wehub-resource-sync
77 lines
3.5 KiB
Python
77 lines
3.5 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### This regression algorithm tests In The Money (ITM) future option calls across different strike prices.
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### We expect 6 orders from the algorithm, which are:
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###
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### * (1) Initial entry, buy ES Call Option (ES19M20 expiring ITM)
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### * (2) Initial entry, sell ES Call Option at different strike (ES20H20 expiring ITM)
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### * [2] Option assignment, opens a position in the underlying (ES20H20, Qty: -1)
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### * [2] Future contract liquidation, due to impending expiry
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### * [1] Option exercise, receive 1 ES19M20 future contract
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### * [1] Liquidate ES19M20 contract, due to expiry
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###
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### Additionally, we test delistings for future options and assert that our
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### portfolio holdings reflect the orders the algorithm has submitted.
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### </summary>
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class FutureOptionBuySellCallIntradayRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 1, 5)
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self.set_end_date(2020, 6, 30)
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self.es20h20 = self.add_future_contract(
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Symbol.create_future(
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Futures.Indices.SP_500_E_MINI,
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Market.CME,
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datetime(2020, 3, 20)
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),
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Resolution.MINUTE).symbol
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self.es19m20 = self.add_future_contract(
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Symbol.create_future(
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Futures.Indices.SP_500_E_MINI,
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Market.CME,
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datetime(2020, 6, 19)
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),
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Resolution.MINUTE).symbol
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# Select a future option expiring ITM, and adds it to the algorithm.
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self.es_options = [
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self.add_future_option_contract(i, Resolution.MINUTE).symbol
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for i in (list(self.option_chain(self.es19m20)) + list(self.option_chain(self.es20h20)))
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if i.id.strike_price == 3200.0 and i.id.option_right == OptionRight.CALL
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]
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self.expected_contracts = [
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Symbol.create_option(self.es20h20, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200.0, datetime(2020, 3, 20)),
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Symbol.create_option(self.es19m20, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200.0, datetime(2020, 6, 19))
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]
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for es_option in self.es_options:
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if es_option not in self.expected_contracts:
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raise AssertionError(f"Contract {es_option} was not found in the chain")
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self.schedule.on(self.date_rules.tomorrow, self.time_rules.after_market_open(self.es19m20, 1), self.schedule_callback_buy)
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def schedule_callback_buy(self):
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self.market_order(self.es_options[0], 1)
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self.market_order(self.es_options[1], -1)
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def on_end_of_algorithm(self):
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if self.portfolio.invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
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