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 System.Reflection;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm tests In The Money (ITM) future option calls across different strike prices.
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/// We expect 6 orders from the algorithm, which are:
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///
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/// * (1) Initial entry, buy ES Call Option (ES19M20 expiring ITM)
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/// * (2) Initial entry, sell ES Call Option at different strike (ES20H20 expiring ITM)
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/// * [2] Option assignment, opens a position in the underlying (ES20H20, Qty: -1)
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/// * [2] Future contract liquidation, due to impending expiry
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/// * [1] Option exercise, receive 1 ES19M20 future contract
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/// * [1] Liquidate ES19M20 contract, due to expiry
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///
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/// Additionally, we test delistings for future options and assert that our
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/// portfolio holdings reflect the orders the algorithm has submitted.
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/// </summary>
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public class FutureOptionBuySellCallIntradayRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2020, 1, 5);
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SetEndDate(2020, 6, 30);
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var es20h20 = AddFutureContract(
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QuantConnect.Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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new DateTime(2020, 3, 20)),
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Resolution.Minute).Symbol;
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var es20m20 = AddFutureContract(
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QuantConnect.Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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new DateTime(2020, 6, 19)),
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Resolution.Minute).Symbol;
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// Select a future option expiring ITM, and adds it to the algorithm.
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var esOptions = OptionChain(es20m20)
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.Concat(OptionChain(es20h20))
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.Where(contractData => contractData.ID.StrikePrice == 3200m && contractData.ID.OptionRight == OptionRight.Call)
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.Select(contractData => AddFutureOptionContract(contractData, Resolution.Minute).Symbol)
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.ToList();
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var expectedContracts = new[]
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{
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QuantConnect.Symbol.CreateOption(es20h20, Market.CME, OptionStyle.American, OptionRight.Call, 3200m,
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new DateTime(2020, 3, 20)),
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QuantConnect.Symbol.CreateOption(es20m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200m,
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new DateTime(2020, 6, 19))
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};
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foreach (var esOption in esOptions)
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{
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if (!expectedContracts.Contains(esOption))
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{
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throw new RegressionTestException($"Contract {esOption} was not found in the chain");
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}
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}
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Schedule.On(DateRules.Tomorrow, TimeRules.AfterMarketOpen(es20m20, 1), () =>
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{
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MarketOrder(esOptions[0], 1);
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MarketOrder(esOptions[1], -1);
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});
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}
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/// <summary>
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/// Ran at the end of the algorithm to ensure the algorithm has no holdings
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/// </summary>
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/// <exception cref="RegressionTestException">The algorithm has holdings</exception>
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public override void OnEndOfAlgorithm()
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{
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if (Portfolio.Invested)
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{
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throw new RegressionTestException($"Expected no holdings at end of algorithm, but are invested in: {string.Join(", ", Portfolio.Keys)}");
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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, Language.Python };
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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 => 309286;
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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 => 2;
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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", "6"},
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{"Average Win", "3.37%"},
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{"Average Loss", "-4.34%"},
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{"Compounding Annual Return", "-4.637%"},
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{"Drawdown", "5.200%"},
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{"Expectancy", "-0.111"},
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{"Start Equity", "100000"},
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{"End Equity", "97715.91"},
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{"Net Profit", "-2.284%"},
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{"Sharpe Ratio", "-0.555"},
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{"Sortino Ratio", "-0.069"},
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{"Probabilistic Sharpe Ratio", "7.217%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "0.78"},
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{"Alpha", "-0.04"},
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{"Beta", "-0.011"},
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{"Annual Standard Deviation", "0.072"},
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{"Annual Variance", "0.005"},
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{"Information Ratio", "-0.134"},
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{"Tracking Error", "0.385"},
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{"Treynor Ratio", "3.785"},
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{"Total Fees", "$2.84"},
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{"Estimated Strategy Capacity", "$120000000.00"},
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{"Lowest Capacity Asset", "ES XFH59UPBMTJ8|ES XFH59UK0MYO1"},
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{"Portfolio Turnover", "3.67%"},
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{"Drawdown Recovery", "74"},
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{"OrderListHash", "6e17a52c917383260dcf0345567a1ea9"}
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};
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}
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}
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