# 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 BasicTemplateIndexAlgorithm(QCAlgorithm):

def initialize(self) -> None:

self.set_start_date(2021, 1, 4)

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.MINUTE).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.MINUTE)

self.ema_slow = self.ema(self.spx, 80)

self.ema_fast = self.ema(self.spx, 200)

def on_data(self, data: Slice):

if self.spx not in data.bars or self.spx_option not in data.bars:

return

if not self.ema_slow.is_ready:

return

if self.ema_fast > self.ema_slow:

self.set_holdings(self.spx_option, 1)

else:

self.liquidate()

def on_end_of_algorithm(self) -> None:

if self.portfolio[self.spx].total_sale_volume > 0:

raise AssertionError("Index is not tradable.")