wehub-resource-sync
105 lines
5.0 KiB
Python
105 lines
5.0 KiB
Python
# 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
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This regression algorithm tests Out of The Money (OTM) future option expiry for short puts.
|
|
### We expect 2 orders from the algorithm, which are:
|
|
###
|
|
### * Initial entry, sell ES Put Option (expiring OTM)
|
|
### - Profit the option premium, since the option was not assigned.
|
|
###
|
|
### * Liquidation of ES put OTM contract on the last trade date
|
|
###
|
|
### Additionally, we test delistings for future options and assert that our
|
|
### portfolio holdings reflect the orders the algorithm has submitted.
|
|
### </summary>
|
|
class FutureOptionShortPutOTMExpiryRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
self.set_start_date(2020, 1, 5)
|
|
self.set_end_date(2020, 6, 30)
|
|
|
|
self.es19m20 = self.add_future_contract(
|
|
Symbol.create_future(
|
|
Futures.Indices.SP_500_E_MINI,
|
|
Market.CME,
|
|
datetime(2020, 6, 19)),
|
|
Resolution.MINUTE).symbol
|
|
|
|
# Select a future option expiring ITM, and adds it to the algorithm.
|
|
self.es_option = self.add_future_option_contract(
|
|
list(
|
|
sorted(
|
|
[x for x in self.option_chain(self.es19m20) if x.id.strike_price <= 3000.0 and x.id.option_right == OptionRight.PUT],
|
|
key=lambda x: x.id.strike_price,
|
|
reverse=True
|
|
)
|
|
)[0], Resolution.MINUTE).symbol
|
|
|
|
self.expected_contract = Symbol.create_option(self.es19m20, Market.CME, OptionStyle.AMERICAN, OptionRight.PUT, 3000.0, datetime(2020, 6, 19))
|
|
if self.es_option != self.expected_contract:
|
|
raise AssertionError(f"Contract {self.expected_contract} was not found in the chain")
|
|
|
|
self.schedule.on(self.date_rules.tomorrow, self.time_rules.after_market_open(self.es19m20, 1), self.scheduled_market_order)
|
|
|
|
def scheduled_market_order(self):
|
|
self.market_order(self.es_option, -1)
|
|
|
|
def on_data(self, data: Slice):
|
|
# Assert delistings, so that we can make sure that we receive the delisting warnings at
|
|
# the expected time. These assertions detect bug #4872
|
|
for delisting in data.delistings.values():
|
|
if delisting.type == DelistingType.WARNING:
|
|
if delisting.time != datetime(2020, 6, 19):
|
|
raise AssertionError(f"Delisting warning issued at unexpected date: {delisting.time}")
|
|
|
|
if delisting.type == DelistingType.DELISTED:
|
|
if delisting.time != datetime(2020, 6, 20):
|
|
raise AssertionError(f"Delisting happened at unexpected date: {delisting.time}")
|
|
|
|
def on_order_event(self, order_event: OrderEvent):
|
|
if order_event.status != OrderStatus.FILLED:
|
|
# There's lots of noise with OnOrderEvent, but we're only interested in fills.
|
|
return
|
|
|
|
if not self.securities.contains_key(order_event.symbol):
|
|
raise AssertionError(f"Order event Symbol not found in Securities collection: {order_event.symbol}")
|
|
|
|
security = self.securities[order_event.symbol]
|
|
if security.symbol == self.es19m20:
|
|
raise AssertionError(f"Expected no order events for underlying Symbol {security.symbol}")
|
|
|
|
if security.symbol == self.expected_contract:
|
|
self.assert_future_option_contract_order(order_event, security)
|
|
|
|
else:
|
|
raise AssertionError(f"Received order event for unknown Symbol: {order_event.symbol}")
|
|
|
|
self.log(f"{order_event}")
|
|
|
|
def assert_future_option_contract_order(self, order_event: OrderEvent, option_contract: Security):
|
|
if order_event.direction == OrderDirection.SELL and option_contract.holdings.quantity != -1:
|
|
raise AssertionError(f"No holdings were created for option contract {option_contract.symbol}")
|
|
|
|
if order_event.direction == OrderDirection.BUY and option_contract.holdings.quantity != 0:
|
|
raise AssertionError("Expected no options holdings after closing position")
|
|
|
|
if order_event.is_assignment:
|
|
raise AssertionError(f"Assignment was not expected for {order_event.symbol}")
|
|
|
|
def on_end_of_algorithm(self):
|
|
if self.portfolio.invested:
|
|
raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
|