# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.## Licensed under the Apache License, Version 2.0 (the "License");# you may not use this file except in compliance with the License.# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0## Unless required by applicable law or agreed to in writing, software# distributed under the License is distributed on an "AS IS" BASIS,# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.# See the License for the specific language governing permissions and# limitations under the License.from AlgorithmImports import *### <summary>### This example demonstrates how to execute a Call Butterfly option equity strategy### It adds options for a given underlying equity security, and shows how you can prefilter contracts easily based on strikes and expirations### </summary>### <meta name="tag" content="using data" />### <meta name="tag" content="options" />### <meta name="tag" content="filter selection" />### <meta name="tag" content="trading and orders" />class BasicTemplateOptionEquityStrategyAlgorithm(QCAlgorithm):underlying_ticker = "GOOG"def initialize(self) -> None:self.set_start_date(2015, 12, 24)self.set_end_date(2015, 12, 24)equity = self.add_equity(self.underlying_ticker)option = self.add_option(self.underlying_ticker)self._option_symbol = option.symbol# set our strike/expiry filter for this option chainoption.set_filter(lambda u: (u.standards_only().strikes(-2, +2)# Expiration method accepts TimeSpan objects or integer for days.# The following statements yield the same filtering criteria.expiration(0, 180)))def on_data(self, slice: Slice) -> None:if self.portfolio.invested or not self.is_market_open(self._option_symbol):returnchain = slice.option_chains.get(self._option_symbol)if not chain:returngrouped_by_expiry = dict()for contract in [contract for contract in chain if contract.right == OptionRight.CALL]:grouped_by_expiry.setdefault(int(contract.expiry.timestamp()), []).append(contract)first_expiry = list(sorted(grouped_by_expiry))[0]call_contracts = sorted(grouped_by_expiry[first_expiry], key = lambda x: x.strike)expiry = call_contracts[0].expirylower_strike = call_contracts[0].strikemiddle_strike = call_contracts[1].strikehigher_strike = call_contracts[2].strikeoption_strategy = OptionStrategies.call_butterfly(self._option_symbol, higher_strike, middle_strike, lower_strike, expiry)self.order(option_strategy, 10)def on_order_event(self, order_event: OrderEvent) -> None:self.log(str(order_event))
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