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
-61.089
Tracking Error
0.777
Treynor Ratio
0
Total Fees
$0.00
from datetime import timedelta

class SupportandResistance (QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 11, 3)
        self.SetEndDate(2020, 12, 3)
        self.SetCash(600000)
        equity = self.AddEquity("AAL", Resolution.Minute)
        option = self.AddOption("AAL", Resolution.Minute)
        self.symbol = option.Symbol
    
        # set our strike/expiry filter for this option chain
        #option.SetFilter(1, 2, timedelta(0), timedelta(30))
        option.SetFilter(lambda universe: universe.IncludeWeeklys().Strikes(1, 2).Expiration(timedelta(0), timedelta(360)))
        # use the underlying equity GOOG as the benchmark
        self.SetBenchmark(equity.Symbol)
        self.Schedule.On(self.DateRules.EveryDay(self.symbol), \
                        self.TimeRules.AfterMarketOpen(self.symbol, 30), \
                        Action(self.EveryMarketOpen))
        
    def OnData(self,slice):
        
        self.optionchain = slice.OptionChains
        for i in slice.OptionChains:
            if i.Key != self.symbol: continue
            chains = i.Value
            contract_list = [x for x in chains]
        # if there is no contracts in this optionchain, pass the instance
        if (slice.OptionChains.Count == 0) or (len(contract_list) == 0): 
            return
        
    def EveryMarketOpen(self):
        if not self.Portfolio.Invested:
            for i in self.optionchain:
                if i.Key != self.symbol: continue
                chain = i.Value

                expiry = sorted(chain,key = lambda x: x.Expiry, reverse=True)[0].Expiry
     
                call = [i for i in chain if i.Expiry == expiry and i.Right == 0]
        
                call_contracts = sorted(call,key = lambda x: x.Strike)    
                if len(call_contracts) == 0: continue
 
                self.call_low = call_contracts[0]
                self.lowexpiry = call_contracts[0].Expiry
                self.lowstrike = call_contracts[0].Strike

    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))