BasicTemplateOptionsFilterUniverseAlgorithm.cs

/*
 * 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.
 *
*/

using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// 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.
    /// </summary>
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="options" />
    /// <meta name="tag" content="filter selection" />
    public class BasicTemplateOptionsFilterUniverseAlgorithm : QCAlgorithm
    {
        private const string UnderlyingTicker = "GOOG";
        public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
        public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 24);
            SetCash(10000);

            var equity = AddEquity(UnderlyingTicker);
            var option = AddOption(UnderlyingTicker);

            // set our custom filter for this option chain
            option.SetFilter(universe => from symbol in universe
                                                          .WeeklysOnly()
                                                          .Expiration(TimeSpan.Zero, TimeSpan.FromDays(10))
                                         where symbol.ID.OptionRight != OptionRight.Put &&
                                              universe.Underlying.Price - symbol.ID.StrikePrice < 60
                                         select symbol);

            // use the underlying equity as the benchmark
            SetBenchmark(equity.Symbol);
        }

        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested)
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
                {
                    // find the second call strike under market price expiring today
                    var contract = (
                        from optionContract in chain.OrderByDescending(x => x.Strike)
                        where optionContract.Right == OptionRight.Call
                        where optionContract.Expiry == Time.Date
                        where optionContract.Strike < chain.Underlying.Price
                        select optionContract
                        ).Skip(2).FirstOrDefault();

                    if (contract != null)
                    {
                        MarketOrder(contract.Symbol, 1);
                    }
                }
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            Log(orderEvent.ToString());
        }
    }
}