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;
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using System.Collections.Generic;
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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 QuantConnect.Orders;
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using QuantConnect.Interfaces;
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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 option exercise and assignment functionality
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/// We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
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/// </summary>
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="options" />
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public class OptionExerciseAssignRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private const string UnderlyingTicker = "GOOG";
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private readonly Symbol _optionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
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private bool _assignedOption = false;
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public override void Initialize()
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{
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 28);
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SetCash(100000);
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var equity = AddEquity(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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// set our strike/expiry filter for this option chain
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option.SetFilter(u => u.IncludeWeeklys()
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.Strikes(-2, +2)
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.Expiration(TimeSpan.Zero, TimeSpan.FromDays(10)));
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// use the underlying equity as the benchmark
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SetBenchmark(equity.Symbol);
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_assignedOption)
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{
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throw new RegressionTestException("In the end, short ITM option position was not assigned.");
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}
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</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 (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
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{
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// find the second call strike under market price expiring today
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var contracts = (
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from optionContract in chain.OrderByDescending(x => x.Strike)
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where optionContract.Right == OptionRight.Call
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where optionContract.Expiry == Time.Date
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where optionContract.Strike < chain.Underlying.Price
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select optionContract
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).Take(2);
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if (contracts.Any())
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{
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MarketOrder(contracts.FirstOrDefault().Symbol, 1);
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MarketOrder(contracts.Skip(1).FirstOrDefault().Symbol, -1);
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}
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}
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the events</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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public override void OnAssignmentOrderEvent(OrderEvent assignmentEvent)
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{
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Log(assignmentEvent.ToString());
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_assignedOption = true;
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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 => 26483;
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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 => 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 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", "0.30%"},
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{"Average Loss", "-0.32%"},
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{"Compounding Annual Return", "-22.695%"},
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{"Drawdown", "0.400%"},
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{"Expectancy", "-1"},
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{"Start Equity", "100000"},
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{"End Equity", "99648"},
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{"Net Profit", "-0.352%"},
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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", "100%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0.92"},
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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", "$2.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "30.10%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "b7830811367ced9052c1623875787637"}
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};
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}
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}
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