chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,214 @@
|
||||
/*
|
||||
* 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 System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Reflection;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Orders;
|
||||
using QuantConnect.Securities;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// This regression algorithm tests Out of The Money (OTM) index option expiry for short calls.
|
||||
/// We expect 2 orders from the algorithm, which are:
|
||||
///
|
||||
/// * Initial entry, sell SPX Call Option (expiring OTM)
|
||||
/// - Profit the option premium, since the option was not assigned.
|
||||
///
|
||||
/// * Liquidation of SPX call OTM contract on the last trade date
|
||||
///
|
||||
/// Additionally, we test delistings for index options and assert that our
|
||||
/// portfolio holdings reflect the orders the algorithm has submitted.
|
||||
/// </summary>
|
||||
public class IndexOptionShortCallOTMExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private Symbol _spx;
|
||||
private Symbol _spxOption;
|
||||
private Symbol _expectedContract;
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2021, 1, 4);
|
||||
SetEndDate(2021, 1, 31);
|
||||
|
||||
_spx = AddIndex("SPX", Resolution.Minute).Symbol;
|
||||
|
||||
// Select a index option expiring ITM, and adds it to the algorithm.
|
||||
_spxOption = AddIndexOptionContract(OptionChain(_spx)
|
||||
.Where(x => x.ID.StrikePrice >= 4250m && x.ID.OptionRight == OptionRight.Call && x.ID.Date.Year == 2021 && x.ID.Date.Month == 1)
|
||||
.OrderBy(x => x.ID.StrikePrice)
|
||||
.Take(1)
|
||||
.Single(), Resolution.Minute).Symbol;
|
||||
|
||||
_expectedContract = QuantConnect.Symbol.CreateOption(_spx, Market.USA, OptionStyle.European, OptionRight.Call, 4250m, new DateTime(2021, 1, 15));
|
||||
if (_spxOption != _expectedContract)
|
||||
{
|
||||
throw new RegressionTestException($"Contract {_expectedContract} was not found in the chain");
|
||||
}
|
||||
|
||||
Schedule.On(DateRules.Tomorrow, TimeRules.AfterMarketOpen(_spx, 1), () =>
|
||||
{
|
||||
MarketOrder(_spxOption, -1);
|
||||
});
|
||||
}
|
||||
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
// Assert delistings, so that we can make sure that we receive the delisting warnings at
|
||||
// the expected time. These assertions detect bug #4872
|
||||
foreach (var delisting in slice.Delistings.Values)
|
||||
{
|
||||
if (delisting.Type == DelistingType.Warning)
|
||||
{
|
||||
if (delisting.Time != new DateTime(2021, 1, 15))
|
||||
{
|
||||
throw new RegressionTestException($"Delisting warning issued at unexpected date: {delisting.Time}");
|
||||
}
|
||||
}
|
||||
if (delisting.Type == DelistingType.Delisted)
|
||||
{
|
||||
if (delisting.Time != new DateTime(2021, 1, 16))
|
||||
{
|
||||
throw new RegressionTestException($"Delisting happened at unexpected date: {delisting.Time}");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnOrderEvent(OrderEvent orderEvent)
|
||||
{
|
||||
if (orderEvent.Status != OrderStatus.Filled)
|
||||
{
|
||||
// There's lots of noise with OnOrderEvent, but we're only interested in fills.
|
||||
return;
|
||||
}
|
||||
|
||||
if (!Securities.ContainsKey(orderEvent.Symbol))
|
||||
{
|
||||
throw new RegressionTestException($"Order event Symbol not found in Securities collection: {orderEvent.Symbol}");
|
||||
}
|
||||
|
||||
var security = Securities[orderEvent.Symbol];
|
||||
if (security.Symbol == _spx)
|
||||
{
|
||||
throw new RegressionTestException($"Expected no order events for underlying Symbol {security.Symbol}");
|
||||
}
|
||||
|
||||
if (security.Symbol == _expectedContract)
|
||||
{
|
||||
AssertIndexOptionContractOrder(orderEvent, security);
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new RegressionTestException($"Received order event for unknown Symbol: {orderEvent.Symbol}");
|
||||
}
|
||||
|
||||
Log($"{orderEvent}");
|
||||
}
|
||||
|
||||
private void AssertIndexOptionContractOrder(OrderEvent orderEvent, Security optionContract)
|
||||
{
|
||||
if (orderEvent.Direction == OrderDirection.Sell && optionContract.Holdings.Quantity != -1)
|
||||
{
|
||||
throw new RegressionTestException($"No holdings were created for option contract {optionContract.Symbol}");
|
||||
}
|
||||
if (orderEvent.Direction == OrderDirection.Buy && optionContract.Holdings.Quantity != 0)
|
||||
{
|
||||
throw new RegressionTestException("Expected no options holdings after closing position");
|
||||
}
|
||||
if (orderEvent.IsAssignment)
|
||||
{
|
||||
throw new RegressionTestException($"Assignment was not expected for {orderEvent.Symbol}");
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Ran at the end of the algorithm to ensure the algorithm has no holdings
|
||||
/// </summary>
|
||||
/// <exception cref="RegressionTestException">The algorithm has holdings</exception>
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
if (Portfolio.Invested)
|
||||
{
|
||||
throw new RegressionTestException($"Expected no holdings at end of algorithm, but are invested in: {string.Join(", ", Portfolio.Keys)}");
|
||||
}
|
||||
}
|
||||
|
||||
/// <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 => 15942;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 1;
|
||||
|
||||
/// <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", "2"},
|
||||
{"Average Win", "0.00%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "0.071%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Start Equity", "100000"},
|
||||
{"End Equity", "100005"},
|
||||
{"Net Profit", "0.005%"},
|
||||
{"Sharpe Ratio", "-12.573"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Probabilistic Sharpe Ratio", "7.807%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "100%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.002"},
|
||||
{"Beta", "-0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-0.323"},
|
||||
{"Tracking Error", "0.138"},
|
||||
{"Treynor Ratio", "412.889"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "SPX XL80P59H9OI6|SPX 31"},
|
||||
{"Portfolio Turnover", "0.00%"},
|
||||
{"Drawdown Recovery", "0"},
|
||||
{"OrderListHash", "6383580692a8a32a8184ae2cfc2b5d8a"}
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user