public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
OptionChain chain;
if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
{
var atmStraddle = chain
.OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
.ThenByDescending(x => x.Expiry)
.FirstOrDefault();
if (atmStraddle != null)
{
Sell(OptionStrategies.Straddle(_optionSymbol, atmStraddle.Strike, atmStraddle.Expiry), 2);
}
}
}
else
{
Liquidate();
}
foreach (var kpv in slice.Bars)
{
Log($"---> OnData: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.00}");
}
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice slice)
{
if (!Portfolio.Invested)
{
OptionChain chain;
if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
{
var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
.GroupBy(x => x.Expiry)
.OrderBy(grouping => grouping.Key)
.First()
.OrderBy(x => x.Strike)
.ToList();
var expiry = callContracts[0].Expiry;
var lowerStrike = callContracts[0].Strike;
var middleStrike = callContracts[1].Strike;
var higherStrike = callContracts[2].Strike;
var optionStrategy = OptionStrategies.CallButterfly(_optionSymbol, higherStrike, middleStrike, lowerStrike, expiry);
Order(optionStrategy, 10);
}
}
}
