wehub-resource-sync
130 lines
4.8 KiB
C#
130 lines
4.8 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Algorithm asserting that the margin call events are fired when trading options
|
|
/// </summary>
|
|
public class OptionShortCallMarginCallEventsAlgorithm : OptionsMarginCallEventsAlgorithmBase
|
|
{
|
|
private Symbol _optionSymbol;
|
|
|
|
protected override int OriginalQuantity => -10;
|
|
protected override int ExpectedOrdersCount => 2;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2015, 12, 23);
|
|
SetEndDate(2015, 12, 30);
|
|
SetCash(160000);
|
|
|
|
var equitySymbol = AddEquity("GOOG").Symbol;
|
|
|
|
var option = AddOption(equitySymbol);
|
|
_optionSymbol = option.Symbol;
|
|
|
|
option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2)
|
|
.Expiration(0, 180));
|
|
|
|
Portfolio.MarginCallModel = new CustomMarginCallModel(Portfolio, DefaultOrderProperties);
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (!Portfolio.Invested)
|
|
{
|
|
if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
|
|
{
|
|
var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
|
|
.GroupBy(x => x.Expiry)
|
|
.OrderBy(grouping => grouping.Key)
|
|
.First()
|
|
.OrderByDescending(x => x.Strike)
|
|
.ToList();
|
|
|
|
MarketOrder(callContracts[0].Symbol, OriginalQuantity);
|
|
}
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public override bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public override List<Language> Languages { get; } = new() { Language.CSharp };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 47108;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public override int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <summary>
|
|
/// Final status of the algorithm
|
|
/// </summary>
|
|
public override AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Orders", "2"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "-0.07%"},
|
|
{"Compounding Annual Return", "9.935%"},
|
|
{"Drawdown", "1.400%"},
|
|
{"Expectancy", "-1"},
|
|
{"Start Equity", "160000"},
|
|
{"End Equity", "160332.5"},
|
|
{"Net Profit", "0.208%"},
|
|
{"Sharpe Ratio", "5.427"},
|
|
{"Sortino Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "88.369%"},
|
|
{"Loss Rate", "100%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0.067"},
|
|
{"Beta", "-0.023"},
|
|
{"Annual Standard Deviation", "0.012"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "1.089"},
|
|
{"Tracking Error", "0.088"},
|
|
{"Treynor Ratio", "-2.981"},
|
|
{"Total Fees", "$7.50"},
|
|
{"Estimated Strategy Capacity", "$64000.00"},
|
|
{"Lowest Capacity Asset", "GOOCV W78ZFMML4BUU|GOOCV VP83T1ZUHROL"},
|
|
{"Portfolio Turnover", "1.01%"},
|
|
{"Drawdown Recovery", "0"},
|
|
{"OrderListHash", "039fb1adfb5366ea629e3f5e0646ab8b"}
|
|
};
|
|
}
|
|
}
|