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 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 $1.00 Estimated Strategy Capacity $4000.00 Lowest Capacity Asset SPY Y05J8KTZA1K6|SPY R735QTJ8XC9X Portfolio Turnover 0.81% |
#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.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; using QuantConnect.Orders.OptionExercise; #endregion namespace QuantConnect.Algorithm.CSharp { public class CustomExerciseModelAlgorithm : QCAlgorithm { private Symbol _optionSymbol; public override void Initialize() { SetStartDate(2022, 7, 1); SetEndDate(2022, 7, 10); SetCash(100000); SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices))); var option = AddOption("SPY"); _optionSymbol = option.Symbol; } /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. /// Slice object keyed by symbol containing the stock data public override void OnData(Slice data) { if (Portfolio.Invested) { return; } if (data.OptionChains.TryGetValue(_optionSymbol, out var chain)) { var contract = chain .Where(x => x.Right == OptionRight.Call) .OrderBy(x => x.Strike) .FirstOrDefault(); MarketOrder(contract.Symbol, 1); ExerciseOption(contract.Symbol, 1); Quit(); } } } public class MySecurityInitializer : BrokerageModelSecurityInitializer { public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder) : base(brokerageModel, securitySeeder) { } public override void Initialize(Security security) { base.Initialize(security); if (security.Type == SecurityType.Option) { (security as Option).SetOptionExerciseModel(new MyOptionExerciseModel()); } } } public class MyOptionExerciseModel : IOptionExerciseModel { public IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order) { var inTheMoney = option.IsAutoExercised(option.Underlying.Close); var isAssignment = inTheMoney && option.Holdings.IsShort; yield return new OrderEvent( order.Id, option.Symbol, option.LocalTime.ConvertToUtc(option.Exchange.TimeZone), OrderStatus.Filled, Extensions.GetOrderDirection(order.Quantity), 0.0m, order.Quantity, OrderFee.Zero, "MyTag" ) { IsAssignment = isAssignment }; } } }