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BasicTemplateIndexAlgorithm.py
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54 lines (44 loc) · 1.91 KB
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# 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 *
class BasicTemplateIndexAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 4)
self.set_end_date(2021, 1, 18)
self.set_cash(1000000)
# Use indicator for signal; but it cannot be traded
self.spx = self.add_index("SPX", Resolution.MINUTE).symbol
# Trade on SPX ITM calls
self.spx_option = Symbol.create_option(
self.spx,
Market.USA,
OptionStyle.EUROPEAN,
OptionRight.CALL,
3200,
datetime(2021, 1, 15)
)
self.add_index_option_contract(self.spx_option, Resolution.MINUTE)
self.ema_slow = self.ema(self.spx, 80)
self.ema_fast = self.ema(self.spx, 200)
def on_data(self, data: Slice):
if self.spx not in data.bars or self.spx_option not in data.bars:
return
if not self.ema_slow.is_ready:
return
if self.ema_fast > self.ema_slow:
self.set_holdings(self.spx_option, 1)
else:
self.liquidate()
def on_end_of_algorithm(self) -> None:
if self.portfolio[self.spx].total_sale_volume > 0:
raise AssertionError("Index is not tradable.")