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/*
* 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.
*/
using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Orders;
using QuantConnect.Securities;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Algorithm demonstrating FutureOption asset types and requesting history.
/// </summary>
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="history" />
/// <meta name="tag" content="future option" />
public class BasicTemplateFutureOptionAlgorithm : QCAlgorithm
{
private Symbol _symbol;
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2022, 1, 1);
SetEndDate(2022, 2, 1);
SetCash(100000);
var gold_futures = AddFuture(Futures.Metals.Gold, Resolution.Minute);
gold_futures.SetFilter(0, 180);
_symbol = gold_futures.Symbol;
AddFutureOption(_symbol, universe => universe.Strikes(-5, +5)
.CallsOnly()
.BackMonth()
.OnlyApplyFilterAtMarketOpen());
// Historical Data
var history = History(_symbol, 60, Resolution.Daily);
Log($"Received {history.Count()} bars from {_symbol} FutureOption historical data call.");
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice slice)
{
// Access Data
foreach(var kvp in slice.OptionChains)
{
var underlyingFutureContract = kvp.Key.Underlying;
var chain = kvp.Value;
if (chain.Count() == 0) continue;
foreach(var contract in chain)
{
Log($@"Canonical Symbol: {kvp.Key};
Contract: {contract};
Right: {contract.Right};
Expiry: {contract.Expiry};
Bid price: {contract.BidPrice};
Ask price: {contract.AskPrice};
Implied Volatility: {contract.ImpliedVolatility}");
}
if (!Portfolio.Invested)
{
var atmStrike = chain.OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike)).First().Strike;
var selectedContract = chain.Where(x => x.Strike == atmStrike).OrderByDescending(x => x.Expiry).First();
MarketOrder(selectedContract.Symbol, 1);
}
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
Debug($"{Time} {orderEvent.ToString()}");
}
}
}