Add bull/bear put spread sample algorithms for index weeklies (QuantConnect#6914)

LouisSzeto · web-flow · commit 4d85f27f00d8 · 2023-02-02T12:34:26.000-08:00
* bear put spread

* bull put spread
diff --git a/Algorithm.CSharp/IndexOptionBearPutSpreadAlgorithm.cs b/Algorithm.CSharp/IndexOptionBearPutSpreadAlgorithm.cs
@@ -0,0 +1,66 @@
+/* 
+ * 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.Linq;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class IndexOptionBearPutSpreadAlgorithm : QCAlgorithm
+    {
+        private Symbol _spxw;
+        private List<Leg> _legs = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 1, 1);
+            SetEndDate(2022, 7, 1);
+            SetCash(100000);
+
+            var index = AddIndex("SPX", Resolution.Minute).Symbol;
+            var option = AddIndexOption(index, "SPXW", Resolution.Minute);
+            option.SetFilter((x) => x.WeeklysOnly().Strikes(5, 10).Expiration(0, 0));
+
+            _spxw = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Return if open position exists
+            if (_legs.Any(x => Portfolio[x.Symbol].Invested)) return;
+
+            // Get the OptionChain
+            if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
+
+            // Get the nearest expiry date of the contracts
+            var expiry = chain.Min(x => x.Expiry);
+            
+            // Select the put Option contracts with the nearest expiry and sort by strike price
+            var puts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Put)
+                .OrderBy(x => x.Strike).ToArray();
+            if (puts.Length < 2) return;
+
+            // Create combo order legs
+            _legs = new List<Leg>
+            {
+                Leg.Create(puts[0].Symbol, -1),
+                Leg.Create(puts[^1].Symbol, 1)
+            };
+            ComboMarketOrder(_legs, 1);
+        }
+    }
+}
diff --git a/Algorithm.CSharp/IndexOptionBullPutSpreadAlgorithm.cs b/Algorithm.CSharp/IndexOptionBullPutSpreadAlgorithm.cs
@@ -0,0 +1,66 @@
+/* 
+ * 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.Linq;
+using System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class IndexOptionBullPutSpreadAlgorithm : QCAlgorithm
+    {
+        private Symbol _spxw;
+        private List<Leg> _legs = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2019, 1, 1);
+            SetEndDate(2020, 1, 1);
+            SetCash(100000);
+
+            var index = AddIndex("SPX", Resolution.Minute).Symbol;
+            var option = AddIndexOption(index, "SPXW", Resolution.Minute);
+            option.SetFilter((x) => x.WeeklysOnly().Strikes(-10, -5).Expiration(0, 0));
+
+            _spxw = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            // Return if open position exists
+            if (_legs.Any(x => Portfolio[x.Symbol].Invested)) return;
+
+            // Get the OptionChain
+            if (!slice.OptionChains.TryGetValue(_spxw, out var chain)) return;
+
+            // Get the nearest expiry date of the contracts
+            var expiry = chain.Min(x => x.Expiry);
+            
+            // Select the put Option contracts with the nearest expiry and sort by strike price
+            var puts = chain.Where(x => x.Expiry == expiry && x.Right == OptionRight.Put)
+                .OrderBy(x => x.Strike).ToArray();
+            if (puts.Length < 2) return;
+
+            // Create combo order legs
+            _legs = new List<Leg>
+            {
+                Leg.Create(puts[0].Symbol, 1),
+                Leg.Create(puts[^1].Symbol, -1)
+            };
+            ComboMarketOrder(_legs, 1);
+        }
+    }
+}
diff --git a/Algorithm.Python/IndexOptionBearPutSpreadAlgorithm.py b/Algorithm.Python/IndexOptionBearPutSpreadAlgorithm.py
@@ -0,0 +1,52 @@
+# 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 IndexOptionBearPutSpreadAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2022, 1, 1)
+        self.SetEndDate(2022, 7, 1)
+        self.SetCash(100000)
+
+        index = self.AddIndex("SPX", Resolution.Minute).Symbol
+        option = self.AddIndexOption(index, "SPXW", Resolution.Minute)
+        option.SetFilter(lambda x: x.WeeklysOnly().Strikes(5, 10).Expiration(0, 0))
+        
+        self.spxw = option.Symbol
+        self.legs = []
+
+    def OnData(self, slice: Slice) -> None:
+        # Return if open position exists
+        if any([self.Portfolio[x.Symbol].Invested for x in self.legs]):
+            return
+
+        # Get option chain
+        chain = slice.OptionChains.get(self.spxw)
+        if not chain: return
+
+        # Get the nearest expiry date of the contracts
+        expiry = min([x.Expiry for x in chain])
+        
+        # Select the put Option contracts with the nearest expiry and sort by strike price
+        puts = sorted([i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put], 
+                        key=lambda x: x.Strike)
+        if len(puts) < 2: return
+
+        # Create combo order legs
+        self.legs = [
+            Leg.Create(puts[0].Symbol, -1),
+            Leg.Create(puts[-1].Symbol, 1)
+        ]
+        self.ComboMarketOrder(self.legs, 1)
diff --git a/Algorithm.Python/IndexOptionBullPutSpreadAlgorithm.py b/Algorithm.Python/IndexOptionBullPutSpreadAlgorithm.py
@@ -0,0 +1,52 @@
+# 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 IndexOptionBullPutSpreadAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2019, 1, 1)
+        self.SetEndDate(2020, 1, 1)
+        self.SetCash(100000)
+
+        index = self.AddIndex("SPX", Resolution.Minute).Symbol
+        option = self.AddIndexOption(index, "SPXW", Resolution.Minute)
+        option.SetFilter(lambda x: x.WeeklysOnly().Strikes(-10, -5).Expiration(0, 0))
+        
+        self.spxw = option.Symbol
+        self.legs = []
+
+    def OnData(self, slice: Slice) -> None:
+        # Return if open position exists
+        if any([self.Portfolio[x.Symbol].Invested for x in self.legs]):
+            return
+
+        # Get option chain
+        chain = slice.OptionChains.get(self.spxw)
+        if not chain: return
+
+        # Get the nearest expiry date of the contracts
+        expiry = min([x.Expiry for x in chain])
+        
+        # Select the put Option contracts with the nearest expiry and sort by strike price
+        puts = sorted([i for i in chain if i.Expiry == expiry and i.Right == OptionRight.Put], 
+                        key=lambda x: x.Strike)
+        if len(puts) < 2: return
+
+        # Create combo order legs
+        self.legs = [
+            Leg.Create(puts[0].Symbol, 1),
+            Leg.Create(puts[-1].Symbol, -1)
+        ]
+        self.ComboMarketOrder(self.legs, 1)
