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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.
from AlgorithmImports import *
### <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>
### <meta name="tag" content="using data" />
### <meta name="tag" content="options" />
### <meta name="tag" content="filter selection" />
class BasicTemplateOptionsFilterUniverseAlgorithm(QCAlgorithm):
underlying_ticker = "GOOG"
def initialize(self):
self.set_start_date(2015, 12, 24)
self.set_end_date(2015, 12, 28)
self.set_cash(100000)
equity = self.add_equity(self.underlying_ticker)
option = self.add_option(self.underlying_ticker)
self.option_symbol = option.symbol
# Set our custom universe filter
option.set_filter(self.filter_function)
# use the underlying equity as the benchmark
self.set_benchmark(equity.symbol)
def filter_function(self, universe):
#Expires today, is a call, and is within 10 dollars of the current price
universe = universe.weeklys_only().expiration(0, 1)
return [symbol for symbol in universe
if symbol.id.option_right != OptionRight.PUT
and -10 < universe.underlying.price - symbol.id.strike_price < 10]
def on_data(self, slice):
if self.portfolio.invested: return
for kvp in slice.option_chains:
if kvp.key != self.option_symbol: continue
# Get the first call strike under market price expiring today
chain = kvp.value
contracts = [option for option in sorted(chain, key = lambda x:x.strike, reverse = True)
if option.expiry.date() == self.time.date()
and option.strike < chain.underlying.price]
if contracts:
self.market_order(contracts[0].symbol, 1)