I see that it's possible to develop an alpha stream targeting options. I've written an options trading algorithm ( developed locally on my machine ) that I'd like to duplicate on QuantConnect and turn into an alpha stream. My strategy is a non-directional one, that involves buying spreads of many options at a time. But in the alpha streams lab, I only see a way to emit insights that are directional.
So I have 2 questions: First, suppose for simplicity that my algo recommends buying an ATM straddle on MSFT. Is there a way to generate an insight saying that? Second, if there isn't a way to do that, can I do it implicitly by generating separate insights for each option? E.g., in this case, saying "buy the ATM call" and also "buy the atm put". Would that do what I want it to do? Thanks to anyone who can help!
Douglas Stridsberg
Hi,
What you're looking for is how to create grouped insights.
Jeremy Bowen
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