quantconnect--lean/Algorithm.CSharp/OptionUniverseOpenInterestRegressionAlgorithm.cs

/*
 * 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.Data.Market;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Interfaces;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression algorithm asserting that the security cache open interest is set from the chain universe data open interest
    /// </summary>
    public class OptionUniverseOpenInterestRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        /// <summary>
        /// The number of times the open interest was successfully asserted against the chain universe data
        /// </summary>
        protected int AssertionCount { get; private set; }

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 24);
            SetCash(100000);

            AddEquity("GOOG");
            var option = AddOption("GOOG");
            option.SetFilter(universe => universe.Contracts(contracts => contracts.Where(x => x.OpenInterest != 0).Take(10)));
        }

        /// <summary>
        /// Gets the chain universe data point stored in the given security cache if any
        /// </summary>
        protected virtual BaseChainUniverseData GetChainUniverseData(Security security)
        {
            return security.Cache.GetData<OptionUniverse>();
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            // The securities are added in the same time slice as the chain universe data that selected them,
            // which the algorithm manager stores in the security cache before any user code is called,
            // so the cache open interest must already be set here
            foreach (var security in changes.AddedSecurities)
            {
                AssertOpenInterest(security, checkOpenInterestTick: false);
            }
        }

        public override void OnData(Slice slice)
        {
            foreach (var security in Securities.Values)
            {
                AssertOpenInterest(security, checkOpenInterestTick: true);
            }
        }

        private void AssertOpenInterest(Security security, bool checkOpenInterestTick)
        {
            var securityType = security.Symbol.SecurityType;
            if (security.Symbol.IsCanonical() || !securityType.IsOption() && securityType != SecurityType.Future)
            {
                return;
            }

            var chainUniverseData = GetChainUniverseData(security);
            if (chainUniverseData == null || chainUniverseData.OpenInterest == 0)
            {
                return;
            }

            // If a more recent open interest tick was received from the data feed, the cache will reflect it instead
            if (checkOpenInterestTick)
            {
                var lastOpenInterestTick = security.Cache.GetData<OpenInterest>();
                if (lastOpenInterestTick != null && lastOpenInterestTick.EndTime > chainUniverseData.EndTime)
                {
                    return;
                }
            }

            var expectedOpenInterest = (long)chainUniverseData.OpenInterest;
            if (security.Cache.OpenInterest != expectedOpenInterest)
            {
                throw new RegressionTestException($"Unexpected open interest value for {security.Symbol}. " +
                    $"Expected {expectedOpenInterest} from the chain universe data but found {security.Cache.OpenInterest}");
            }
            AssertionCount++;
        }

        public override void OnEndOfAlgorithm()
        {
            if (AssertionCount == 0)
            {
                throw new RegressionTestException("The security cache open interest was never set from the chain universe data.");
            }
            Log($"Open interest was asserted {AssertionCount} times against the chain universe data");
        }

        /// <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 virtual bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public virtual List<Language> Languages { get; } = new() { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public virtual long DataPoints => 8886;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public virtual int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public virtual 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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "0"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000"},
            {"End Equity", "100000"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
            {"Portfolio Turnover", "0%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
}