chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,206 @@
|
||||
/*
|
||||
* 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 QuantConnect.Data;
|
||||
using QuantConnect.Orders;
|
||||
using QuantConnect.Securities.Option;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Regression algorithm asserting that options can be traded even if they are not added to the algorithm.
|
||||
/// They will be automatically added as tradable securities an seeded when an order is placed for them.
|
||||
/// </summary>
|
||||
public class TradingNotAddedOptionsRegressionAlgorithm : TradingNotAddedEquitiesRegressionAlgorithm
|
||||
{
|
||||
private Symbol _optionSymbol;
|
||||
private Symbol _deselectedContractSymbol;
|
||||
private Symbol _notSelectedContractSymbol;
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2015, 12, 24);
|
||||
SetEndDate(2015, 12, 28);
|
||||
SetCash(1000000);
|
||||
|
||||
var option = AddOption("GOOG");
|
||||
_optionSymbol = option.Symbol;
|
||||
|
||||
// set our strike/expiry filter for this option chain
|
||||
// SetFilter method accepts TimeSpan objects or integer for days.
|
||||
// The following statements yield the same filtering criteria
|
||||
option.SetFilter(u => u.StandardsOnly()
|
||||
.Strikes(-2, +2)
|
||||
.Expiration(7, 180)
|
||||
.Contracts(contracts =>
|
||||
{
|
||||
if (_deselectedContractSymbol == null)
|
||||
{
|
||||
var contractsList = contracts.ToList();
|
||||
_deselectedContractSymbol = contractsList.First(x => x.ID.OptionRight == OptionRight.Call && x.ID.StrikePrice == 750m && x.ID.Date.Date == new DateTime(2016, 06, 17));
|
||||
// This contract will never be selected so it's never added to the Securities collection
|
||||
_notSelectedContractSymbol = contractsList.OrderByDescending(x => x.ID.Date).First();
|
||||
|
||||
return contractsList.Where(x => x != _notSelectedContractSymbol);
|
||||
}
|
||||
|
||||
// Filter out the contract we selected last time, we don't want it to be selected so it's marked as not tradable
|
||||
return contracts.Where(x => x != _deselectedContractSymbol && x != _notSelectedContractSymbol);
|
||||
}));
|
||||
|
||||
// use the underlying equity as the benchmark
|
||||
SetBenchmark("GOOG");
|
||||
}
|
||||
|
||||
private void AssertTradeContract(Symbol symbol)
|
||||
{
|
||||
var ticket = Sell(symbol, 1);
|
||||
if (ticket.Status == OrderStatus.Invalid)
|
||||
{
|
||||
throw new RegressionTestException($"Deselected contract {symbol} was not traded when it should have been");
|
||||
}
|
||||
|
||||
AssertSecurityIsAdded(symbol);
|
||||
|
||||
// Now let's remove it and try to trade it again, but in a strategy
|
||||
RemoveSecurity(symbol);
|
||||
AssertSecurityIsNotAdded(symbol);
|
||||
|
||||
var strategy = OptionStrategies.Straddle(_optionSymbol, symbol.ID.StrikePrice, symbol.ID.Date);
|
||||
if (strategy.OptionLegs.Count != 2 ||
|
||||
strategy.OptionLegs.Any(leg => leg.Symbol == null) ||
|
||||
!strategy.OptionLegs.Any(leg => leg.Symbol == symbol) ||
|
||||
!strategy.OptionLegs.Any(leg => leg.Symbol == symbol.GetMirrorOptionSymbol()))
|
||||
{
|
||||
throw new RegressionTestException("Option leg symbols were not set");
|
||||
}
|
||||
|
||||
var tickets = Sell(strategy, 1);
|
||||
if (tickets.Count == 0 || tickets.Any(x => x.Status == OrderStatus.Invalid))
|
||||
{
|
||||
throw new RegressionTestException($"Deselected contract {symbol} was not traded as part of the strategy when it should have been");
|
||||
}
|
||||
AssertSecurityIsAdded(symbol);
|
||||
}
|
||||
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
if (Time.Day == 24)
|
||||
{
|
||||
if (_deselectedContractSymbol == null || _notSelectedContractSymbol == null)
|
||||
{
|
||||
throw new RegressionTestException("Trading contracts were not set");
|
||||
}
|
||||
|
||||
if (!Securities.TryGetValue(_deselectedContractSymbol, out var deselectedContract))
|
||||
{
|
||||
throw new RegressionTestException($"Deselected contract {_deselectedContractSymbol} is tradable");
|
||||
}
|
||||
}
|
||||
else if (Time.Day == 28 && !Portfolio.Invested)
|
||||
{
|
||||
if (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
|
||||
{
|
||||
if (_deselectedContractSymbol == null || _notSelectedContractSymbol == null)
|
||||
{
|
||||
throw new RegressionTestException("Trading contracts were not set");
|
||||
}
|
||||
|
||||
AssertSecurityIsNotAdded(_deselectedContractSymbol);
|
||||
AssertSecurityIsNotAdded(_notSelectedContractSymbol);
|
||||
|
||||
// Now we have _deselectedContractSymbol which was selected in a previous date but deselected for today.
|
||||
// Let's trade it
|
||||
AssertTradeContract(_deselectedContractSymbol);
|
||||
|
||||
// Let's do the same with _notSelectedContractSymbol which was never selected
|
||||
AssertTradeContract(_notSelectedContractSymbol);
|
||||
|
||||
// We are done testing
|
||||
Quit();
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnOrderEvent(OrderEvent orderEvent)
|
||||
{
|
||||
Log(orderEvent.ToString());
|
||||
}
|
||||
|
||||
/// <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 override bool CanRunLocally { get; } = true;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
||||
/// </summary>
|
||||
public override List<Language> Languages { get; } = new() { Language.CSharp };
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of all timeslices of algorithm
|
||||
/// </summary>
|
||||
public override long DataPoints => 14642;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public override int AlgorithmHistoryDataPoints => 24;
|
||||
|
||||
/// <summary>
|
||||
/// Final status of the algorithm
|
||||
/// </summary>
|
||||
public override 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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Orders", "6"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "0%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Start Equity", "1000000"},
|
||||
{"End Equity", "1000000"},
|
||||
{"Net Profit", "0%"},
|
||||
{"Sharpe Ratio", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "0"},
|
||||
{"Tracking Error", "0"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Portfolio Turnover", "0%"},
|
||||
{"Drawdown Recovery", "0"},
|
||||
{"OrderListHash", "7477e579cd79b8256f5a7185f752a5f3"}
|
||||
};
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user