/// <summary>
/// Get GetATM options for nearest available expiration.
/// </summary>
protected Tuple <OptionContract, OptionContract> GetATM(QCAlgorithmFramework algorithim, Symbol underlyingSymbol, int expiryDistance = 0)
{
IOrderedEnumerable <OptionContract> selected = OptionTools.GetOptionsForExpiry(algorithim, underlyingSymbol, expiryDistance);
if (selected == null)
{
return(null);
}
var put = selected
.Where(o => o.Right == OptionRight.Put &&
o.Strike - 0.5m < o.UnderlyingLastPrice)
//sort by distance from atm
.OrderBy(o => Math.Abs(o.UnderlyingLastPrice - o.Strike)).FirstOrDefault();
if (put == null)
{
return(null);
}
var call = selected
.Where(o => o.Right == OptionRight.Call &&
o.Strike == put.Strike).FirstOrDefault();
if (call == null)
{
return(null);
}
return(new Tuple <OptionContract, OptionContract>(call, put));
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
var symbol = kvp.Key;
try
{
var frontOptions = OptionTools.GetOptionsForExpiry(algorithm, symbol, 0);
var backOptions = OptionTools.GetOptionsForExpiry(algorithm, symbol, 1);
var frontiv = AverageIV(algorithm, frontOptions);
var backiv = AverageIV(algorithm, backOptions);
kvp.Value.Update(data.Time, frontiv, backiv);
} catch (Exception ex)
{
algorithm.Log("Failed to compute IV!");
continue;
}
var std = kvp.Value.STD;
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(std, out mag);
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
case State.TrippedLow:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
/// <summary>
/// Get OTM options for nearest available expiration.
/// </summary>
protected IOrderedEnumerable <OptionContract> GetOTM(QCAlgorithmFramework algorithim, Symbol underlyingSymbol, OptionRight right, int expiryDistance = 0)
{
IOrderedEnumerable <OptionContract> selected = OptionTools.GetOptionsForExpiry(algorithim, underlyingSymbol, expiryDistance);
if (selected == null)
{
return(null);
}
return(selected
.Where(o => o.Right == right)
//check if OTM
.Where(o => (right == OptionRight.Put ? o.Strike <o.UnderlyingLastPrice : o.Strike> o.UnderlyingLastPrice))
//sort by distance from atm
.OrderBy(o => Math.Abs(o.UnderlyingLastPrice - o.Strike)));
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
if (data == null || data.OptionChains == null || data.OptionChains.Count() < 1)
{
return(new List <Insight>());
}
var chainItem = data.OptionChains.First();
var symbol = chainItem.Key.Underlying;
var options = OptionTools.GetOptionsForExpiry(algorithm, symbol, 0);
var count = options.Where((o) =>
(o.Expiry - data.Time).TotalDays <= _daysOpenBegin &&
(o.Expiry - data.Time).TotalDays >= _daysOpenEnd)
.Count();
if (count > 0)
{
return(new List <Insight>()
{
Insight.Price(chainItem.Key.Underlying, TimeSpan.FromDays(1), InsightDirection.Up)
});
}
count = options.Where((o) =>
Math.Abs((o.Expiry - data.Time).TotalDays) <= _daysCloseBegin &&
Math.Abs((o.Expiry - data.Time).TotalDays) >= _daysCloseEnd)
.Count();
if (count > 0)
{
return(new List <Insight>()
{
Insight.Price(chainItem.Key.Underlying, TimeSpan.FromDays(1), InsightDirection.Down)
});
}
return(new List <Insight>());
}