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GeezerVison is showing github.com — Lean/Algorithm.Python/BasicTemplateIndexAlgorithm.py at master · QuantConnect/Lean Expand file tree/ Copy pathBasicTemplateIndexAlgorithm.pyMore file actions 54 lines (44 loc) · 1.91 KB / Copy pathBasicTemplateIndexAlgorithm.pyFile metadata and controls54 lines (44 loc) · 1.91 KB 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 # 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 * class BasicTemplateIndexAlgorithm(QCAlgorithm): def initialize(self) -> None: self.set_start_date(2021, 1, 4) self.set_end_date(2021, 1, 18) self.set_cash(1000000) # Use indicator for signal; but it cannot be traded self.spx = self.add_index("SPX", Resolution.MINUTE).symbol # Trade on SPX ITM calls self.spx_option = Symbol.create_option( self.spx, Market.USA, OptionStyle.EUROPEAN, OptionRight.CALL, 3200, datetime(2021, 1, 15) ) self.add_index_option_contract(self.spx_option, Resolution.MINUTE) self.ema_slow = self.ema(self.spx, 80) self.ema_fast = self.ema(self.spx, 200) def on_data(self, data: Slice): if self.spx not in data.bars or self.spx_option not in data.bars: return if not self.ema_slow.is_ready: return if self.ema_fast > self.ema_slow: self.set_holdings(self.spx_option, 1) else: self.liquidate() def on_end_of_algorithm(self) -> None: if self.portfolio[self.spx].total_sale_volume > 0: raise AssertionError("Index is not tradable.") |
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