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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*/
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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 System.Collections.Generic;
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using QuantConnect.Securities.Option.StrategyMatcher;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to assert that the option strategy matcher works as expected
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/// </summary>
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public class OptionEquityStrategyMatcherRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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AddEquity("SPY", Resolution.Hour);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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OptionChain chain;
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if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain) && Securities["SPY"].HasData)
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{
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var contracts = chain
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.Where(contract => contract.Right == OptionRight.Call)
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.GroupBy(x => x.Expiry)
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.First()
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.OrderBy(x => x.Strike)
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.ToList();
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// let's setup and trade a butterfly call
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var distanceBetweenStrikes = 2.5m;
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var lowerCall = contracts.First();
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var middleCall = contracts.First(contract => contract.Expiry == lowerCall.Expiry && contract.Strike == lowerCall.Strike + distanceBetweenStrikes);
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var highestCall = contracts.First(contract => contract.Expiry == lowerCall.Expiry && contract.Strike == middleCall.Strike + distanceBetweenStrikes);
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var initialMargin = Portfolio.MarginRemaining;
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MarketOrder(lowerCall.Symbol, 10);
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MarketOrder(middleCall.Symbol, -20);
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MarketOrder(highestCall.Symbol, 10);
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var freeMarginPostTrade = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ButterflyCall.Name, 10);
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// let's make some trades to add some noise
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MarketOrder(_optionSymbol.Underlying, 490);
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freeMarginPostTrade = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ButterflyCall.Name, 10);
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AssertDefaultGroup(_optionSymbol.Underlying, 490);
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LimitOrder(_optionSymbol.Underlying, 100, Securities[_optionSymbol.Underlying].AskPrice);
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ButterflyCall.Name, 10);
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AssertDefaultGroup(_optionSymbol.Underlying, 490);
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MarketOrder(lowerCall.Symbol, 5);
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freeMarginPostTrade = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ButterflyCall.Name, 10);
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AssertDefaultGroup(_optionSymbol.Underlying, 490);
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// naked call for the lowerCall contract
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedCall.Name, 5);
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MarketOrder(middleCall.Symbol, -5);
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freeMarginPostTrade = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ButterflyCall.Name, 10);
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.CoveredCall.Name, 4);
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BullCallSpread.Name, 1);
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AssertDefaultGroup(_optionSymbol.Underlying, 90);
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// naked call for the lowerCall contract
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedCall.Name, 4);
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// trade some other asset
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MarketOrder("SPY", 200);
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freeMarginPostTrade = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ButterflyCall.Name, 10);
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.CoveredCall.Name, 4);
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BullCallSpread.Name, 1);
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AssertDefaultGroup(_optionSymbol.Underlying, 90);
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// naked call for the lowerCall contract
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedCall.Name, 4);
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}
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}
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}
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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 override long DataPoints => 15204;
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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 override 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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "8"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "200000"},
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{"End Equity", "199576.82"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$36.95"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "GOOCV W78ZFMEBFLDY|GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "274.86%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "6d0e54c4897844ae98e478045bbd1569"}
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};
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}
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}
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