INNER CODE UNIT · Python

Initialize

ldt9/PyOptionTrader · research/backtesting/QuantConnect.py:9

    def Initialize(self):
        self.SetStartDate(2020, 1, 1)
        self.SetEndDate(2020, 3, 1)
        self.SetCash(100000)
        self.equity = self.AddEquity("SPY", Resolution.Daily)
        self.symbol = self.equity.Symbol
        self.InitOptionsAndGreeks(self.equity)

    def OnData(self, data):

        ## If we're done warming up, and not invested, Sell a put.
        if (not self.IsWarmingUp) and (not self.Portfolio.Invested):
            if data.Bars.ContainsKey(self.symbol):
                self.SellAnOTMStrangle()

        ## If we're assigned stock sell/cover the shares immediatley
        # order = self.Transactions.GetOrderById(orderEvent.OrderId)
        # if order.Type == OrderType.OptionExercise:

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