# 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 regression algorithm verifies automatic option contract assignment behavior.### </summary>class OptionAssignmentRegressionAlgorithm(QCAlgorithm):def initialize(self):self.set_start_date(2015, 12, 23)self.set_end_date(2015, 12, 28)self.set_cash(100000)self.stock = self.add_equity("GOOG", Resolution.MINUTE)contracts = list(self.option_chain(self.stock.symbol))self.put_option_symbol = sorted([c for c in contracts if c.id.option_right == OptionRight.PUT and c.id.strike_price == 800],key=lambda c: c.id.date)[0]self.call_option_symbol = sorted([c for c in contracts if c.id.option_right == OptionRight.CALL and c.id.strike_price == 600],key=lambda c: c.id.date)[0]self.put_option = self.add_option_contract(self.put_option_symbol)self.call_option = self.add_option_contract(self.call_option_symbol)def on_data(self, data):if not self.portfolio.invested and self.stock.price != 0 and self.put_option.price != 0 and self.call_option.price != 0:#this gets executed on start and after each auto-assignment, finally ending with expiration assignmentif self.time < self.put_option_symbol.id.date:self.market_order(self.put_option_symbol, -1)if self.time < self.call_option_symbol.id.date:self.market_order(self.call_option_symbol, -1)
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