GeezerVison is showing github.com — Lean/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs at master · QuantConnect/Lean

Expand file tree

BasicTemplateOptionsAlgorithm.cs

Copy path

More file actions

Latest commit

History

158 lines (143 loc) · 6.5 KB

BasicTemplateOptionsAlgorithm.cs

Copy path

File metadata and controls

158 lines (143 loc) · 6.5 KB

Raw

Copy raw file

Download raw file

Open symbols panel

Edit and raw actions

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

158

* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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.Collections.Generic;

using System.Linq;

using QuantConnect.Data;

using QuantConnect.Data.Market;

using QuantConnect.Orders;

using QuantConnect.Interfaces;

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, and 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" />

public class BasicTemplateOptionsAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition

{

private const string UnderlyingTicker = "GOOG";

private Symbol _optionSymbol;

public override void Initialize()

{

SetStartDate(2015, 12, 24);

SetEndDate(2015, 12, 24);

SetCash(100000);

var equity = AddEquity(UnderlyingTicker);

var option = AddOption(UnderlyingTicker);

_optionSymbol = option.Symbol;

// set our strike/expiry filter for this option chain

option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)

// Expiration method accepts TimeSpan objects or integer for days.

// The following statements yield the same filtering criteria

.Expiration(0, 180)); // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));

// use the underlying equity as the benchmark

SetBenchmark(equity.Symbol);

}

/// <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 && IsMarketOpen(_optionSymbol))

{

OptionChain chain;

if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))

{

// we find at the money (ATM) put contract with farthest expiration

var atmContract = chain

.OrderByDescending(x => x.Expiry)

.ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))

.ThenByDescending(x => x.Right)

.FirstOrDefault();

if (atmContract != null)

{

// if found, trade it

MarketOrder(atmContract.Symbol, 1);

MarketOnCloseOrder(atmContract.Symbol, -1);

}

/// <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());

}

/// <summary>

/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.

/// </summary>

public bool CanRunLocally { get; } = true;

/// <summary>

/// This is used by the regression test system to indicate which languages this algorithm is written in.

/// </summary>

public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };

/// <summary>

/// Data Points count of all timeslices of algorithm

/// </summary>

public long DataPoints => 15012;

/// <summary>

/// Data Points count of the algorithm history

/// </summary>

public int AlgorithmHistoryDataPoints => 0;

/// <summary>

/// Final status of the algorithm

/// </summary>

public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

/// <summary>

/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

/// </summary>

public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>

{

{"Total Orders", "2"},

{"Average Win", "0%"},

{"Average Loss", "0%"},

{"Compounding Annual Return", "0%"},

{"Drawdown", "0%"},

{"Expectancy", "0"},

{"Start Equity", "100000"},

{"End Equity", "99718"},

{"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", "$2.00"},

{"Estimated Strategy Capacity", "$1300000.00"},

{"Lowest Capacity Asset", "GOOCV 30AKMEIPOX2DI|GOOCV VP83T1ZUHROL"},

{"Portfolio Turnover", "10.71%"},

{"Drawdown Recovery", "0"},

{"OrderListHash", "19ba1220073493495880581b38df2da9"}

};

}