Missing Option Strategies - Githubissues

QuantConnect / Lean

Lean Algorithmic Trading Engine by QuantConnect (Python, C#)

https://lean.io

Apache License 2.0

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Missing Option Strategies #6621

Open DerekMelchin opened 2 years ago

DerekMelchin commented 2 years ago

Expected Behavior

We have an OptionStrategy definition for each Option strategy.

Actual Behavior

We are missing the following Option strategies:

Call back spread
Put back spread
Call front spread
Put back spread
Diagonal call spread
Diagonal put spread
Double diagonal spread
Synthetic long
Synthetic short
Call condor spread
Put condor spread
Christmas tree call spread
Christmas tree put spread
Skip Strike butterfly with calls
Skip strike butterfly with puts
Inverse Skip Strike butterfly with calls
Inverse Skip strike butterfly with puts
Risk reversal
Fig leaf
Jelly roll

Potential Solution

Add the missing Option strategies

System Information

N/A

Checklist

[x] I have completely filled out this template
[x] I have confirmed that this issue exists on the current master branch
[x] I have confirmed that this is not a duplicate issue by searching issues

jaredbroad commented 1 year ago

For each model:

OptionStrategyDefinitions.cs -> ~20 lines
OptionStrategies.cs -> ~50 lines
Add RegressionAlgorithm C#/Py-> ~100 lines * 2
Unit tests following existing patterns.
OptionStrategyPositionGroupBuyingPowerModel.cs -> ~60 lines (This is the hardest part is correctly calculating these margin requirements. It's not crazy math though just need to read IB docs.)