public override void Initialize()
{
this.SetStartDate(2017, 1, 1);
this.SetEndDate(2017, 6, 28);
this.SetCash(25000);
this.LogCust("PERIOD: 2017");
// ----------------------------------------------------------------------
// Algo params
// ----------------------------------------------------------------------
this.MAX_EXPIRY = 30;
this._no_K = 2;
this.resol = Resolution.Minute;
this.tkr = SPY;
// ----------------------------------------------------------------------
// add underlying Equity
equity = this.AddEquity(this.tkr, this.resol);
equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
this.equity_symbol = equity.Symbol;
// Add options
var option = this.AddOption(this.tkr, this.resol);
this.option_symbol = option.Symbol;
// set our strike/expiry filter for this option chain
option.SetFilter(this.UniverseFunc);
// for greeks and pricer (needs some warmup) - https://github.com/QuantConnect/Lean/blob/21cd972e99f70f007ce689bdaeeafe3cb4ea9c77/Common/Securities/Option/OptionPriceModels.cs#L81
option.PriceModel = OptionPriceModels.CrankNicolsonFD();
// this is needed for Greeks calcs
this.SetWarmUp(TimeSpan.FromDays(3));
this.call = null;
this.put = null;
Combo straddle;
OrderTickets.Add(new OrderTicketInfo2 {
EquityUnderlying = equity
});
OrderTickets.Add(new OrderTicketInfo2 {
EquityUnderlying = equity
});
// -----------------------------------------------------------------------------
// scheduled functions
// -----------------------------------------------------------------------------
this.Schedule.On(this.DateRules.EveryDay(this.equity_symbol), this.TimeRules.AfterMarketOpen(this.equity_symbol, 60), new Action(this.CloseOptionsOpen));
this.Schedule.On(this.DateRules.EveryDay(this.equity_symbol), this.TimeRules.BeforeMarketClose(this.equity_symbol, 10), new Action(this.closeOptionsClose));
}