Overall Statistics
Total Orders
6
Average Win
12.04%
Average Loss
-5.94%
Compounding Annual Return
35.514%
Drawdown
17.800%
Expectancy
1.018
Net Profit
11.030%
Sharpe Ratio
0.799
Sortino Ratio
1.109
Probabilistic Sharpe Ratio
41.658%
Loss Rate
33%
Win Rate
67%
Profit-Loss Ratio
2.03
Alpha
0.343
Beta
0.132
Annual Standard Deviation
0.423
Annual Variance
0.179
Information Ratio
0.678
Tracking Error
0.56
Treynor Ratio
2.55
Total Fees
$7.41
Estimated Strategy Capacity
$3400000.00
Lowest Capacity Asset
GC XFO1EI4768PP
Portfolio Turnover
3.71%
 
#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.Algorithm.Selection;
    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.Crypto;   
    using QuantConnect.Securities.Interfaces;
    using QuantConnect.Storage;
    using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm;
    using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm;
#endregion


using QuantConnect.DataSource;

namespace QuantConnect
{
    public class FutureOptionDataAlgorithm : QCAlgorithm
    {
        private Dictionary<Symbol, OptionContract> optionContractByUnderlyingFutureContract = new Dictionary<Symbol, OptionContract>();
        
        public override void Initialize()
        {
            SetStartDate(2020, 1, 28);
            SetEndDate(2020, 6, 1);
            SetCash(100000);
            UniverseSettings.Asynchronous = true;
            // Requesting data
            var goldFutures = AddFuture(Futures.Metals.Gold, Resolution.Minute);
            goldFutures.SetFilter(0, 90);
            AddFutureOption(goldFutures.Symbol, universe => universe.Strikes(-5, +5)
                                                                    .CallsOnly()
                                                                    .BackMonth());
        }

        public override void OnData(Slice slice)
        {
            foreach (var kvp in slice.OptionChains)
            {
                // Liquidate underlying Future contract after Option assignment
                var underlyingFutureContract = kvp.Key.Underlying;
                if (Portfolio[underlyingFutureContract].Invested)
                {
                    Liquidate(underlyingFutureContract);
                    optionContractByUnderlyingFutureContract.Remove(underlyingFutureContract);
                }
                
                var chain = kvp.Value.Where(contract => Securities[contract.Symbol].IsTradable);
                // Continue if chain is empty or already invested in an Option on this Futures contract
                if (chain.Count() == 0 || optionContractByUnderlyingFutureContract.ContainsKey(underlyingFutureContract))
                {
                    continue;
                }
    
                // Select the Option contract with the lowest strike price
                var contract = chain.OrderByDescending(contract => contract.Strike).Last();
                
                MarketOrder(contract.Symbol, 1);
                optionContractByUnderlyingFutureContract.Add(kvp.Key.Underlying, contract);
            }
        }
        
        
        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            foreach (var security in changes.AddedSecurities)
            {
                if (security.Type == SecurityType.FutureOption)
                {
                    // Historical data
                    var history = History(security.Symbol, 10, Resolution.Minute);
                    Debug($"We got {history.Count()} from our history request for {security.Symbol}");
                }
            }
        }
    }
}