wehub-resource-sync
234 lines
9.6 KiB
C#
234 lines
9.6 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 In The Money (ITM) future option expiry for short puts.
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/// We expect 3 orders from the algorithm, which are:
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///
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/// * Initial entry, sell ES Put Option (expiring ITM)
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/// * Option assignment, buy 1 contract of the underlying (ES)
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/// * Future contract expiry, liquidation (sell 1 ES future)
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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 FutureOptionShortPutITMExpiryRegressionAlgorithm : 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.Put)
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.OrderByDescending(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.Put, 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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AssertFutureOptionOrderExercise(orderEvent, security, Securities[_expectedContract]);
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}
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else 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 AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
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{
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if (orderEvent.Message.Contains("Assignment"))
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{
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if (orderEvent.FillPrice != 3400)
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{
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throw new RegressionTestException("Option was not assigned at expected strike price (3400)");
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}
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if (orderEvent.Direction != OrderDirection.Buy || future.Holdings.Quantity != 1)
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{
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throw new RegressionTestException($"Expected Qty: 1 futures holdings for assigned future {future.Symbol}, found {future.Holdings.Quantity}");
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}
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}
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if (!orderEvent.Message.Contains("Assignment") && orderEvent.Direction == OrderDirection.Sell && future.Holdings.Quantity != 0)
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{
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// We buy back the underlying at expiration, so we expect a neutral position then
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throw new RegressionTestException($"Expected no holdings when liquidating future contract {future.Symbol}");
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}
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}
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private void AssertFutureOptionContractOrder(OrderEvent orderEvent, Security option)
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{
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if (orderEvent.Direction == OrderDirection.Sell && option.Holdings.Quantity != -1)
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{
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throw new RegressionTestException($"No holdings were created for option contract {option.Symbol}");
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}
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if (orderEvent.IsAssignment && option.Holdings.Quantity != 0)
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{
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throw new RegressionTestException($"Holdings were found after option contract was assigned: {option.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", "3"},
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{"Average Win", "10.89%"},
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{"Average Loss", "-7.10%"},
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{"Compounding Annual Return", "6.286%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "0.267"},
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{"Start Equity", "100000"},
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{"End Equity", "103011.08"},
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{"Net Profit", "3.011%"},
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{"Sharpe Ratio", "1.255"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "62.107%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "1.53"},
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{"Alpha", "0.033"},
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{"Beta", "-0.001"},
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{"Annual Standard Deviation", "0.026"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "0.058"},
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{"Tracking Error", "0.375"},
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{"Treynor Ratio", "-41.831"},
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{"Total Fees", "$1.42"},
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{"Estimated Strategy Capacity", "$12000000.00"},
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{"Lowest Capacity Asset", "ES 31EL5FAOUTB0K|ES XFH59UK0MYO1"},
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{"Portfolio Turnover", "1.87%"},
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{"Drawdown Recovery", "165"},
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{"OrderListHash", "3ced70635b9a6a1ff260a0f8706e9fff"}
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};
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}
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}
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