Merge pull request #1778 from QuantConnect/feature-1356-combo-oreder-…

…option-strategies

Combo Order in Option Strategies

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/01 Bear Call Spread/02 Implementation.php

@@ -24,7 +24,10 @@
     self._symbol = option.symbol
     option.set_filter(lambda universe: universe.include_weeklys().strikes(-15, 15).expiration(0, 31))</pre>
     </div>
+</ol>
 
+<h4>Using Helper strategies</h4>
+<ol>
     <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the expiration and strikes of the contracts in the strategy legs.</li>
     <div class="section-example-container">
         <pre class="csharp">public override void OnData(Slice slice)
@@ -77,5 +80,62 @@
 include(DOCS_RESOURCES."/trading-and-orders/option-strategy-extra-args.php"); 
 ?>
 
+</ol>
+
+<h4>Using Combo Orders</h4>
+<ol>
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the strategy legs.</li>
+    <div class="section-example-container">
+        <pre class="csharp">public override void OnData(Slice slice)
+{
+    if (Portfolio.Invested) return;
+
+    // Get the OptionChain
+    var chain = slice.OptionChains.get(_symbol, null);
+    if (chain.Count() == 0) return;
+
+    // Select the call Option contracts with the furthest expiry
+    var expiry = chain.OrderByDescending(x =&gt; x.Expiry).First().Expiry;    
+    var calls = chain.Where(x =&gt; x.Expiry == expiry &amp;&amp; x.Right == OptionRight.Call);
+    if (calls.Count() == 0) return;
+
+    // Select the ITM and OTM contract strike prices from the remaining contracts
+    var orderedCalls = calls.OrderBy(x =&gt; x.Strike);
+    var itmCall = orderedCalls.First();
+    var otmCall = orderedCalls.Last();</pre>
+        <pre class="python">def on_data(self, slice: Slice) -&gt; None:
+    if self.portfolio.invested: return
+
+    # Get the OptionChain
+    chain = slice.option_chains.get(self._symbol, None)
+    if not chain: return
+
+    # Get the furthest expiry date of the contracts
+    expiry = sorted(chain, key = lambda x: x.expiry, reverse=True)[0].expiry
+
+    # Select the call Option contracts with the furthest expiry
+    calls = [i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL]
+    if len(calls) == 0: return
+
+    # Select the ITM and OTM contract strike prices from the remaining contracts
+    ordered_calls = sorted(calls, key=lambda x: x.strike)
+    itm_call = ordered_calls[0]
+    otm_call = ordered_calls[-1]</pre>
+    </div>
+
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, create <code>Leg</code> and call the <a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders">Combo Market Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders">Combo Limit Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders">Combo Leg Limit Order</a> to submit the order.</li>
+    <div class="section-example-container">
+        <pre class="csharp">var legs = new List&lt;Leg&gt;()
+    {
+        Leg.Create(itmCall.Symbol, -1),
+        Leg.Create(otmCall.Symbol, 1)
+    };
+ComboMarketOrder(legs, 1);</pre>
+        <pre class="python">legs = [
+    Leg.create(itm_call.symbol, -1),
+    Leg.create(otm_call.symbol, 1)
+]
+self.combo_market_order(legs, 1)</pre>
+    </div>
 
 </ol>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/02 Bear Put Spread/02 Implementation.php

@@ -24,7 +24,10 @@
     self._symbol = option.symbol
     option.set_filter(lambda universe: universe.include_weeklys().strikes(-15, 15).expiration(0, 31))</pre>
     </div>
+</ol>
 
+<h4>Using Helper strategies</h4>
+<ol>
     <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the expiration and strikes of the contracts in the strategy legs.</li>
     <div class="section-example-container">
         <pre class="csharp">public override void OnData(Slice slice)
@@ -80,3 +83,61 @@
 ?>
 
 </ol>
+
+<h4>Using Combo Orders</h4>
+<ol>
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the strategy legs.</li>
+    <div class="section-example-container">
+        <pre class="csharp">public override void OnData(Slice slice)
+{
+    if (Portfolio.Invested) return;
+
+    // Get the OptionChain
+    var chain = slice.OptionChains.get(_symbol, null);
+    if (chain.Count() == 0) return;
+
+    // Select the call Option contracts with the furthest expiry
+    var expiry = chain.OrderByDescending(x =&gt; x.Expiry).First().Expiry;    
+    var puts = chain.Where(x =&gt; x.Expiry == expiry &amp;&amp; x.Right == OptionRight.Put);
+    if (puts.Count() == 0) return;
+
+    // Select the ITM and OTM contract strike prices from the remaining contracts
+    var orderedPuts = puts.OrderBy(x =&gt; x.Strike);
+    var otmPut = orderedPuts.First();
+    var itmPut = orderedPuts.Last();</pre>
+        <pre class="python">def on_data(self, slice: Slice) -&gt; None:
+    if self.portfolio.invested: return
+
+    # Get the OptionChain
+    chain = slice.option_chains.get(self._symbol, None)
+    if not chain: return
+
+    # Get the furthest expiry date of the contracts
+    expiry = sorted(chain, key = lambda x: x.expiry, reverse=True)[0].expiry
+
+    # Select the call Option contracts with the furthest expiry
+    puts = [i for i in chain if i.expiry == expiry and i.right == OptionRight.PUT]
+    if len(puts) == 0: return
+
+    # Select the ITM and OTM contract strike prices from the remaining contracts
+    ordered_puts = sorted(puts, key=lambda x: x.strike)
+    otm_put = ordered_puts[0]
+    itm_put = ordered_puts[-1]</pre>
+    </div>
+
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, create <code>Leg</code> and call the <a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders">Combo Market Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders">Combo Limit Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders">Combo Leg Limit Order</a> to submit the order.</li>
+    <div class="section-example-container">
+        <pre class="csharp">var legs = new List&lt;Leg&gt;()
+    {
+        Leg.Create(itmPut.Symbol, 1),
+        Leg.Create(otmPut.Symbol, -1)
+    };
+ComboMarketOrder(legs, 1);</pre>
+        <pre class="python">legs = [
+    Leg.create(itm_put.symbol, 1),
+    Leg.create(otm_put.symbol, -1)
+]
+self.combo_market_order(legs, 1)</pre>
+    </div>
+
+</ol>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/03 Bull Call Spread/02 Implementation.php

@@ -24,7 +24,10 @@
     self._symbol = option.symbol
     option.set_filter(lambda universe: universe.include_weeklys().strikes(-15, 15).expiration(0, 31))</pre>
     </div>
+</ol>
 
+<h4>Using Helper strategies</h4>
+<ol>
     <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the expiration and strikes of the contracts in the strategy legs.</li>
     <div class="section-example-container">
         <pre class="csharp">public override void OnData(Slice slice)
@@ -80,3 +83,61 @@
 ?>
 
 </ol>
+
+<h4>Using Combo Orders</h4>
+<ol>
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the strategy legs.</li>
+    <div class="section-example-container">
+        <pre class="csharp">public override void OnData(Slice slice)
+{
+    if (Portfolio.Invested) return;
+
+    // Get the OptionChain
+    var chain = slice.OptionChains.get(_symbol, null);
+    if (chain.Count() == 0) return;
+
+    // Select the call Option contracts with the furthest expiry
+    var expiry = chain.OrderByDescending(x =&gt; x.Expiry).First().Expiry;    
+    var calls = chain.Where(x =&gt; x.Expiry == expiry &amp;&amp; x.Right == OptionRight.Call);
+    if (calls.Count() == 0) return;
+
+    // Select the ITM and OTM contract strike prices from the remaining contracts
+    var orderedCalls = calls.OrderBy(x =&gt; x.Strike);
+    var itmCall = orderedCalls.First();
+    var otmCall = orderedCalls.Last();</pre>
+        <pre class="python">def on_data(self, slice: Slice) -&gt; None:
+    if self.portfolio.invested: return
+
+    # Get the OptionChain
+    chain = slice.option_chains.get(self._symbol, None)
+    if not chain: return
+
+    # Get the furthest expiry date of the contracts
+    expiry = sorted(chain, key = lambda x: x.expiry, reverse=True)[0].expiry
+
+    # Select the call Option contracts with the furthest expiry
+    calls = [i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL]
+    if len(calls) == 0: return
+
+    # Select the ITM and OTM contract strike prices from the remaining contracts
+    ordered_calls = sorted(calls, key=lambda x: x.strike)
+    itm_call = ordered_calls[0]
+    otm_call = ordered_calls[-1]</pre>
+    </div>
+
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, create <code>Leg</code> and call the <a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders">Combo Market Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders">Combo Limit Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders">Combo Leg Limit Order</a> to submit the order.</li>
+    <div class="section-example-container">
+        <pre class="csharp">var legs = new List&lt;Leg&gt;()
+    {
+        Leg.Create(itmCall.Symbol, 1),
+        Leg.Create(otmCall.Symbol, -1)
+    };
+ComboMarketOrder(legs, 1);</pre>
+        <pre class="python">legs = [
+    Leg.create(itm_call.symbol, 1),
+    Leg.create(otm_call.symbol, -1)
+]
+self.combo_market_order(legs, 1)</pre>
+    </div>
+
+</ol>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/04 Bull Put Spread/02 Implementation.php

@@ -24,7 +24,10 @@
     self._symbol = option.symbol
     option.set_filter(lambda universe: universe.include_weeklys().strikes(-15, 15).expiration(0, 31))</pre>
     </div>
+</ol>
 
+<h4>Using Helper strategies</h4>
+<ol>
     <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the expiration and strikes of the contracts in the strategy legs.</li>
     <div class="section-example-container">
         <pre class="csharp">public override void OnData(Slice slice)
@@ -80,3 +83,61 @@
 ?>
 
 </ol>
+
+<h4>Using Combo Orders</h4>
+<ol>
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the strategy legs.</li>
+    <div class="section-example-container">
+        <pre class="csharp">public override void OnData(Slice slice)
+{
+    if (Portfolio.Invested) return;
+
+    // Get the OptionChain
+    var chain = slice.OptionChains.get(_symbol, null);
+    if (chain.Count() == 0) return;
+
+    // Select the call Option contracts with the furthest expiry
+    var expiry = chain.OrderByDescending(x =&gt; x.Expiry).First().Expiry;    
+    var puts = chain.Where(x =&gt; x.Expiry == expiry &amp;&amp; x.Right == OptionRight.Put);
+    if (puts.Count() == 0) return;
+
+    // Select the ITM and OTM contract strike prices from the remaining contracts
+    var orderedPuts = puts.OrderBy(x =&gt; x.Strike);
+    var otmPut = orderedPuts.First();
+    var itmPut = orderedPuts.Last();</pre>
+        <pre class="python">def on_data(self, slice: Slice) -&gt; None:
+    if self.portfolio.invested: return
+
+    # Get the OptionChain
+    chain = slice.option_chains.get(self._symbol, None)
+    if not chain: return
+
+    # Get the furthest expiry date of the contracts
+    expiry = sorted(chain, key = lambda x: x.expiry, reverse=True)[0].expiry
+
+    # Select the call Option contracts with the furthest expiry
+    puts = [i for i in chain if i.expiry == expiry and i.right == OptionRight.PUT]
+    if len(puts) == 0: return
+
+    # Select the ITM and OTM contract strike prices from the remaining contracts
+    ordered_puts = sorted(puts, key=lambda x: x.strike)
+    otm_put = ordered_puts[0]
+    itm_put = ordered_puts[-1]</pre>
+    </div>
+
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, create <code>Leg</code> and call the <a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders">Combo Market Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders">Combo Limit Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders">Combo Leg Limit Order</a> to submit the order.</li>
+    <div class="section-example-container">
+        <pre class="csharp">var legs = new List&lt;Leg&gt;()
+    {
+        Leg.Create(itmPut.Symbol, -1),
+        Leg.Create(otmPut.Symbol, 1)
+    };
+ComboMarketOrder(legs, 1);</pre>
+        <pre class="python">legs = [
+    Leg.create(itm_put.symbol, -1),
+    Leg.create(otm_put.symbol, 1)
+]
+self.combo_market_order(legs, 1)</pre>
+    </div>
+
+</ol>

03 Writing Algorithms/22 Trading and Orders/07 Option Strategies/05 Long Call Butterfly/02 Implementation.php

@@ -24,7 +24,10 @@
     self._symbol = option.symbol
     option.set_filter(lambda universe: universe.include_weeklys().strikes(-15, 15).expiration(0, 31))</pre>
     </div>
+</ol>
 
+<h4>Using Helper strategies</h4>
+<ol>
     <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the expiration and strikes of the contracts in the strategy legs.</li>
     <div class="section-example-container">
         <pre class="csharp">public override void OnData(Slice slice)
@@ -92,3 +95,63 @@
 ?>
 
 </ol>
+
+<h4>Using Combo Orders</h4>
+<ol>
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, select the strategy legs.</li>
+    <div class="section-example-container">
+        <pre class="csharp">public override void OnData(Slice slice)
+{
+    if (Portfolio.Invested) return;
+
+    // Get the OptionChain
+    var chain = slice.OptionChains.get(_symbol, null);
+    if (chain.Count() == 0) return;
+
+    // Select the call Option contracts with the furthest expiry
+    var expiry = chain.OrderByDescending(x =&gt; x.Expiry).First().Expiry;    
+    var calls = chain.Where(x =&gt; x.Expiry == expiry &amp;&amp; x.Right == OptionRight.Call);
+    if (calls.Count() == 0) return;
+
+    // Select the ATM, ITM and OTM contract strike prices from the remaining contracts
+    var atmCall = calls.OrderBy(x =&gt; Math.Abs(x.Strike - chain.Underlying.Price)).First();
+    var itmCall = calls.OrderBy(x =&gt; x.Strike).Skip(1).First();
+    var otmCall = calls.Single(x =&gt; x.Strike == atmCall.Strike * 2 - itmCall.Strike);</pre>
+        <pre class="python">def on_data(self, slice: Slice) -&gt; None:
+    if self.portfolio.invested: return
+
+    # Get the OptionChain
+    chain = slice.option_chains.get(self._symbol, None)
+    if not chain: return
+
+    # Get the furthest expiry date of the contracts
+    expiry = sorted(chain, key = lambda x: x.expiry, reverse=True)[0].expiry
+
+    # Select the call Option contracts with the furthest expiry
+    calls = [i for i in chain if i.expiry == expiry and i.right == OptionRight.CALL]
+    if len(calls) == 0: return
+
+    # Select the ATM, ITM and OTM contract strike prices from the remaining contracts
+    atm_call = sorted(calls, key=lambda x: abs(x.strike - chain.underlying.price))[0]
+    itm_call = sorted(calls, key=lambda x: x.strike)[1]
+    otm_call = [x for x in calls if x.strike == atm_call.strike * 2 - itm_call.strike][0]</pre>
+    </div>
+
+    <li>In the <code class="csharp">OnData</code><code class="python">on_data</code> method, create <code>Leg</code> and call the <a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-market-orders">Combo Market Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-limit-orders">Combo Limit Order</a>/<a href="/docs/v2/writing-algorithms/trading-and-orders/order-types/combo-leg-limit-orders">Combo Leg Limit Order</a> to submit the order.</li>
+    <div class="section-example-container">
+        <pre class="csharp">var legs = new List&lt;Leg&gt;()
+    {
+        Leg.Create(atmCall.Symbol, -2),
+        Leg.Create(itmCall.Symbol, 1),
+        Leg.Create(otmCall.Symbol, 1)
+    };
+ComboMarketOrder(legs, 1);</pre>
+        <pre class="python">legs = [
+    Leg.create(atm_call.symbol, -2),
+    Leg.create(itm_call.symbol, 1),
+    Leg.create(otm_call.symbol, 1)
+]
+self.combo_market_order(legs, 1)</pre>
+    </div>
+
+</ol>