INNER CODE UNIT · Python

days_to_expiry

ldt9/PyOptionTrader · research/backtesting/QuantConnect.py:45

                days_to_expiry = (expiries[0].date() - today).days + 1
                # self.Debug(f"The days to expiry are: {days_to_expiry}")
                if days_to_expiry <= 21:
                    self.Liquidate()

    ## Initialize Options settings, chain filters, pricing models, etc
    ## ====================================================================
    def InitOptionsAndGreeks(self, theEquity):

        ## 1. Specify the data normalization mode (must be 'Raw' for options)
        theEquity.SetDataNormalizationMode(DataNormalizationMode.Raw)

        ## 2. Set Warmup period of at least 30 days
        self.SetWarmup(30, Resolution.Daily)

        ## 3. Set the security initializer to call SetMarketPrice
        self.SetSecurityInitializer(lambda x: x.SetMarketPrice(self.GetLastKnownPrice(x)))

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