chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to create a multi asset class trading strategy.
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/// It is designed for test purposes and can be used with paper brokerage. All asset classes are not
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/// necessarily supported by some brokers. See our website for details.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="futures" />
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/// <meta name="tag" content="equity" />
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/// <meta name="tag" content="options" />
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public class BasicTemplateMultiAssetAlgorithm : QCAlgorithm
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{
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private int _barCount = 0;
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private Symbol _equitySymbol;
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private Symbol _forexSymbol;
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private Symbol _futureSymbol;
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private Symbol _optionSymbol;
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public override void Initialize()
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{
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SetStartDate(2016, 01, 28);
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SetEndDate(2016, 02, 29);
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SetCash(1000000);
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// setting up Microsoft Equity
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_equitySymbol = AddEquity("MSFT").Symbol;
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// setting up EUR/USD FX spot pair
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_forexSymbol = AddForex("EURUSD").Symbol;
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// setting up S&P 500 EMini futures
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var futureSP500 = AddFuture(Futures.Indices.SP500EMini);
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_futureSymbol = futureSP500.Symbol;
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// set our expiry filter for this futures chain
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// SetFilter method accepts TimeSpan objects or integer for days.
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// The following statements yield the same filtering criteria
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futureSP500.SetFilter(10, 182);
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// futureSP500.SetFilter(TimeSpan.FromDays(10), TimeSpan.FromDays(182));
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// setting up Dow Jones ETF Options
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var option = AddOption("DIA");
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_optionSymbol = option.Symbol;
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option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
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// option.EnableGreekApproximation = true;
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// set our strike/expiry filter for this option chain
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// SetFilter method accepts TimeSpan objects or integer for days.
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// The following statements yield the same filtering criteria
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option.SetFilter(-2, +2, 0, 180);
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// option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));
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// specifying zero benchmark
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SetBenchmark(date => 0m);
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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_barCount++;
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if (_barCount % 20 == 0)
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{
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if (!Portfolio.Invested)
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{
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foreach (var chain in slice.FutureChains)
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{
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// find the front contract expiring no earlier than in 90 days
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var contract = (
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from futuresContract in chain.Value.OrderBy(x => x.Expiry)
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where futuresContract.Expiry > Time.Date.AddDays(90)
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select futuresContract
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).FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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OptionChain optionChain;
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if (slice.OptionChains.TryGetValue(_optionSymbol, out optionChain))
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{
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// find a farthest ATM contract
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var contract = optionChain
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.OrderBy(x => Math.Abs(optionChain.Underlying.Price - x.Strike))
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.ThenByDescending(x => x.Expiry)
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.FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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// trade MSFT
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MarketOrder(_equitySymbol, 100);
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// trade FX pair
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MarketOrder(_forexSymbol, 100000);
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}
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else
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{
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Liquidate();
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}
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}
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if (_barCount % 20 == 1)
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{
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Log($"P/L:{Portfolio.TotalUnrealisedProfit.ToStringInvariant("0.00")}, " +
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$"Fees:{Portfolio.TotalFees.ToStringInvariant("0.00")}, " +
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$"Profit:{Portfolio.TotalProfit.ToStringInvariant("0.00")}, " +
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$"Eq:{Portfolio.TotalPortfolioValue.ToStringInvariant("0.00")}, " +
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$"Holdings:{Portfolio.TotalHoldingsValue.ToStringInvariant("0.00")}, " +
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$"Vol: {Portfolio.TotalSaleVolume.ToStringInvariant("0.00")}, " +
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$"Margin: {Portfolio.TotalMarginUsed.ToStringInvariant("0.00")}"
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);
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foreach (var holding in Securities.Values.OrderByDescending(x => x.Holdings.AbsoluteQuantity))
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{
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Log($" - {holding.Symbol.Value}, " +
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$"Avg Prc:{holding.Holdings.AveragePrice.ToStringInvariant("0.00")}, " +
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$"Qty:{holding.Holdings.Quantity.ToStringInvariant("0.00")}, " +
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$"Mkt Prc:{holding.Holdings.Price.ToStringInvariant("0.00")}, " +
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$"Mkt Val:{holding.Holdings.HoldingsValue.ToStringInvariant("0.00")}, " +
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$"Unreal P/L: {holding.Holdings.UnrealizedProfit.ToStringInvariant("0.00")}, " +
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$"Fees: {holding.Holdings.TotalFees.ToStringInvariant("0.00")}, " +
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$"Vol: {holding.Holdings.TotalSaleVolume.ToStringInvariant("0.00")}"
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);
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}
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}
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if (_barCount % 20 == 2)
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{
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foreach (var chain in slice.OptionChains)
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{
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var underlying = Securities[chain.Key.Underlying];
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foreach (var contract in chain.Value)
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{
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Log($"{Time.ToStringInvariant()} {contract.Symbol.Value}," +
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$"B={contract.BidPrice.ToStringInvariant()} " +
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$"A={contract.AskPrice.ToStringInvariant()} " +
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$"L={contract.LastPrice.ToStringInvariant()} " +
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$"OI={contract.OpenInterest.ToStringInvariant()} " +
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$"σ={underlying.VolatilityModel.Volatility:0.00} " +
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$"NPV={contract.TheoreticalPrice.ToStringInvariant("0.00")} " +
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$"Δ={contract.Greeks.Delta.ToStringInvariant("0.00")} " +
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$"Γ={contract.Greeks.Gamma.ToStringInvariant("0.00")} " +
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$"ν={contract.Greeks.Vega.ToStringInvariant("0.00")} " +
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$"ρ={contract.Greeks.Rho.ToStringInvariant("0.00")} " +
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$"Θ={(contract.Greeks.Theta / 365.0m).ToStringInvariant("0.00")} " +
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$"IV={contract.ImpliedVolatility.ToStringInvariant("0.00")}"
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);
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}
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}
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foreach (var chain in slice.FutureChains)
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{
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foreach (var contract in chain.Value)
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{
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Log($"{contract.Symbol.Value}, {Time}, " +
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$"B={contract.BidPrice} " +
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$"A={contract.AskPrice} " +
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$"L={contract.LastPrice} " +
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$"OI={contract.OpenInterest}"
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);
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}
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}
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}
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foreach (var kpv in slice.QuoteBars)
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{
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Log($"---> QuoteBar: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.0000}");
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}
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foreach (var kpv in slice.Bars)
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{
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Log($"---> Bar: {Time}, {kpv.Key.Value}, {kpv.Value.Close.ToStringInvariant("0.0000")}");
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the events</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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}
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}
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