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($"Contract {_expectedOptionContract} was not found in the chain");
}
}
public override void OnData(Slice data)
{
if (!Portfolio[_equitySymbol].Invested)
{
MarketOrder(_equitySymbol, 100);
}
if (!(Securities.ContainsKey(_optionContract) && Portfolio[_optionContract].Invested))
{
var contracts = OptionChainProvider.GetOptionContractList(_equitySymbol, data.Time);
var underlyingPrice = Securities[_equitySymbol].Price;
// filter the out-of-money call options from the contract list which expire in 10 to 30 days from now on
var otmCalls = (from symbol in contracts
where symbol.ID.OptionRight == OptionRight.Call
where symbol.ID.StrikePrice - underlyingPrice > 0
where ((symbol.ID.Date - data.Time).TotalDays < 30 && (symbol.ID.Date - data.Time).TotalDays > 10)
select symbol);
if (otmCalls.Count() != 0)
{
_optionContract = otmCalls.OrderBy(x => x.ID.Date)
.ThenBy(x => (x.ID.StrikePrice - underlyingPrice))
.FirstOrDefault();
if (_contractsAdded.Add(_optionContract))
{
// use AddOptionContract() to subscribe the data for specified contract
AddOptionContract(_optionContract, Resolution.Minute);
}
}
else
{
_optionContract = string.Empty;
}
}
if (Securities.ContainsKey(_optionContract) && !Portfolio[_optionContract].Invested)
{
MarketOrder(_optionContract, -1);
}
}
public override void OnData(Slice data)
{
// Compare our previous slice time to this slice
// Because of issues with Delisting data we have to let Auxiliary data pass through GH #5207
if (Time.Ticks - _lastSliceTime.Ticks < 1000 && data.Values.Any(x => x.DataType != MarketDataType.Auxiliary))
{
throw new Exception($"Emitted two slices within 1000 ticks of each other.");
}
// Store our slice time
_lastSliceTime = Time;
var underlyingPrice = Securities[_symbol].Price;
var contractSymbol = OptionChainProvider.GetOptionContractList(_symbol, Time)
.Where(x => x.ID.StrikePrice - underlyingPrice > 0)
.OrderBy(x => x.ID.Date)
.FirstOrDefault();
if (contractSymbol != null)
{
_optionSymbol = AddOptionContract(contractSymbol).Symbol;
}
}
public override void OnData(Slice data)
{
if (_option == null)
{
var option = OptionChainProvider.GetOptionContractList(_twx, Time)
.OrderBy(symbol => symbol.ID.Symbol)
.FirstOrDefault(optionContract => optionContract.ID.Date == _expiration &&
optionContract.ID.OptionRight == OptionRight.Call &&
optionContract.ID.OptionStyle == OptionStyle.American);
if (option != null)
{
_option = AddOptionContract(option).Symbol;
}
}
if (_option != null && Securities[_option].Price != 0 && !_traded)
{
_traded = true;
Buy(_option, 1);
foreach (var symbol in new [] { _option, _option.Underlying })
{
var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();
if (!config.Any())
{
throw new Exception($"Was expecting configurations for {symbol}");
}
if (config.Any(dataConfig => dataConfig.DataNormalizationMode != DataNormalizationMode.Raw))
{
throw new Exception($"Was expecting DataNormalizationMode.Raw configurations for {symbol}");
}
}
}
if (Time.Date > _expiration)
{
if (SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_option).Any())
{
throw new Exception($"Unexpected configurations for {_option} after it has been delisted");
}
if (Securities[_twx].Invested)
{
if (!SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_twx).Any())
{
throw new Exception($"Was expecting configurations for {_twx}");
}
// first we liquidate the option exercised position
Liquidate(_twx);
}
}
else if (Time.Date > _expiration && !Securities[_twx].Invested)
{
if (SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_twx).Any())
{
throw new Exception($"Unexpected configurations for {_twx} after it has been liquidated");
}
}
}
/// <summary>
/// Gets <see cref="OptionHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical option data for</param>
/// <param name="start">The history request start time</param>
/// <param name="end">The history request end time. Defaults to 1 day if null</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="OptionHistory"/> object that contains historical option data.</returns>
public OptionHistory GetOptionHistory(Symbol symbol, DateTime start, DateTime?end = null, Resolution?resolution = null)
{
if (!end.HasValue || end.Value == start)
{
end = start.AddDays(1);
}
// Load a canonical option Symbol if the user provides us with an underlying Symbol
if (!symbol.SecurityType.IsOption())
{
var option = AddOption(symbol, resolution, symbol.ID.Market);
// Allow 20 strikes from the money for futures. No expiry filter is applied
// so that any future contract provided will have data returned.
if (symbol.SecurityType == SecurityType.Future && symbol.IsCanonical())
{
throw new ArgumentException("The Future Symbol provided is a canonical Symbol (i.e. a Symbol representing all Futures), which is not supported at this time. " +
"If you are using the Symbol accessible from `AddFuture(...)`, use the Symbol from `AddFutureContract(...)` instead. " +
"You can use `qb.FutureOptionChainProvider(canonicalFuture, datetime)` to get a list of futures contracts for a given date, and add them to your algorithm with `AddFutureContract(symbol, Resolution)`.");
}
if (symbol.SecurityType == SecurityType.Future && !symbol.IsCanonical())
{
option.SetFilter(universe => universe.Strikes(-10, +10));
}
symbol = option.Symbol;
}
IEnumerable <Symbol> symbols;
if (symbol.IsCanonical())
{
// canonical symbol, lets find the contracts
var option = Securities[symbol] as Option;
var resolutionToUseForUnderlying = resolution ?? SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(symbol)
.GetHighestResolution();
if (!Securities.ContainsKey(symbol.Underlying))
{
if (symbol.Underlying.SecurityType == SecurityType.Equity)
{
// only add underlying if not present
AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
}
if (symbol.Underlying.SecurityType == SecurityType.Future && symbol.Underlying.IsCanonical())
{
AddFuture(symbol.Underlying.ID.Symbol, resolutionToUseForUnderlying);
}
else if (symbol.Underlying.SecurityType == SecurityType.Future)
{
AddFutureContract(symbol.Underlying, resolutionToUseForUnderlying);
}
}
var allSymbols = new List <Symbol>();
for (var date = start; date < end; date = date.AddDays(1))
{
if (option.Exchange.DateIsOpen(date))
{
allSymbols.AddRange(OptionChainProvider.GetOptionContractList(symbol.Underlying, date));
}
}
var optionFilterUniverse = new OptionFilterUniverse();
var distinctSymbols = allSymbols.Distinct();
symbols = base.History(symbol.Underlying, start, end.Value, resolution)
.SelectMany(x =>
{
// the option chain symbols wont change so we can set 'exchangeDateChange' to false always
optionFilterUniverse.Refresh(distinctSymbols, x, exchangeDateChange: false);
return(option.ContractFilter.Filter(optionFilterUniverse));
})
.Distinct().Concat(new[] { symbol.Underlying });
}
else
{
// the symbol is a contract
symbols = new List <Symbol> {
symbol
};
}
return(new OptionHistory(History(symbols, start, end.Value, resolution)));
}
public void OnData(TradeBars data)
{
if (IsMarketOpen(iSymbol) == false)
{
return;
}
if (IsNewBar(TimeSpan.FromHours(1)) == false)
{
return;
}
var price = Securities[iSymbol].Price;
// If options were exercised and we were assigned to buy shares, sell them immediately
if (Portfolio[iSymbol].Invested)
{
MarketOrder(iSymbol, -100);
}
if (Portfolio.Invested == false)
{
var contracts = OptionChainProvider.GetOptionContractList(iSymbol, Time);
// Choose all contracts within a month and strike price $1 to $5 from current underlying price
var atmPuts =
from c in contracts
where c.ID.OptionRight == OptionRight.Put
where price - c.ID.StrikePrice < 3 && price - c.ID.StrikePrice > 1
where (c.ID.Date - Time).TotalDays < 45 && (c.ID.Date - Time).TotalDays > 0
select c;
// Choose all contracts within a month and strike price $1 to $5 from current underlying price
var otmPuts =
from c in contracts
where c.ID.OptionRight == OptionRight.Put
where price - c.ID.StrikePrice < 7 && price - c.ID.StrikePrice > 5
where (c.ID.Date - Time).TotalDays < 45 && (c.ID.Date - Time).TotalDays > 0
select c;
// Take ATM options with the MIN expiration date and MAX distance from underlying price
var contractAtmPut = atmPuts
.OrderBy(o => o.ID.Date)
.ThenBy(o => price - o.ID.StrikePrice)
.FirstOrDefault();
// Take OTM options with the MIN expiration date and MAX distance from underlying price
var contractOtmPut = otmPuts
.OrderBy(o => o.ID.Date)
.ThenBy(o => price - o.ID.StrikePrice)
.FirstOrDefault();
// If we found such options - open trade
if (contractAtmPut != null &&
contractOtmPut != null)
{
AddOptionContract(contractAtmPut, Resolution.Minute);
AddOptionContract(contractOtmPut, Resolution.Minute);
MarketOrder(contractAtmPut, -1);
MarketOrder(contractOtmPut, 1);
}
}
}