Overall Statistics |
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe 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 |
from QuantConnect.Data.Market import * from QuantConnect.Data.Consolidators import * from datetime import * from System import * from QuantConnect import * from QuantConnect.Algorithm import * from QuantConnect.Indicators import * from QuantConnect.Securities.Option import OptionPriceModels import decimal as d import operator class BasicTemplateOptionsAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2019, 1, 4) self.SetEndDate(2019, 1, 4) self.tickers_one = ["AAPL", "FB", "TSLA", "AMD"] self.symbols = [] for ticker in self.tickers_one: symbol = self.AddEquity(ticker, Resolution.Minute).Symbol option = self.AddOption(ticker, Resolution.Minute) self.symbols.append(option.Symbol) option.SetFilter(-5, 5, timedelta(0), timedelta(14)) self.AddEquity("SPY") self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(12,40), self.OnceADay1) self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(12,45), self.OnceADay2) self.Schedule.On(self.DateRules.EveryDay("SPY"), self.TimeRules.At(12,50), self.OnceADay3) self.Log("initialize") def OnceADay1(self): self.Log("before") for security in self.ActiveSecurities.Keys: self.Log(f'Security in Universe: {security.Value}') def OnceADay2(self): for symbol in self.symbols: self.RemoveSecurity(symbol) def OnceADay3(self): self.Log("after") for security in self.ActiveSecurities.Keys: self.Log(f'Security in Universe: {security.Value}')