greeks.Delta}") #self.MarketOrder(sorted_contracts[1].Symbol, 1) def OnOrderEvent(self, orderEvent): # Order fill event handler. On an order fill update the resulting information is passed to this method. # <param name="orderEvent">Order event details containing details of the evemts</param> self.Log(str(orderEvent)) def UniverseFunc(self, universe): #self.Log("update universe") return universe.IncludeWeeklys()\ .Strikes(-20, 20)\ .Expiration(0, 10)