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quantconnect wheel strategy example
# 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 QuantConnect.Securities.Option import OptionPriceModels
from datetime import timedelta
import decimal as d
class CoveredCallAlgorithm(QCAlgorithm):
def Initialize(self):
self._no_K = 20 # no of strikes around ATM => for uni selection
self.MIN_EXPIRY = 30 # min num of days to expiration => for uni selection
self.MAX_EXPIRY = 60 # max num of days to expiration => for uni selection
self.MAX_DELTA = d.Decimal(0.3)
self.MIN_PREMIUM = d.Decimal(0.3)
self.ticker = "NKE"
self.benchmarkTicker = "SPX"
self.SetStartDate(2013, 1, 1)
self.SetEndDate(2020, 8, 10)
self.SetCash(100000)
self.resolution = Resolution.Minute
self.call, self.put, self.takeProfitTicket = None, None, None
equity = self.AddEquity(self.ticker, self.resolution)
option = self.AddOption(self.ticker, self.resolution)
self.symbol = option.Symbol
# set strike/expiry filter for this option chain
# option.SetFilter(-3, +3, timedelta(30), timedelta(60))
# set our strike/expiry filter for this option chain
option.SetFilter(self.UniverseFunc)
# for greeks and pricer (needs some warmup) - https://github.com/QuantConnect/Lean/blob/21cd972e99f70f007ce689bdaeeafe3cb4ea9c77/Common/Securities/Option/OptionPriceModels.cs#L81
option.PriceModel = OptionPriceModels.CrankNicolsonFD() # both European & American, automatically
# this is needed for Greeks calcs
self.SetWarmUp(TimeSpan.FromDays(60)) # timedelta(7)
# use the underlying equity as the benchmark
# self.SetBenchmark(self.benchmarkTicker)
self.SetBenchmark(self.benchmarkTicker)
def OnData(self,slice):
if (self.IsWarmingUp): return
option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
if len(option_invested) == 1: return
# If we already have underlying - check if we need to sell covered call
if self.Portfolio[self.ticker].Invested:
self.TradeCallOption(slice)
else:
self.TradePutOption(slice)
def TradePutOption(self,slice):
for i in slice.OptionChains:
if i.Key != self.symbol: continue
chain = i.Value
# filter the put options contracts
puts = [x for x in chain if x.Right == OptionRight.Put and abs(x.Greeks.Delta) > 0 and abs(x.Greeks.Delta) < self.MAX_DELTA and x.BidPrice > self.MIN_PREMIUM]
# sorted the contracts according to their expiration dates and choose the ATM options
contracts = sorted(sorted(puts, key = lambda x: x.BidPrice, reverse=True),
key = lambda x: x.Expiry)
if len(contracts) == 0: continue
self.put = contracts[0].Symbol
# short the put options
ticket = self.MarketOrder(self.put, -1, asynchronous = False)
# set Take Profit order
self.takeProfitTicket = self.LimitOrder(self.put, 1, round(ticket.AverageFillPrice * d.Decimal(0.5), 2))
def TradeCallOption(self,slice):
for i in slice.OptionChains:
if i.Key != self.symbol: continue
chain = i.Value
# filter the put options contracts
calls = [x for x in chain if x.Right == OptionRight.Call and abs(x.Greeks.Delta) > 0 and abs(x.Greeks.Delta) < self.MAX_DELTA and x.BidPrice > self.MIN_PREMIUM]
# sorted the contracts according to their expiration dates and choose the ATM options
contracts = sorted(sorted(calls, key = lambda x: x.BidPrice, reverse=True),
key = lambda x: x.Expiry)
if len(contracts) == 0: continue
self.call = contracts[0].Symbol
# short the call options
ticket = self.MarketOrder(self.call, -1, asynchronous = False)
# set Take Profit order
self.takeProfitTicket = self.LimitOrder(self.call, 1, round(ticket.AverageFillPrice * d.Decimal(0.5), 2))
def OnOrderEvent(self, orderEvent):
self.Log(str(orderEvent))
def OnAssignmentOrderEvent(self, assignmentEvent):
if self.takeProfitTicket != None:
self.takeProfitTicket.cancel();
self.takeProfitTicket = None
def UniverseFunc(self, universe):
return universe.IncludeWeeklys()\
.Strikes(-self._no_K, self._no_K)\
.Expiration(timedelta(self.MIN_EXPIRY), timedelta(self.MAX_EXPIRY))
def OnFrameworkData(self):
return
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