wehub-resource-sync
115 lines
5.6 KiB
Python
115 lines
5.6 KiB
Python
# 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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from AlgorithmImports import *
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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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class FutureOptionShortPutITMExpiryRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 1, 5)
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self.set_end_date(2020, 6, 30)
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self.es19m20 = self.add_future_contract(
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Symbol.create_future(
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Futures.Indices.SP_500_E_MINI,
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Market.CME,
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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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self.es_option = self.add_future_option_contract(
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list(
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sorted(
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[x for x in self.option_chain(self.es19m20) if x.id.strike_price <= 3400.0 and x.id.option_right == OptionRight.PUT],
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key=lambda x: x.id.strike_price,
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reverse=True
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)
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)[0], Resolution.MINUTE).symbol
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self.expected_contract = Symbol.create_option(self.es19m20, Market.CME, OptionStyle.AMERICAN, OptionRight.PUT, 3400.0, datetime(2020, 6, 19))
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if self.es_option != self.expected_contract:
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raise AssertionError(f"Contract {self.expected_contract} was not found in the chain")
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self.schedule.on(self.date_rules.tomorrow, self.time_rules.after_market_open(self.es19m20, 1), self.scheduled_market_order)
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def scheduled_market_order(self):
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self.market_order(self.es_option, -1)
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def on_data(self, data: Slice):
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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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for delisting in data.delistings.values():
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if delisting.type == DelistingType.WARNING:
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if delisting.time != datetime(2020, 6, 19):
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raise AssertionError(f"Delisting warning issued at unexpected date: {delisting.time}")
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if delisting.type == DelistingType.DELISTED:
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if delisting.time != datetime(2020, 6, 20):
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raise AssertionError(f"Delisting happened at unexpected date: {delisting.time}")
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def on_order_event(self, order_event: OrderEvent):
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if order_event.status != OrderStatus.FILLED:
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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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if not self.securities.contains_key(order_event.symbol):
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raise AssertionError(f"Order event Symbol not found in Securities collection: {order_event.symbol}")
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security = self.securities[order_event.symbol]
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if security.symbol == self.es19m20:
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self.assert_future_option_order_exercise(order_event, security, self.securities[self.expected_contract])
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elif security.symbol == self.expected_contract:
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self.assert_future_option_contract_order(order_event, security)
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else:
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raise AssertionError(f"Received order event for unknown Symbol: {order_event.symbol}")
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self.log(f"{order_event}")
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def assert_future_option_order_exercise(self, order_event: OrderEvent, future: Security, option_contract: Security):
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if "Assignment" in order_event.message:
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if order_event.fill_price != 3400.0:
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raise AssertionError("Option was not assigned at expected strike price (3400)")
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if order_event.direction != OrderDirection.BUY or future.holdings.quantity != 1:
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raise AssertionError(f"Expected Qty: 1 futures holdings for assigned future {future.symbol}, found {future.holdings.quantity}")
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return
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if order_event.direction == OrderDirection.SELL and future.holdings.quantity != 0:
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# We buy back the underlying at expiration, so we expect a neutral position then
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raise AssertionError(f"Expected no holdings when liquidating future contract {future.symbol}")
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def assert_future_option_contract_order(self, order_event: OrderEvent, option: Security):
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if order_event.direction == OrderDirection.SELL and option.holdings.quantity != -1:
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raise AssertionError(f"No holdings were created for option contract {option.symbol}")
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if order_event.is_assignment and option.holdings.quantity != 0:
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raise AssertionError(f"Holdings were found after option contract was assigned: {option.symbol}")
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def on_end_of_algorithm(self):
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if self.portfolio.invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
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