wehub-resource-sync
220 lines
8.7 KiB
C#
220 lines
8.7 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 System.Linq;
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using System.Reflection;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm tests Out of The Money (OTM) future option expiry for short calls.
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/// We expect 2 orders from the algorithm, which are:
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///
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/// * Initial entry, sell ES Call Option (expiring OTM)
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/// - Profit the option premium, since the option was not assigned.
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///
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/// * Liquidation of ES call OTM contract on the last trade date
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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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public class FutureOptionShortCallOTMExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _es19m20;
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private Symbol _esOption;
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private Symbol _expectedContract;
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public override void Initialize()
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{
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SetStartDate(2020, 1, 5);
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SetEndDate(2020, 6, 30);
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_es19m20 = AddFutureContract(
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QuantConnect.Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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new DateTime(2020, 6, 19)),
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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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_esOption = AddFutureOptionContract(OptionChain(_es19m20)
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.Where(x => x.ID.StrikePrice >= 3400m && x.ID.OptionRight == OptionRight.Call)
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.OrderBy(x => x.ID.StrikePrice)
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.Take(1)
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.Single(), Resolution.Minute).Symbol;
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_expectedContract = QuantConnect.Symbol.CreateOption(_es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3400m, new DateTime(2020, 6, 19));
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if (_esOption != _expectedContract)
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{
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throw new RegressionTestException($"Contract {_expectedContract} was not found in the chain");
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}
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Schedule.On(DateRules.Tomorrow, TimeRules.AfterMarketOpen(_es19m20, 1), () =>
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{
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MarketOrder(_esOption, -1);
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});
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}
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public override void OnData(Slice slice)
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{
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// Assert delistings, so that we can make sure that we receive the delisting warnings at
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// the expected time. These assertions detect bug #4872
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foreach (var delisting in slice.Delistings.Values)
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{
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if (delisting.Type == DelistingType.Warning)
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{
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if (delisting.Time != new DateTime(2020, 6, 19))
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{
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throw new RegressionTestException($"Delisting warning issued at unexpected date: {delisting.Time}");
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}
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}
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if (delisting.Type == DelistingType.Delisted)
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{
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if (delisting.Time != new DateTime(2020, 6, 20))
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{
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throw new RegressionTestException($"Delisting happened at unexpected date: {delisting.Time}");
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}
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status != OrderStatus.Filled)
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{
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// There's lots of noise with OnOrderEvent, but we're only interested in fills.
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return;
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}
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if (!Securities.ContainsKey(orderEvent.Symbol))
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{
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throw new RegressionTestException($"Order event Symbol not found in Securities collection: {orderEvent.Symbol}");
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}
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var security = Securities[orderEvent.Symbol];
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if (security.Symbol == _es19m20)
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{
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throw new RegressionTestException($"Expected no order events for underlying Symbol {security.Symbol}");
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}
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if (security.Symbol == _expectedContract)
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{
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AssertFutureOptionContractOrder(orderEvent, security);
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}
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else
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{
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throw new RegressionTestException($"Received order event for unknown Symbol: {orderEvent.Symbol}");
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}
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Log($"{orderEvent}");
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}
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private void AssertFutureOptionContractOrder(OrderEvent orderEvent, Security optionContract)
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{
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if (orderEvent.Direction == OrderDirection.Sell && optionContract.Holdings.Quantity != -1)
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{
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throw new RegressionTestException($"No holdings were created for option contract {optionContract.Symbol}");
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}
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if (orderEvent.Direction == OrderDirection.Buy && optionContract.Holdings.Quantity != 0)
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{
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throw new RegressionTestException("Expected no options holdings after closing position");
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}
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if (orderEvent.IsAssignment)
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{
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throw new RegressionTestException($"Assignment was not expected for {orderEvent.Symbol}");
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}
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}
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/// <summary>
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/// Ran at the end of the algorithm to ensure the algorithm has no holdings
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/// </summary>
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/// <exception cref="RegressionTestException">The algorithm has holdings</exception>
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public override void OnEndOfAlgorithm()
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{
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if (Portfolio.Invested)
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{
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throw new RegressionTestException($"Expected no holdings at end of algorithm, but are invested in: {string.Join(", ", Portfolio.Keys)}");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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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 long DataPoints => 212198;
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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 int AlgorithmHistoryDataPoints => 1;
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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 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", "1.74%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "3.600%"},
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{"Drawdown", "0.300%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "101736.08"},
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{"Net Profit", "1.736%"},
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{"Sharpe Ratio", "0.596"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "32.492%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "100%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0.015"},
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{"Beta", "-0.001"},
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{"Annual Standard Deviation", "0.025"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "0.009"},
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{"Tracking Error", "0.375"},
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{"Treynor Ratio", "-11.048"},
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{"Total Fees", "$1.42"},
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{"Estimated Strategy Capacity", "$100000000.00"},
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{"Lowest Capacity Asset", "ES XFH59UPNJHMS|ES XFH59UK0MYO1"},
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{"Portfolio Turnover", "0.01%"},
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{"Drawdown Recovery", "165"},
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{"OrderListHash", "3e39f8bdb373b371999835fbf680eef8"}
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};
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}
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}
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