public override void Initialize()
{
SetStartDate(2020, 1, 5);
SetEndDate(2020, 6, 30);
_es19m20 = AddFutureContract(
QuantConnect.Symbol.CreateFuture(
Futures.Indices.SP500EMini,
Market.CME,
new DateTime(2020, 6, 19)),
Resolution.Minute).Symbol;
// Select a future option expiring ITM, and adds it to the algorithm.
_esOption = AddFutureOptionContract(OptionChainProvider.GetOptionContractList(_es19m20, new DateTime(2020, 1, 5))
.Where(x => x.ID.StrikePrice <= 3200m && x.ID.OptionRight == OptionRight.Call)
.OrderByDescending(x => x.ID.StrikePrice)
.Take(1)
.Single(), Resolution.Minute);
_esOption.PriceModel = OptionPriceModels.BjerksundStensland();
_expectedOptionContract = QuantConnect.Symbol.CreateOption(_es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200m, new DateTime(2020, 6, 19));
if (_esOption.Symbol != _expectedOptionContract)
{
throw new Exception($"Contract {_expectedOptionContract} was not found in the chain");
}
}
public override void Initialize()
{
SetStartDate(2020, 1, 5);
SetEndDate(2020, 6, 30);
_es19m20 = AddFutureContract(
QuantConnect.Symbol.CreateFuture(
Futures.Indices.SP500EMini,
Market.CME,
new DateTime(2020, 6, 19)),
Resolution.Minute);
// We must set the volatility model on the underlying, since the defaults are
// too strict to calculate greeks with when we only have data for a single day
_es19m20.VolatilityModel = new StandardDeviationOfReturnsVolatilityModel(
60,
Resolution.Minute,
TimeSpan.FromMinutes(1));
// Select a future option expiring ITM, and adds it to the algorithm.
_esOption = AddFutureOptionContract(OptionChainProvider.GetOptionContractList(_es19m20.Symbol, new DateTime(2020, 1, 5))
.Where(x => x.ID.StrikePrice <= 3200m && x.ID.OptionRight == OptionRight.Call)
.OrderByDescending(x => x.ID.StrikePrice)
.Take(1)
.Single(), Resolution.Minute);
_esOption.PriceModel = OptionPriceModels.BjerksundStensland();
_expectedOptionContract = QuantConnect.Symbol.CreateOption(_es19m20.Symbol, Market.CME, OptionStyle.American, OptionRight.Call, 3200m, new DateTime(2020, 6, 19));
if (_esOption.Symbol != _expectedOptionContract)
{
throw new Exception($"Contract {_expectedOptionContract} was not found in the chain");
}
}
public override void Initialize()
{
SetStartDate(2020, 1, 5);
SetEndDate(2020, 6, 30);
// We add AAPL as a temporary workaround for https://github.com/QuantConnect/Lean/issues/4872
// which causes delisting events to never be processed, thus leading to options that might never
// be exercised until the next data point arrives.
AddEquity("AAPL", Resolution.Daily);
_es19m20 = AddFutureContract(
QuantConnect.Symbol.CreateFuture(
Futures.Indices.SP500EMini,
Market.CME,
new DateTime(2020, 6, 19)),
Resolution.Minute).Symbol;
// Select a future option expiring ITM, and adds it to the algorithm.
_esOption = AddFutureOptionContract(OptionChainProvider.GetOptionContractList(_es19m20, new DateTime(2020, 1, 5))
.Where(x => x.ID.StrikePrice <= 3200m && x.ID.OptionRight == OptionRight.Call)
.OrderByDescending(x => x.ID.StrikePrice)
.Take(1)
.Single(), Resolution.Minute);
_esOption.PriceModel = OptionPriceModels.BjerksundStensland();
_expectedOptionContract = QuantConnect.Symbol.CreateOption(_es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200m, new DateTime(2020, 6, 19));
if (_esOption.Symbol != _expectedOptionContract)
{
throw new Exception($"Contract {_expectedOptionContract} was not found in the chain");
}
}
public override void Initialize()
{
SetStartDate(2021, 1, 4);
SetEndDate(2021, 1, 31);
_spx = AddIndex("SPX", Resolution.Minute).Symbol;
// Select an index option expiring ITM, and adds it to the algorithm.
_spxOption = AddIndexOptionContract(OptionChainProvider.GetOptionContractList(_spx, Time)
.Where(x => x.ID.StrikePrice <= 3200m && x.ID.OptionRight == OptionRight.Call && x.ID.Date.Year == 2021 && x.ID.Date.Month == 1)
.OrderByDescending(x => x.ID.StrikePrice)
.Take(1)
.Single(), Resolution.Minute);
_spxOption.PriceModel = OptionPriceModels.BjerksundStensland();
_expectedOptionContract = QuantConnect.Symbol.CreateOption(_spx, Market.USA, OptionStyle.European, OptionRight.Call, 3200m, new DateTime(2021, 1, 15));
if (_spxOption.Symbol != _expectedOptionContract)
{
throw new Exception($"Contract {_expectedOptionContract} was not found in the chain");
}
}
