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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using System;
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using System.Collections.Generic;
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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.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that open orders are canceled when the option is assigned and delisted,
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/// also making sure the assignment happens and its processed regardless of the existing of an open order for said option.
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/// </summary>
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public class DuplicateOptionAssignmentRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _stock;
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private Symbol _option;
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private bool _optionSold;
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private bool _optionAssigned;
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private bool _optionDelisted;
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private bool _optionDelistedWarningReceived;
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private bool _orderCanceled;
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private bool _stockAssigned;
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public override void Initialize()
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{
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SetStartDate(2015, 12, 17);
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SetEndDate(2015, 12, 28);
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SetCash(100000);
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_stock = AddEquity("GOOG").Symbol;
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_option = QuantConnect.Symbol.CreateOption(_stock, Market.USA, OptionStyle.American, OptionRight.Put, 800m, new DateTime(2015, 12, 24));
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AddOptionContract(_option);
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}
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public override void OnData(Slice slice)
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{
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// We are done
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if (_optionSold)
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{
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return;
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}
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if (!Portfolio.Invested)
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{
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Sell(_option, 1);
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status == OrderStatus.Filled)
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{
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// This is the fill for the option sell order
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if (!_optionSold)
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{
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// Let's close the position but with a limit order that won't ever fill (limit price too low)
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// just so we keep it open until the brokerage tries to assign it
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LimitOrder(_option, 1, Securities[_option].Price * 0.1m);
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_optionSold = true;
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}
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// This is the assignment
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else if (!_optionAssigned)
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{
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if (orderEvent.Ticket.OrderType != OrderType.OptionExercise || !orderEvent.IsAssignment)
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{
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throw new RegressionTestException($"Expected option assignment but got: {orderEvent}");
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}
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_optionAssigned = true;
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}
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else if (!_stockAssigned)
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{
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if (orderEvent.Ticket.OrderType != OrderType.OptionExercise || orderEvent.IsAssignment || orderEvent.Symbol != _stock)
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{
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throw new RegressionTestException($"Expected stock assignment but got: {orderEvent}");
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}
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_stockAssigned = true;
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}
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else
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{
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throw new RegressionTestException($"Unexpected order fill event: {orderEvent}");
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}
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}
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else if (orderEvent.Status == OrderStatus.CancelPending)
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{
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// We receive the delisting warning before the order cancel is requested
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if (!_optionSold || !_optionAssigned || !_stockAssigned || !_optionDelistedWarningReceived)
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{
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throw new RegressionTestException($"Unexpected cancel pending event: {orderEvent}");
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}
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}
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else if (orderEvent.Status == OrderStatus.Canceled)
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{
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// The delisted event is received before the order is canceled
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if (!_optionSold || !_optionAssigned || !_stockAssigned || !_optionDelistedWarningReceived || !_optionDelisted)
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{
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throw new RegressionTestException($"Unexpected cancel event: {orderEvent}");
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}
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_orderCanceled = true;
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}
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}
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public override void OnDelistings(Delistings delistings)
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{
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if (!delistings.TryGetValue(_option, out var delisting))
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{
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throw new RegressionTestException($"Unexpected delisting events");
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}
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if (delisting.Type == DelistingType.Warning)
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{
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if (!_optionSold || !_optionAssigned || !_stockAssigned || _optionDelistedWarningReceived)
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{
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throw new RegressionTestException($"Unexpected delisting warning event: {delisting}");
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}
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_optionDelistedWarningReceived = true;
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}
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else
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{
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if (!_optionSold || !_optionAssigned || !_stockAssigned || !_optionDelistedWarningReceived || _optionDelisted)
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{
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throw new RegressionTestException($"Unexpected delisting event: {delisting}");
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}
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_optionDelisted = true;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_optionSold)
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{
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throw new RegressionTestException("Option was not sold");
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}
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if (!_optionAssigned)
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{
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throw new RegressionTestException("Option was not assigned");
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}
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if (!_stockAssigned)
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{
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throw new RegressionTestException("Stock was not assigned");
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}
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if (!_optionDelistedWarningReceived)
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{
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throw new RegressionTestException("Option delisting warning was not received");
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}
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if (!_optionDelisted)
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{
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throw new RegressionTestException("Option was not delisted");
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}
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if (!_orderCanceled)
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{
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throw new RegressionTestException("Order was not canceled");
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}
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var openOrders = Transactions.GetOpenOrders();
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if (openOrders.Count != 0)
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{
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throw new RegressionTestException("There should be no open orders");
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}
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if (!Portfolio.Invested)
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{
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throw new RegressionTestException("Portfolio should be invested");
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}
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// We should have the stock since the option was assigned
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if (Portfolio.Positions.Groups.Single().Single().Symbol != _stock)
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{
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throw new RegressionTestException("Portfolio should have the stock");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 2850;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "3"},
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{"Average Win", "4.48%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "25.553%"},
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{"Drawdown", "1.100%"},
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{"Expectancy", "-1"},
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{"Start Equity", "100000"},
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{"End Equity", "100730"},
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{"Net Profit", "0.730%"},
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{"Sharpe Ratio", "2.317"},
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{"Sortino Ratio", "5.211"},
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{"Probabilistic Sharpe Ratio", "60.613%"},
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{"Loss Rate", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.202"},
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{"Beta", "-0.146"},
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{"Annual Standard Deviation", "0.075"},
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{"Annual Variance", "0.006"},
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{"Information Ratio", "-0.111"},
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{"Tracking Error", "0.161"},
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{"Treynor Ratio", "-1.19"},
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{"Total Fees", "$1.00"},
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{"Estimated Strategy Capacity", "$1300000.00"},
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{"Lowest Capacity Asset", "GOOCV 305RBQ20WLZZA|GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "7.07%"},
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{"Drawdown Recovery", "5"},
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{"OrderListHash", "79ecc4dd8b045ddf0aa38057b8eb69bf"}
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};
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}
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}
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