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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License
from AlgorithmImports import *
class BasicTemplateIndexDailyAlgorithm(QCAlgorithm):
def initialize(self) -> None:
self.set_start_date(2021, 1, 1)
self.set_end_date(2021, 1, 18)
self.set_cash(1000000)
# Use indicator for signal; but it cannot be traded
self.spx = self.add_index("SPX", Resolution.DAILY).symbol
# Trade on SPX ITM calls
self.spx_option = Symbol.create_option(
self.spx,
Market.USA,
OptionStyle.EUROPEAN,
OptionRight.CALL,
3200,
datetime(2021, 1, 15)
)
self.add_index_option_contract(self.spx_option, Resolution.DAILY)
self.ema_slow = self.ema(self.spx, 80)
self.ema_fast = self.ema(self.spx, 200)
self.ExpectedBarCount = 10
self.BarCounter = 0
self.settings.daily_precise_end_time = True
def on_data(self, data: Slice):
if not self.portfolio.invested:
# SPX Index is not tradable, but we can trade an option
self.market_order(self.spx_option, 1)
else:
self.liquidate()
# Count how many slices we receive with SPX data in it to assert later
if data.contains_key(self.spx):
self.BarCounter = self.BarCounter + 1
def OnEndOfAlgorithm(self):
if self.BarCounter != self.ExpectedBarCount:
raise ValueError(f"Bar Count {self.BarCounter} is not expected count of {self.ExpectedBarCount}")
for symbol in [ self.spx_option, self.spx ]:
history = self.history(symbol, 10)
if len(history) != 10:
raise ValueError(f"Unexpected history count: {len(history)}")
if any(x for x in history.index.get_level_values('time') if x.time() != time(15, 15, 0)):
raise ValueError(f"Unexpected history data time")