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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.Data.Market;
using QuantConnect.Orders;
namespace QuantConnect.Algorithm.CSharp
{
/// <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>
public class BasicTemplateOptionTradesAlgorithm : QCAlgorithm
{
private Symbol _optionSymbol;
public override void Initialize()
{
SetStartDate(2015, 12, 24);
SetEndDate(2015, 12, 24);
SetCash(10000);
var option = AddOption("GOOG");
_optionSymbol = option.Symbol;
// set our strike/expiry filter for this option chain
// SetFilter method accepts TimeSpan objects or integer for days.
// The following statements yields the same filtering criteria
option.SetFilter(-2, +2, 0, 10);
// option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(10));
// use the underlying equity as the benchmark
SetBenchmark("GOOG");
}
/// <summary>
/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
/// </summary>
/// <param name="slice">The current slice of data keyed by symbol string</param>
public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
OptionChain chain;
if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
{
// find the second call strike under market price expiring today
var contract = chain
.OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.ThenByDescending(x => x.Expiry)
.FirstOrDefault();
if (contract != null)
{
MarketOrder(contract.Symbol, 1);
}
}
}
else
{
Liquidate();
}
foreach (var kpv in slice.Bars)
{
Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0:00}");
}
}
/// <summary>
/// Order fill event handler. On an order fill update the resulting information is passed to this method.
/// </summary>
/// <param name="orderEvent">Order event details containing details of the events</param>
/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
public override void OnOrderEvent(OrderEvent orderEvent)
{
Log(orderEvent.ToString());
}
}
}