public override void Initialize()
{
SetStartDate(2016, 01, 28);
SetEndDate(2016, 02, 29);
SetCash(1000000);
// setting up Microsoft Equity
_equitySymbol = AddEquity("MSFT").Symbol;
// setting up EUR/USD FX spot pair
_forexSymbol = AddForex("EURUSD").Symbol;
// setting up S&P 500 EMini futures
var futureSP500 = AddFuture(Futures.Indices.SP500EMini);
_futureSymbol = futureSP500.Symbol;
// set our expiry filter for this futures chain
futureSP500.SetFilter(TimeSpan.FromDays(10), TimeSpan.FromDays(182));
// setting up Dow Jones ETF Options
var option = AddOption("DIA");
_optionSymbol = option.Symbol;
option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
// option.EnableGreekApproximation = true;
// set our expiry filter for this option chain
option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
// specifying zero benchmark
SetBenchmark(date => 0m);
}
public override void Initialize()
{
SetStartDate(2016, 01, 28);
SetEndDate(2016, 02, 29);
SetCash(1000000);
// setting futures
var futureSP500 = AddFuture(TickerSP500, Resolution.Minute);
// set our expiry filter for this futures chain
futureSP500.SetFilter(TimeSpan.FromDays(10), TimeSpan.FromDays(182));
// setting up options
var equity = AddEquity(UnderlyingTicker);
var option = AddOption(UnderlyingTicker);
equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
// option.EnableGreekApproximation = true;
// set our expiry filter for this option chain
option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
// setting up stock
AddEquity(TickerMSFT);
// setting up FX
AddForex(TickerEURUSD);
// specifying zero benchmark
SetBenchmark(date => 0m);
}
