# 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 *from datetime import timedelta### <summary>### Regression algorithm illustrating the usage of the <see cref="QCAlgorithm.OptionChain(Symbol)"/> method### to get an option chain, which contains additional data besides the symbols, including prices, implied volatility and greeks.### It also shows how this data can be used to filter the contracts based on certain criteria.### </summary>class OptionChainFullDataRegressionAlgorithm(QCAlgorithm):def initialize(self):self.set_start_date(2015, 12, 24)self.set_end_date(2015, 12, 24)self.set_cash(100000)goog = self.add_equity("GOOG").symboloption_chain = self.option_chain(goog, flatten=True)# Demonstration using data frame:df = option_chain.data_frame# Get contracts expiring within 10 days, with an implied volatility greater than 0.5 and a delta less than 0.5contracts = df.loc[(df.expiry <= self.time + timedelta(days=10)) & (df.impliedvolatility > 0.5) & (df.delta < 0.5)]# Get the contract with the latest expiration date.# Note: the result of df.loc[] is a series, and its name is a tuple with a single element (contract symbol)self._option_contract = contracts.loc[contracts.expiry.idxmax()].nameself.add_option_contract(self._option_contract)def on_data(self, data):# Do some trading with the selected contract for sample purposesif not self.portfolio.invested:self.market_order(self._option_contract, 1)else:self.liquidate()
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