wehub-resource-sync
129 lines
5.3 KiB
C#
129 lines
5.3 KiB
C#
/*
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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.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 exercising an equity Bear Call Spread option strategy using SetHoldings and asserting it's being detected by Lean and works as expected
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/// </summary>
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/// <remarks>SetHoldings percentage calculation is using the default position group so it fails to determine the correct value,
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/// either way Lean has to detect the option strategy been executed and margin used has to get reduced</remarks>
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public class OptionEquityBearCallSpreadSetHoldingsRegressionAlgorithm : 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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SetCash(1000000);
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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))
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{
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var callContracts = chain
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.Where(contract => contract.Right == OptionRight.Call)
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.OrderByDescending(x => x.Expiry)
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.ThenBy(x => x.Strike)
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.ToList();
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var shortCall = callContracts.First();
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var longCall = callContracts.First(contract => contract.Strike > shortCall.Strike && contract.Expiry == shortCall.Expiry);
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SetHoldings(shortCall.Symbol, -0.05m);
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var freeMargin = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedCall.Name,
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(int)Math.Abs(Securities[shortCall.Symbol].Holdings.Quantity));
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SetHoldings(longCall.Symbol, +0.05m);
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var freeMarginPostTrade = Portfolio.MarginRemaining;
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AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BearCallSpread.Name);
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if (freeMargin >= freeMarginPostTrade)
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{
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throw new RegressionTestException("We expect the margin used to actually be lower once we perform the second trade");
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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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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 15023;
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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", "2"},
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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", "1000000"},
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{"End Equity", "998807.85"},
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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", "$7.15"},
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{"Estimated Strategy Capacity", "$45000000.00"},
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{"Lowest Capacity Asset", "GOOCV WBGM95TALCX2|GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "6.17%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "735ec0801dd3dcf9e03eaf3b67931910"}
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};
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}
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}
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