wehub-resource-sync
326 lines
14 KiB
C#
326 lines
14 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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using System;
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using System.Collections.Generic;
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using System.Diagnostics;
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using System.Linq;
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using System.Threading;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Securities.Future;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Common.Securities.Options
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class OptionChainProviderTests
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{
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private BacktestingOptionChainProvider _backtestingOptionChainProvider;
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private LiveOptionChainProvider _liveOptionChainProvider;
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[OneTimeSetUp]
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public void OneTimeSetUp()
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{
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_backtestingOptionChainProvider = new BacktestingOptionChainProvider();
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_backtestingOptionChainProvider.Initialize(new(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider));
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_liveOptionChainProvider = new LiveOptionChainProvider();
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_liveOptionChainProvider.Initialize(new(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider));
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}
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[Test]
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public void UsesMultipleResolutionsFutureOption()
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{
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// we don't have minute data for this date
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var date = new DateTime(2020, 01, 7);
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var future = Symbol.CreateFuture(QuantConnect.Securities.Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 6, 19));
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var optionChain = _backtestingOptionChainProvider.GetOptionContractList(future, date).OrderBy(s => s.ID.StrikePrice).ToList();
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Assert.IsTrue(optionChain.All(x => x.SecurityType == SecurityType.FutureOption));
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Assert.IsTrue(optionChain.All(x => x.ID.Symbol == "ES"));
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Assert.IsTrue(optionChain.All(x => x.Underlying == future));
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Assert.IsTrue(optionChain.All(x => x.ID.Date.Date >= date));
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Assert.AreEqual(107, optionChain.Count);
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Assert.AreEqual(2900m, optionChain.First().ID.StrikePrice);
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Assert.AreEqual(3500, optionChain.Last().ID.StrikePrice);
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}
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[Test]
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public void BacktestingOptionChainProviderUsesPreviousTradableDateChain()
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{
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// the 7th is a saturday should fetch fridays data instead
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var date = new DateTime(2014, 6, 7);
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Assert.AreEqual(DayOfWeek.Saturday, date.DayOfWeek);
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var twxOptionChain = _backtestingOptionChainProvider.GetOptionContractList(Symbol.Create("TWX", SecurityType.Equity, Market.USA), date)
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.ToList();
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Assert.AreEqual(184, twxOptionChain.Count);
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Assert.AreEqual(23m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
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Assert.AreEqual(105m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
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}
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[Test]
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public void BacktestingOptionChainProviderLoadsEquityOptionChain()
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{
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var twxOptionChain = _backtestingOptionChainProvider.GetOptionContractList(Symbol.Create("TWX", SecurityType.Equity, Market.USA), new DateTime(2014, 6, 5))
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.ToList();
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Assert.AreEqual(184, twxOptionChain.Count);
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Assert.AreEqual(23m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
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Assert.AreEqual(105m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
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}
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[Test]
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public void BacktestingOptionChainProviderLoadsFutureOptionChain()
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{
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var esOptionChain = _backtestingOptionChainProvider.GetOptionContractList(
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Symbol.CreateFuture(
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QuantConnect.Securities.Futures.Indices.SP500EMini,
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Market.CME,
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new DateTime(2020, 6, 19)),
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new DateTime(2020, 1, 5))
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.ToList();
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Assert.AreEqual(107, esOptionChain.Count);
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Assert.AreEqual(2900m, esOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
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Assert.AreEqual(3500m, esOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
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}
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[Test]
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public void BacktestingOptionChainProviderIndexOption()
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{
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var spxOption = Symbol.CreateCanonicalOption(Symbols.SPX);
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foreach (var option in new [] { Symbols.SPX, spxOption })
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{
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var optionChain = _backtestingOptionChainProvider.GetOptionContractList(option, new DateTime(2021, 01, 04)).ToList();
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Assert.AreEqual(6, optionChain.Count);
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Assert.AreEqual(3200, optionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
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Assert.AreEqual(4250, optionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
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foreach (var optionSymbol in optionChain)
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{
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Assert.AreEqual("SPX", optionSymbol.ID.Symbol);
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Assert.AreEqual("SPX", optionSymbol.Underlying.ID.Symbol);
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}
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}
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}
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[Test]
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public void BacktestingOptionChainProviderWeeklyIndexOption()
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{
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var spxWeeklyOption = Symbol.CreateCanonicalOption(Symbols.SPX, "SPXW", null, null);
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foreach (var option in new[] { spxWeeklyOption })
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{
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var optionChain = _backtestingOptionChainProvider.GetOptionContractList(option, new DateTime(2021, 01, 04)).ToList();
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Assert.AreEqual(12, optionChain.Count);
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Assert.AreEqual(3700, optionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
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Assert.AreEqual(3800, optionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
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foreach (var optionSymbol in optionChain)
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{
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Assert.AreEqual("SPXW", optionSymbol.ID.Symbol);
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Assert.AreEqual("SPX", optionSymbol.Underlying.ID.Symbol);
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}
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}
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}
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[Test]
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public void BacktestingOptionChainProviderResolvesSymbolMapping()
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{
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var ticker = "GOOCV"; // Old ticker, should resolve and fetch GOOG
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var underlyingSymbol = QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA);
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var alias = "?" + underlyingSymbol.Value;
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var optionSymbol = Symbol.CreateOption(
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underlyingSymbol,
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underlyingSymbol.ID.Market,
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Symbol.GetOptionTypeFromUnderlying(underlyingSymbol).DefaultOptionStyle(),
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default(OptionRight),
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0,
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SecurityIdentifier.DefaultDate,
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alias);
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var googOptionChain = _backtestingOptionChainProvider.GetOptionContractList(optionSymbol.Underlying, new DateTime(2015, 12, 23))
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.ToList();
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Assert.AreEqual(118, googOptionChain.Count);
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Assert.AreEqual(600m, googOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
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Assert.AreEqual(800m, googOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
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}
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[Test]
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public void CachingProviderCachesSymbolsByDate()
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{
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var provider = new CachingOptionChainProvider(new DelayedOptionChainProvider(1000));
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var stopwatch = Stopwatch.StartNew();
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var symbols = provider.GetOptionContractList(Symbol.Empty, new DateTime(2017, 7, 28));
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stopwatch.Stop();
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Assert.GreaterOrEqual(stopwatch.ElapsedMilliseconds, 1000);
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Assert.AreEqual(2, symbols.Count());
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stopwatch.Restart();
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symbols = provider.GetOptionContractList(Symbol.Empty, new DateTime(2017, 7, 28));
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stopwatch.Stop();
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Assert.LessOrEqual(stopwatch.ElapsedMilliseconds, 10);
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Assert.AreEqual(2, symbols.Count());
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stopwatch.Restart();
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symbols = provider.GetOptionContractList(Symbol.Empty, new DateTime(2017, 7, 29));
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stopwatch.Stop();
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Assert.GreaterOrEqual(stopwatch.ElapsedMilliseconds, 1000);
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Assert.AreEqual(2, symbols.Count());
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}
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[Test]
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public void LiveOptionChainProviderReturnsData()
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{
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var spxOption = Symbol.CreateCanonicalOption(Symbols.SPX);
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var spxwOption = Symbol.CreateCanonicalOption(Symbols.SPX, "SPXW", null, null);
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foreach (var symbol in new[] { Symbols.SPY, Symbols.AAPL, Symbols.MSFT, Symbols.SPX, spxOption, spxwOption })
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{
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var result = _liveOptionChainProvider.GetOptionContractList(symbol, DateTime.Today).ToList();
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var countCall = result.Count(x => x.ID.OptionRight == OptionRight.Call);
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var countPut = result.Count(x => x.ID.OptionRight == OptionRight.Put);
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Assert.Greater(countCall, 0);
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Assert.Greater(countPut, 0);
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var expectedOptionTicker = symbol.ID.Symbol;
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var expectedUnderlyingTicker = symbol.ID.Symbol;
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if (symbol.ID.Symbol == "SPXW")
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{
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expectedUnderlyingTicker = "SPX";
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}
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foreach (var optionSymbol in result)
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{
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Assert.AreEqual(expectedOptionTicker, optionSymbol.ID.Symbol);
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Assert.AreEqual(expectedUnderlyingTicker, optionSymbol.Underlying.ID.Symbol);
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}
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}
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}
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[Test]
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public void LiveOptionChainProviderReturnsNoDataForInvalidSymbol()
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{
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var symbol = Symbol.Create("ABCDEF123", SecurityType.Equity, Market.USA);
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var result = _liveOptionChainProvider.GetOptionContractList(symbol, DateTime.Today);
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Assert.IsFalse(result.Any());
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}
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[Test]
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[Category("TravisExclude")] // For now this test is excluded from the Travis build because of frequent forbidden 403 HTTP response from CME API
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public void LiveOptionChainProviderReturnsFutureOptionData()
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{
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var now = DateTime.Now;
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var december = new DateTime(now.Year, 12, 1);
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var canonicalFuture = Symbol.Create("ES", SecurityType.Future, Market.CME);
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var expiry = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalFuture)(december);
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// When the current year's december contract expires, the test starts failing.
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// This will happen around the last 10 days of December, but will start working
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// once we've crossed into the new year.
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// Let's try the next listed contract, which is in March of the next year if this is the case.
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if (now >= expiry)
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{
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expiry = now.AddMonths(-now.Month).AddYears(1).AddMonths(3);
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}
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var underlyingFuture = Symbol.CreateFuture("ES", Market.CME, expiry);
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var result = _liveOptionChainProvider.GetOptionContractList(underlyingFuture, now).ToList();
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Assert.AreNotEqual(0, result.Count);
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foreach (var symbol in result)
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{
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Assert.IsTrue(symbol.HasUnderlying);
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Assert.AreEqual(Market.CME, symbol.ID.Market);
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Assert.AreEqual(OptionStyle.American, symbol.ID.OptionStyle);
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Assert.GreaterOrEqual(symbol.ID.StrikePrice, 100m);
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Assert.Less(symbol.ID.StrikePrice, 30000m);
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}
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}
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[Test]
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public void LiveOptionChainProviderReturnsNoDataForOldFuture()
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{
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var now = DateTime.Now;
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var december = now.AddMonths(-now.Month).AddYears(-1);
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var underlyingFuture = Symbol.CreateFuture("ES", Market.CME, december);
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var result = _liveOptionChainProvider.GetOptionContractList(underlyingFuture, december);
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Assert.AreEqual(0, result.Count());
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}
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[TestCase(OptionRight.Call, 1650, 2020, 3, 26)]
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[TestCase(OptionRight.Put, 1540, 2020, 3, 26)]
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[TestCase(OptionRight.Call, 1600, 2020, 2, 25)]
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[TestCase(OptionRight.Put, 1545, 2020, 2, 25)]
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public void BacktestingOptionChainProviderReturnsMultipleContractsForZipFileContainingMultipleContracts(
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OptionRight right,
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int strike,
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int year,
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int month,
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int day)
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{
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var underlying = Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2020, 4, 28));
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var expiry = new DateTime(year, month, day);
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var expectedOption = Symbol.CreateOption(
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underlying,
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Market.COMEX,
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OptionStyle.American,
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right,
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strike,
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expiry);
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var contracts = _backtestingOptionChainProvider.GetOptionContractList(underlying, new DateTime(2020, 1, 5))
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.ToHashSet();
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Assert.IsTrue(
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contracts.Contains(expectedOption),
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$"Failed to find contract {expectedOption} in: [{string.Join(", ", contracts.Select(s => s.ToString()))}");
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}
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}
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internal class DelayedOptionChainProvider : IOptionChainProvider
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{
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private readonly int _delayMilliseconds;
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public DelayedOptionChainProvider(int delayMilliseconds)
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{
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_delayMilliseconds = delayMilliseconds;
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}
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public IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
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{
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Thread.Sleep(_delayMilliseconds);
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return new[] { Symbols.SPY_C_192_Feb19_2016, Symbols.SPY_P_192_Feb19_2016 };
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}
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}
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}
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