# 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 *

### <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, and 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" />

class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):

UnderlyingTicker = "GOOG"

def Initialize(self):

self.SetStartDate(2015, 12, 23)

self.SetEndDate(2016, 1, 20)

self.SetCash(100000)

self.optionExpired = False

equity = self.AddEquity(self.UnderlyingTicker, Resolution.Daily)

option = self.AddOption(self.UnderlyingTicker, Resolution.Daily)

self.option_symbol = option.Symbol

# set our strike/expiry filter for this option chain

option.SetFilter(lambda u: (u.CallsOnly().Strikes(0, 1).Expiration(0, 30)))

# use the underlying equity as the benchmark

self.SetBenchmark(equity.Symbol)

def OnData(self,slice):

if self.Portfolio.Invested: return

chain = slice.OptionChains.GetValue(self.option_symbol)

if chain is None:

return

# Grab us the contract nearest expiry

contracts = sorted(chain, key = lambda x: x.Expiry)

# if found, trade it

if len(contracts) == 0 or not self.IsMarketOpen(contracts[0].Symbol): return

symbol = contracts[0].Symbol

self.MarketOrder(symbol, 1)

def OnOrderEvent(self, orderEvent):

self.Log(str(orderEvent))

# Check for our expected OTM option expiry

if "OTM" in orderEvent.Message:

# Assert it is at midnight 1/16 (5AM UTC)

if orderEvent.UtcTime.month != 1 and orderEvent.UtcTime.day != 16 and orderEvent.UtcTime.hour != 5:

raise AssertionError(f"Expiry event was not at the correct time, {orderEvent.UtcTime}")

self.optionExpired = True

def OnEndOfAlgorithm(self):

# Assert we had our option expire and fill a liquidation order

if not self.optionExpired:

raise AssertionError("Algorithm did not process the option expiration like expected")