Add Backspread Option Strategies - Githubissues

QuantConnect / Lean

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

https://lean.io

Apache License 2.0

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Add Backspread Option Strategies #8312

Closed LouisSzeto closed 1 month ago

LouisSzeto commented 2 months ago

Description

Add Call/Put Long/Short Backspread Option Strategies It is a combination of other option strategies, so no option definitions or margin model required

Margin

Call Backspread (Bear call spread + long call (0))
Put Backspread (Bull put spread + long put (0))
Short Call Backspread (Bull call spread (0) + naked call)
Short Put Backspread (Bear put spread (0) + naked put)

Related Issue

Motivation and Context

Requires Documentation Change

Option Strategies

How Has This Been Tested?

Unit tests (On definitions) Regression tests (for margin and option strategy combinations)

Types of changes

[ ] Bug fix (non-breaking change which fixes an issue)
[ ] Refactor (non-breaking change which improves implementation)
[ ] Performance (non-breaking change which improves performance. Please add associated performance test and results)
[X] New feature (non-breaking change which adds functionality)
[ ] Breaking change (fix or feature that would cause existing functionality to change)
[ ] Non-functional change (xml comments/documentation/etc)

Checklist:

[X] My code follows the code style of this project.
[X] I have read the CONTRIBUTING document.
[X] I have added tests to cover my changes.
[X] All new and existing tests passed.
[X] My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

Martin-Molinero commented 2 months ago

Whops regression tests seem to be failing here @LouisSzeto

Martin-Molinero commented 2 months ago

Regression tests still failing @LouisSzeto 👀