# 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 datetime import timedelta class CoveredCallOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2016, 1, 1) self.SetEndDate(2019, 3, 1) self.SetCash(1000000) equity = self.AddEquity("FB", Resolution.Minute) equity.SetDataNormalizationMode(DataNormalizationMode.Raw) self.underlying = equity.Symbol # use the underlying equity as the benchmark self.SetBenchmark(self.underlying) # Initialize the call contract self.call = str() def OnData(self,slice): if not self.Portfolio[self.underlying].Invested: self.MarketOrder(self.underlying, 900) # long the underlying stock if not (self.Securities.ContainsKey(self.call) and self.Portfolio[self.underlying].Invested): self.call = self.AddContract(slice) # Add the call option contract (subscribe the contract data) if self.Securities.ContainsKey(self.call) and not self.Portfolio[self.call].Invested: self.Sell(self.call, 0) # short the call option def AddContract(self,slice): filtered_contracts = self.InitialFilter(-3, 3, 0, 30) if len(filtered_contracts) == 0: return str() else: call = [x for x in filtered_contracts if x.ID.OptionRight == OptionRight.Call] # sorted the contracts according to their expiration dates and choose the ATM options contracts = sorted(sorted(call, key = lambda x: abs(self.Securities[self.underlying].Price- x.ID.StrikePrice)), key = lambda x: x.ID.Date, reverse=True) if len(contracts) > 0: self.AddOptionContract(contracts[0], Resolution.Minute) return contracts[0] else: return str() def InitialFilter(self, min_strike_rank, max_strike_rank, min_expiry, max_expiry): ''' This method is an initial filter of option contracts according to the range of strike price and the expiration date ''' contracts = self.OptionChainProvider.GetOptionContractList(self.underlying, self.Time.date()) if len(contracts) == 0 : return [] # fitler the contracts based on the expiry range contract_list = [i for i in contracts if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry] # find the strike price of ATM option atm_strike = sorted(contract_list, key = lambda x: abs(x.ID.StrikePrice - self.Securities[self.underlying].Price))[0].ID.StrikePrice strike_list = sorted(set([i.ID.StrikePrice for i in contract_list])) # find the index of ATM strike in the sorted strike list atm_strike_rank = strike_list.index(atm_strike) try: strikes = strike_list[(atm_strike_rank + min_strike_rank):(atm_strike_rank + max_strike_rank)] except: strikes = strike_list filtered_contracts = [i for i in contract_list if i.ID.StrikePrice in strikes] return filtered_contracts def OnOrderEvent(self, orderEvent): self.Log(str(orderEvent))

Hi everyone, I cloned the covered call algo, however, I cannot get it to work with 5 or more stocks. I would really appriacite some help. Thank you!

Author

Dat Do

March 2019