Chocksy · April 12, 2023 19:32 · Aug 17, 2020
diff --git a/main.py b/main.py
@@ -0,0 +1,129 @@
+# 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 QuantConnect.Securities.Option import OptionPriceModels
+from datetime import timedelta
+import decimal as d
+
+class CoveredCallAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self._no_K = 20       # no of strikes around ATM => for uni selection
+        self.MIN_EXPIRY = 30 # min num of days to expiration => for uni selection
+        self.MAX_EXPIRY = 60 # max num of days to expiration => for uni selection
+        self.MAX_DELTA = d.Decimal(0.3)
+        self.MIN_PREMIUM = d.Decimal(0.3)
+        self.ticker = "NKE"
+        self.benchmarkTicker = "SPX"
+        self.SetStartDate(2013, 1, 1)
+        self.SetEndDate(2020, 8, 10)
+        self.SetCash(100000)
+
+        self.resolution = Resolution.Minute
+        self.call, self.put, self.takeProfitTicket = None, None, None
+
+        equity = self.AddEquity(self.ticker, self.resolution)
+        option = self.AddOption(self.ticker, self.resolution)
+        self.symbol = option.Symbol
+
+        # set strike/expiry filter for this option chain
+        # option.SetFilter(-3, +3, timedelta(30), timedelta(60))
+
+        # set our strike/expiry filter for this option chain
+        option.SetFilter(self.UniverseFunc)
+
+        # for greeks and pricer (needs some warmup) - https://github.com/QuantConnect/Lean/blob/21cd972e99f70f007ce689bdaeeafe3cb4ea9c77/Common/Securities/Option/OptionPriceModels.cs#L81
+        option.PriceModel = OptionPriceModels.CrankNicolsonFD()  # both European & American, automatically
+
+        # this is needed for Greeks calcs
+        self.SetWarmUp(TimeSpan.FromDays(60))    # timedelta(7)
+
+        # use the underlying equity as the benchmark
+        # self.SetBenchmark(self.benchmarkTicker)
+        self.SetBenchmark(self.benchmarkTicker)
+
+    def OnData(self,slice):
+        if (self.IsWarmingUp): return
+
+        option_invested = [x.Key for x in self.Portfolio if x.Value.Invested and x.Value.Type==SecurityType.Option]
+
+        if len(option_invested) == 1: return
+
+        # If we already have underlying - check if we need to sell covered call
+        if self.Portfolio[self.ticker].Invested:
+            self.TradeCallOption(slice) 
+        else:
+            self.TradePutOption(slice) 
+
+    def TradePutOption(self,slice):
+        for i in slice.OptionChains:
+            if i.Key != self.symbol: continue
+
+            chain = i.Value
+
+            # filter the put options contracts
+            puts = [x for x in chain if x.Right == OptionRight.Put and abs(x.Greeks.Delta) > 0 and abs(x.Greeks.Delta) < self.MAX_DELTA and x.BidPrice > self.MIN_PREMIUM] 
+
+            # sorted the contracts according to their expiration dates and choose the ATM options
+            contracts = sorted(sorted(puts, key = lambda x: x.BidPrice, reverse=True), 
+                                            key = lambda x: x.Expiry)
+
+            if len(contracts) == 0: continue  
+
+            self.put = contracts[0].Symbol
+
+            # short the put options
+            ticket = self.MarketOrder(self.put, -1, asynchronous = False)     
+
+            # set Take Profit order
+            self.takeProfitTicket = self.LimitOrder(self.put, 1, round(ticket.AverageFillPrice * d.Decimal(0.5), 2))
+
+    def TradeCallOption(self,slice):
+        for i in slice.OptionChains:
+            if i.Key != self.symbol: continue
+
+            chain = i.Value
+
+            # filter the put options contracts
+            calls = [x for x in chain if x.Right == OptionRight.Call and abs(x.Greeks.Delta) > 0 and abs(x.Greeks.Delta) < self.MAX_DELTA and x.BidPrice > self.MIN_PREMIUM] 
+
+            # sorted the contracts according to their expiration dates and choose the ATM options
+            contracts = sorted(sorted(calls, key = lambda x: x.BidPrice, reverse=True), 
+                                             key = lambda x: x.Expiry)
+
+            if len(contracts) == 0: continue  
+
+            self.call = contracts[0].Symbol
+
+            # short the call options
+            ticket = self.MarketOrder(self.call, -1, asynchronous = False)     
+
+            # set Take Profit order
+            self.takeProfitTicket = self.LimitOrder(self.call, 1, round(ticket.AverageFillPrice * d.Decimal(0.5), 2))
+
+
+    def OnOrderEvent(self, orderEvent):
+        self.Log(str(orderEvent))
+
+    def OnAssignmentOrderEvent(self, assignmentEvent):
+        if self.takeProfitTicket != None:
+            self.takeProfitTicket.cancel();
+            self.takeProfitTicket = None
+
+    def UniverseFunc(self, universe):
+        return universe.IncludeWeeklys()\
+                        .Strikes(-self._no_K, self._no_K)\
+                        .Expiration(timedelta(self.MIN_EXPIRY), timedelta(self.MAX_EXPIRY))
+
+    def OnFrameworkData(self):
+        return