Overall Statistics
Total Orders
2
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Start Equity
100000
End Equity
99878
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
$2.00
Estimated Strategy Capacity
$76000.00
Lowest Capacity Asset
GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL
Portfolio Turnover
3.11%
 
# region imports
from AlgorithmImports import *
# endregion

class HipsterApricotBuffalo(QCAlgorithm):

    def initialize(self):
        self.set_start_date(2015, 12, 24) 
        self.set_end_date(2015, 12, 24)
        self.set_cash(100000) 
        option = self.add_option("GOOG")
        option.set_filter(min_strike=-2, max_strike=2, min_expiry=timedelta(days=0), max_expiry=timedelta(days=180))

    def on_data(self, data: Slice):
        if self.portfolio.invested:
            return
        
        for canonical_symbol, chain in data.option_chains.items():
            contracts = [c for c in chain][:2]
            if len(contracts) < 2:
                return

            quantities = [1, -1]
            legs = []
            for i, contract in enumerate(contracts):
                legs.append(Leg.create(contract.symbol, quantities[i]))
            
            tickets = self.combo_market_order(legs, 1)