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OptionRenameRegressionAlgorithm.py
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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 clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from datetime import datetime, timedelta
### <summary>
### This is an option split regression algorithm
### </summary>
### <meta name="tag" content="options" />
### <meta name="tag" content="regression test" />
class OptionRenameRegressionAlgorithm(QCAlgorithm):
def Initialize(self):
self.SetCash(1000000)
self.SetStartDate(2013,6,28)
self.SetEndDate(2013,7,2)
option = self.AddOption("FOXA")
# set our strike/expiry filter for this option chain
option.SetFilter(-1, 1, timedelta(0), timedelta(3650))
# use the underlying equity as the benchmark
self.SetBenchmark("FOXA")
def OnData(self, slice):
''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
<param name="slice">The current slice of data keyed by symbol string</param> '''
if not self.Portfolio.Invested:
for kvp in slice.OptionChains:
chain = kvp.Value
if self.Time.day == 28 and self.Time.hour > 9 and self.Time.minute > 0:
contracts = [i for i in sorted(chain, key=lambda x:x.Expiry)
if i.Right == OptionRight.Call and
i.Strike == 33 and
i.Expiry.date() == datetime(2013,8,17).date()]
if contracts:
# Buying option
contract = contracts[0]
self.Buy(contract.Symbol, 1)
# Buy the undelying stock
underlyingSymbol = contract.Symbol.Underlying
self.Buy (underlyingSymbol, 100)
# check
if float(contract.AskPrice) != 1.1:
raise ValueError("Regression test failed: current ask price was not loaded from NWSA backtest file and is not $1.1")
elif self.Time.day == 2 and self.Time.hour > 14 and self.Time.minute > 0:
for kvp in slice.OptionChains:
chain = kvp.Value
self.Liquidate()
contracts = [i for i in sorted(chain, key=lambda x:x.Expiry)
if i.Right == OptionRight.Call and
i.Strike == 33 and
i.Expiry.date() == datetime(2013,8,17).date()]
if contracts:
contract = contracts[0]
self.Log("Bid Price" + str(contract.BidPrice))
if float(contract.BidPrice) != 0.05:
raise ValueError("Regression test failed: current bid price was not loaded from FOXA file and is not $0.05")
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))