| Overall Statistics |
|
Total Orders 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Start Equity 100000 End Equity 100000 Net Profit 0% Sharpe Ratio 0 Sortino Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0 Tracking Error 0 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset Portfolio Turnover 0% |
# region imports
from AlgorithmImports import *
# endregion
class SPXW(QCAlgorithm):
def Initialize(self):
#By June 2022 both SPX 0DTE Tue and Thu expirations were available
#so daily expirations were available
#Check SPX 0DTE daily options are available for each trading day from June 2022
#Checks at 1 minute after market open and at 1 minute before market close
#self.SetStartDate(2022, 6, 1)
#self.SetEndDate(2024, 12, 1)
self.SetStartDate(2024, 1, 2)
self.SetEndDate(2024, 1, 2)
#By the end of 2022 NDX daily 0DTE expirations were available
#Check NDX 0DTE daily options are available for each trading day from Jan 2023
#Checks at 1 minute after market open and at 1 minute before market close
#self.SetStartDate(2023, 1, 1)
#self.SetStartDate(2024, 1, 1)
#self.SetEndDate(2024, 12, 1)
self.SetCash(100000)
#Check SPX 0DTE daily options are available for each trading day from June 2022
#Checks at 1 minute after market open and at 1 minute before market close
self.index_symbol = self.AddIndex("SPX").Symbol
index_option = self.AddIndexOption(self.index_symbol, "SPXW")
#Check NDX 0DTE daily options are available for each trading day from Jan 2023
#Checks at 1 minute after market open and at 1 minute before market close
#self.index_symbol = self.AddIndex("NDX").Symbol
#index_option = self.AddIndexOption(self.index_symbol, "NDXP")
#index_option = self.AddIndexOption(self.index_symbol, "NQX")
index_option.SetFilter(lambda u: (u.Strikes(-3, +3).Expiration(0, 0).IncludeWeeklys()))
self.index_option_symbol = index_option.Symbol
self.missingCount = 0
self.schedule.on(
self.date_rules.every_day(self.index_option_symbol),
self.time_rules.after_market_open(self.index_option_symbol, -1),
self.before_open
)
self.schedule.on(
self.date_rules.every_day(self.index_option_symbol),
self.time_rules.after_market_open(self.index_option_symbol, 5),
self.after_open
)
#self.schedule.on(
# self.date_rules.every_day(self.index_option_symbol),
# self.time_rules.before_market_close(self.index_option_symbol, 1),
# self.before_end_of_day
#)
def before_open(self) -> None:
self.is_check_data = False
def after_open(self) -> None:
self.is_check_data = True
def before_end_of_day(self) -> None:
self.is_check_data = True
def OnData(self, slice: Slice) -> None:
if self.IsMarketOpen(self.index_option_symbol):
if self.is_check_data:
self.is_check_data = False
chain = slice.OptionChains.get(self.index_option_symbol)
if not chain or not [x for x in chain]:
self.missingCount += 1
self.day = self.Time.strftime("%a")
self.Log(f'{self.Time} {self.day} empty n={self.missingCount}')
else:
#self.Log(f'{self.Time} OK')
for symbol, trade_bar in slice.bars.items():
close_price = trade_bar.close
self.Log(f'{self.Time}, {symbol}, {close_price}')