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chore: import upstream snapshot with attribution

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2026-07-13 13:02:50 +08:00
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Algorithm.CSharp/FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using QuantConnect.Data;
using QuantConnect.Orders;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using System.Collections.Generic;
using QuantConnect.Securities.Option;
using Futures = QuantConnect.Securities.Futures;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
/// </summary>
public class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
private bool _invested;
private int _liquidated;
private int _delistingsReceived;
private Symbol _esFuture;
private Symbol _esFutureOption;
private readonly DateTime _expectedExpiryWarningTime = new DateTime(2020, 6, 19);
private readonly DateTime _expectedExpiryDelistingTime = new DateTime(2020, 6, 20);
private readonly DateTime _expectedLiquidationTime = new DateTime(2020, 6, 20);
public override void Initialize()
{
SetStartDate(2020, 1, 5);
SetEndDate(2020, 12, 1);
SetCash(100000);
var es = QuantConnect.Symbol.CreateFuture(
Futures.Indices.SP500EMini,
Market.CME,
new DateTime(2020, 6, 19));
var esOption = QuantConnect.Symbol.CreateOption(
es,
Market.CME,
OptionStyle.American,
OptionRight.Put,
3400m,
new DateTime(2020, 6, 19));
_esFuture = AddFutureContract(es, Resolution.Minute).Symbol;
_esFutureOption = AddFutureOptionContract(esOption, Resolution.Minute).Symbol;
}
public override void OnData(Slice slice)
{
foreach (var delisting in slice.Delistings.Values)
{
// Two warnings and two delisted events should be received for a grand total of 4 events.
_delistingsReceived++;
if (delisting.Type == DelistingType.Warning &&
delisting.Time != _expectedExpiryWarningTime)
{
throw new RegressionTestException($"Expiry warning with time {delisting.Time} but is expected to be {_expectedExpiryWarningTime}");
}
if (delisting.Type == DelistingType.Warning && delisting.Time != Time.Date)
{
throw new RegressionTestException($"Delisting warning received at an unexpected date: {Time} - expected {delisting.Time}");
}
if (delisting.Type == DelistingType.Delisted &&
delisting.Time != _expectedExpiryDelistingTime)
{
throw new RegressionTestException($"Delisting occurred at unexpected time: {delisting.Time} - expected: {_expectedExpiryDelistingTime}");
}
if (delisting.Type == DelistingType.Delisted &&
delisting.Time != Time.Date)
{
throw new RegressionTestException($"Delisting notice received at an unexpected date: {Time} - expected {delisting.Time}");
}
}
if (!_invested &&
(slice.Bars.ContainsKey(_esFuture) || slice.QuoteBars.ContainsKey(_esFuture)) &&
(slice.Bars.ContainsKey(_esFutureOption) || slice.QuoteBars.ContainsKey(_esFutureOption)))
{
_invested = true;
MarketOrder(_esFuture, 1);
var optionContract = Securities[_esFutureOption];
var marginModel = optionContract.BuyingPowerModel as FuturesOptionsMarginModel;
if (marginModel.InitialIntradayMarginRequirement == 0
|| marginModel.InitialOvernightMarginRequirement == 0
|| marginModel.MaintenanceIntradayMarginRequirement == 0
|| marginModel.MaintenanceOvernightMarginRequirement == 0)
{
throw new RegressionTestException("Unexpected margin requirements");
}
if (marginModel.GetInitialMarginRequirement(optionContract, 1) == 0)
{
throw new RegressionTestException("Unexpected Initial Margin requirement");
}
if (marginModel.GetMaintenanceMargin(optionContract) != 0)
{
throw new RegressionTestException("Unexpected Maintenance Margin requirement");
}
MarketOrder(_esFutureOption, 1);
if (marginModel.GetMaintenanceMargin(optionContract) == 0)
{
throw new RegressionTestException("Unexpected Maintenance Margin requirement");
}
}
}
public override void OnOrderEvent(OrderEvent orderEvent)
{
if (orderEvent.Direction != OrderDirection.Sell || orderEvent.Status != OrderStatus.Filled)
{
return;
}
// * Future Liquidation
// * Future Option Exercise
// * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
_liquidated++;
if (orderEvent.Symbol.SecurityType == SecurityType.FutureOption && _expectedLiquidationTime != Time)
{
throw new RegressionTestException($"Expected to liquidate option {orderEvent.Symbol} at {_expectedLiquidationTime}, instead liquidated at {Time}");
}
if (orderEvent.Symbol.SecurityType == SecurityType.Future && _expectedLiquidationTime.AddMinutes(-1) != Time && _expectedLiquidationTime != Time)
{
throw new RegressionTestException($"Expected to liquidate future {orderEvent.Symbol} at {_expectedLiquidationTime} (+1 minute), instead liquidated at {Time}");
}
}
public override void OnEndOfAlgorithm()
{
if (!_invested)
{
throw new RegressionTestException("Never invested in ES futures and FOPs");
}
if (_delistingsReceived != 4)
{
throw new RegressionTestException($"Expected 4 delisting events received, found: {_delistingsReceived}");
}
if (_liquidated != 2)
{
throw new RegressionTestException($"Expected 3 liquidation events, found {_liquidated}");
}
}
/// <summary>
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
/// </summary>
public bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
/// </summary>
public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
/// <summary>
/// Data Points count of all timeslices of algorithm
/// </summary>
public long DataPoints => 212944;
/// <summary>
/// Data Points count of the algorithm history
/// </summary>
public int AlgorithmHistoryDataPoints => 0;
/// <summary>
/// Final status of the algorithm
/// </summary>
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
/// <summary>
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
/// </summary>
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Orders", "3"},
{"Average Win", "10.36%"},
{"Average Loss", "-10.99%"},
{"Compounding Annual Return", "-1.942%"},
{"Drawdown", "2.000%"},
{"Expectancy", "-0.028"},
{"Start Equity", "100000"},
{"End Equity", "98233.93"},
{"Net Profit", "-1.766%"},
{"Sharpe Ratio", "-1.141"},
{"Sortino Ratio", "0"},
{"Probabilistic Sharpe Ratio", "0.000%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "0.94"},
{"Alpha", "-0.02"},
{"Beta", "0.001"},
{"Annual Standard Deviation", "0.017"},
{"Annual Variance", "0"},
{"Information Ratio", "-0.602"},
{"Tracking Error", "0.291"},
{"Treynor Ratio", "-16.65"},
{"Total Fees", "$3.57"},
{"Estimated Strategy Capacity", "$16000000.00"},
{"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
{"Portfolio Turnover", "1.04%"},
{"Drawdown Recovery", "0"},
{"OrderListHash", "6ef08dcc3239de1821ecaa4bbdee41ab"}
};
}
}