Overall Statistics |
Total Trades 2 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 0 Tracking Error 0 Treynor Ratio 0 Total Fees $1.00 Estimated Strategy Capacity $0 Lowest Capacity Asset SPY Y4D62XTOKHUU|SPY R735QTJ8XC9X |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public class PensiveRedBee : QCAlgorithm { private Symbol _spy; private decimal _strike; private Symbol _contract; public override void Initialize() { SetStartDate(2021, 7, 1); SetEndDate(2021, 7, 4); SetCash(100000); SetSecurityInitializer(CustomSecurityInitializer); var spy = AddEquity("SPY", Resolution.Minute); _spy = spy.Symbol; } private void CustomSecurityInitializer(Security security) { security.SetDataNormalizationMode(DataNormalizationMode.Raw); foreach (var bar in GetLastKnownPrices(security.Symbol)) { security.SetMarketPrice(bar); } } public override void OnData(Slice data) { if (!Portfolio.Invested) { var contracts = OptionChainProvider.GetOptionContractList(_spy, Time); contracts = from contract in contracts where contract.ID.OptionRight == OptionRight.Call orderby contract.ID.StrikePrice ascending select contract; if (contracts.Count() == 0) return; _strike = contracts.First().ID.StrikePrice; contracts = from contract in contracts where contract.ID.StrikePrice == _strike orderby contract.ID.Date ascending select contract; _contract = contracts.First(); AddOptionContract(_contract, Resolution.Minute); Buy(_contract, 1); } if (Portfolio[_contract].Invested && _strike < Securities[_spy].Price) { ExerciseOption(_contract, 1); Quit(); } } } }