wehub-resource-sync
137 lines
7.7 KiB
C#
137 lines
7.7 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 NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Securities.Option;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using QuantConnect.Data;
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using System.Linq;
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namespace QuantConnect.Tests.Engine
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class DefaultOptionAssignmentModelTests
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{
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private static readonly SecurityExchangeHours SecurityExchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
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[TestCase(SecurityType.Equity)]
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[TestCase(SecurityType.Index)]
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public void SimulatesAssignment(SecurityType securityType)
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{
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var underlyingSymbol = securityType == SecurityType.Index ? Symbols.SPX : Symbols.SPY;
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var settlementType = securityType == SecurityType.Index ? SettlementType.Cash : SettlementType.PhysicalDelivery;
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var algorithm = new QCAlgorithm();
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var sim = new DefaultOptionAssignmentModel();
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var securities = new SecurityManager(TimeKeeper);
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algorithm.Securities = securities;
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// dictionaries with expected and actual results
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var expected = new Dictionary<Option, bool>();
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var actual = new Dictionary<Option, bool>();
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// we build option chain at expiration
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var expiration = new DateTime(2016, 02, 19);
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var today = expiration.AddDays(-3);
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algorithm.SetDateTime(today);
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// we define option chain with expected results for each contract (if it is optimal to exercise it or not)
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var optionChain = new[] { new { Right = OptionRight.Call, StrikePrice = 190.0m, BidPrice = 27.81m, AskPrice = 28.01m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 193.0m, BidPrice = 24.87m, AskPrice = 24.99m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 196.0m, BidPrice = 21.50m, AskPrice = 21.63m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 198.0m, BidPrice = 18.79m, AskPrice = 18.96m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 200.0m, BidPrice = 17.77m, AskPrice = 17.96m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 202.0m, BidPrice = 15.31m, AskPrice = 15.47m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 220.0m, BidPrice = 15.31m, AskPrice = 15.47m, Exercise = false },
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new { Right = OptionRight.Put, StrikePrice = 225.0m, BidPrice = 7.071m, AskPrice = 7.26m, Exercise = false },
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new { Right = OptionRight.Put, StrikePrice = 226.0m, BidPrice = 8.07m, AskPrice = 8.24m, Exercise = false },
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new { Right = OptionRight.Put, StrikePrice = 227.0m, BidPrice = 9.59m, AskPrice = 9.77m, Exercise = false },
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new { Right = OptionRight.Put, StrikePrice = 230.0m, BidPrice = 12.01m, AskPrice = 12.34m, Exercise = true },
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new { Right = OptionRight.Put, StrikePrice = 240.0m, BidPrice = 22.01m, AskPrice = 22.32m, Exercise = true } };
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Func<OptionRight, decimal, decimal, decimal, Option> optionDef =
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(right, strikePrice, bidPrice, askPrice) =>
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{
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var symbol = Symbol.CreateOption(underlyingSymbol, Market.USA, OptionStyle.American, right, strikePrice, expiration);
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var option = new Option(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Option, symbol),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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) { ExerciseSettlement = settlementType };
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securities.Add(symbol, option);
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securities[symbol].Holdings.SetHoldings(1, -1000);
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securities[symbol].SetMarketPrice(new Tick { Symbol = symbol, AskPrice = askPrice, BidPrice = bidPrice, Value = (askPrice + bidPrice)/2.0m, Time = today });
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option.Underlying = securities[symbol.Underlying];
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return option;
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};
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// setting up the underlying instrument
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securities.Add(
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underlyingSymbol,
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new Security(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(securityType, underlyingSymbol),
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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)
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);
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securities[underlyingSymbol].SetMarketPrice(new Tick { Symbol = underlyingSymbol, AskPrice = 217.94m, BidPrice = 217.86m, Value = 217.90m, Time = securities.UtcTime });
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foreach (var def in optionChain)
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{
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expected.Add(optionDef(def.Right, def.StrikePrice, def.BidPrice, def.AskPrice), def.Exercise);
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}
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// running the simulation
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// checking results
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foreach (var option in algorithm.Securities.Values.Where(security => security.Symbol.SecurityType.IsOption()).OrderBy(security => security.Symbol))
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{
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var result = sim.GetAssignment(new OptionAssignmentParameters((Option)option));
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Assert.AreEqual(expected[(Option)option], result.Quantity > 0, $"Failed on strike: {option.Symbol.ID.StrikePrice}");
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}
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}
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private SubscriptionDataConfig CreateTradeBarDataConfig(SecurityType type, Symbol symbol)
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{
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if (type == SecurityType.Equity)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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if (type == SecurityType.Forex)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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if (type == SecurityType.Option)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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if (type == SecurityType.Index)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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throw new NotImplementedException(type.ToString());
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}
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private static TimeKeeper TimeKeeper
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{
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get { return new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork }); }
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}
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}
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}
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