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) index option calls across different strike prices.
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/// We expect 4* orders from the algorithm, which are:
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///
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/// * (1) Initial entry, buy SPX Call Option (SPXF21 expiring ITM)
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/// * (2) Initial entry, sell SPX Call Option at different strike (SPXF21 expiring ITM)
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/// * [2] Option assignment, settle into cash
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/// * [1] Option exercise, settle into cash
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///
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/// Additionally, we test delistings for index options and assert that our
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/// portfolio holdings reflect the orders the algorithm has submitted.
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///
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/// * Assignments are counted as orders
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/// </summary>
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public class IndexOptionBuySellCallIntradayRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2021, 1, 4);
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SetEndDate(2021, 1, 31);
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var spx = AddIndex("SPX", Resolution.Minute).Symbol;
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// Select a index option expiring ITM, and adds it to the algorithm.
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var spxOptions = OptionChain(spx)
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.Where(x => (x.ID.StrikePrice == 3700m || x.ID.StrikePrice == 3800m) && x.ID.OptionRight == OptionRight.Call && x.ID.Date.Year == 2021 && x.ID.Date.Month == 1)
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.Select(x => AddIndexOptionContract(x, Resolution.Minute).Symbol)
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.OrderBy(x => x.ID.StrikePrice)
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.ToList();
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var expectedContract3700 = QuantConnect.Symbol.CreateOption(
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spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3700m,
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new DateTime(2021, 1, 15));
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var expectedContract3800 = QuantConnect.Symbol.CreateOption(
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spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3800m,
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new DateTime(2021, 1, 15));
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if (spxOptions.Count != 2)
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{
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throw new RegressionTestException($"Expected 2 index options symbols from chain provider, found {spxOptions.Count}");
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}
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if (spxOptions[0] != expectedContract3700)
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{
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throw new RegressionTestException($"Contract {expectedContract3700} was not found in the chain, found instead: {spxOptions[0]}");
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}
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if (spxOptions[1] != expectedContract3800)
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{
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throw new RegressionTestException($"Contract {expectedContract3800} was not found in the chain, found instead: {spxOptions[1]}");
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}
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Schedule.On(DateRules.Tomorrow, TimeRules.AfterMarketOpen(spx, 1), () =>
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{
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MarketOrder(spxOptions[0], 1);
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MarketOrder(spxOptions[1], -1);
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});
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Schedule.On(DateRules.Tomorrow, TimeRules.Noon, () =>
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{
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Liquidate();
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});
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}
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/// <summary>
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/// Ran at the end of the algorithm to ensure the algorithm has no holdings
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/// </summary>
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/// <exception cref="RegressionTestException">The algorithm has holdings</exception>
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public override void OnEndOfAlgorithm()
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{
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if (Portfolio.Invested)
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{
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throw new RegressionTestException($"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 => 32144;
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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 => 1;
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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", "4"},
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{"Average Win", "2.46%"},
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{"Average Loss", "-2.58%"},
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{"Compounding Annual Return", "-2.473%"},
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{"Drawdown", "0.900%"},
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{"Expectancy", "0.956"},
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{"Start Equity", "100000"},
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{"End Equity", "99824"},
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{"Net Profit", "-0.176%"},
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{"Sharpe Ratio", "-0.672"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "29.734%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "100%"},
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{"Profit-Loss Ratio", "0.96"},
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{"Alpha", "-0.02"},
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{"Beta", "0.014"},
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{"Annual Standard Deviation", "0.029"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-0.448"},
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{"Tracking Error", "0.139"},
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{"Treynor Ratio", "-1.397"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "SPX XL80P3HB9YI6|SPX 31"},
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{"Portfolio Turnover", "0.56%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "de57068f577da644fba18d85710fcea2"}
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};
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}
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}
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