# 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 clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Common")

from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from datetime import timedelta

class BasicTemplateOptionTradesAlgorithm(QCAlgorithm):

''' This example demonstrates how to add options for a given underlying equity security.

It also shows how you can prefilter contracts easily based on strikes and expirations.

It also shows how you can inspect the option chain to pick a specific option contract to trade.'''

def Initialize(self):

self.SetStartDate(2015, 1, 1)

self.SetEndDate(2015, 3, 20)

self.SetCash(100000)

equity = self.AddEquity("GOOG", Resolution.Minute)

option = self.AddOption("GOOG", Resolution.Minute)

self.symbol = option.Symbol

# set our strike/expiry filter for this option chain

option.SetFilter(-2, +2, timedelta(0), timedelta(30))

equity.SetDataNormalizationMode(DataNormalizationMode.Raw)

# use the underlying equity as the benchmark

self.SetBenchmark(equity.Symbol)

def OnData(self,slice):

if not self.Portfolio.Invested:

for kvp in slice.OptionChains:

chain = kvp.Value

# find the second call strike under market price expiring today

contracts = sorted(sorted(chain, key = lambda x: abs(chain.Underlying.Price - x.Strike)),

key = lambda x: x.Expiry, reverse=False)

if len(contracts) == 0: continue

if contracts[0] != None:

self.MarketOrder(contracts[0].Symbol, 1)

else:

self.Liquidate()

for kpv in slice.Bars:

self.Log("---> OnData: {0}, {1}, {2}".format(self.Time, kpv.Key.Value, str(kpv.Value.Close)))

def OnOrderEvent(self, orderEvent):

''' Order fill event handler. On an order fill update the resulting information is passed to this method.

<param name="orderEvent">Order event details containing details of the events</param> '''

self.Log(str(orderEvent))