wehub-resource-sync
214 lines
9.5 KiB
C#
214 lines
9.5 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.Runtime.CompilerServices;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.IndexOption;
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namespace QuantConnect.Securities.Option
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{
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/// <summary>
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/// Static class contains common utility methods specific to symbols representing the option contracts
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/// </summary>
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public static class OptionSymbol
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{
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private static readonly Dictionary<string, byte> _optionExpirationErrorLog = new();
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/// <summary>
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/// Returns true if the option is a standard contract that expires 3rd Friday of the month
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/// </summary>
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/// <param name="symbol">Option symbol</param>
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/// <returns></returns>
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public static bool IsStandardContract(Symbol symbol)
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{
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return IsStandard(symbol);
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}
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/// <summary>
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/// Returns true if the option is a standard contract that expires 3rd Friday of the month
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/// </summary>
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/// <param name="symbol">Option symbol</param>
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/// <returns></returns>
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public static bool IsStandard(Symbol symbol)
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{
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var date = symbol.ID.Date;
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// first we find out the day of week of the first day in the month
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var firstDayOfMonth = new DateTime(date.Year, date.Month, 1).DayOfWeek;
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// find out the day of first Friday in this month
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var firstFriday = firstDayOfMonth == DayOfWeek.Saturday ? 7 : 6 - (int)firstDayOfMonth;
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// check if the expiration date is within the week containing 3rd Friday
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// we exclude monday, wednesday, and friday weeklys
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return firstFriday + 7 + 5 /*sat -> wed */ < date.Day && date.Day < firstFriday + 2 * 7 + 2 /* sat, sun*/;
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}
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/// <summary>
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/// Returns true if the option is a weekly contract that expires on Friday , except 3rd Friday of the month
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/// </summary>
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/// <param name="symbol">Option symbol</param>
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/// <returns></returns>
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public static bool IsWeekly(Symbol symbol)
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{
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return !IsStandard(symbol) && symbol.ID.Date.DayOfWeek == DayOfWeek.Friday;
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}
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/// <summary>
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/// Maps the option ticker to it's underlying
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/// </summary>
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/// <param name="optionTicker">The option ticker to map</param>
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/// <param name="securityType">The security type of the option or underlying</param>
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/// <returns>The underlying ticker</returns>
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public static string MapToUnderlying(string optionTicker, SecurityType securityType)
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{
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if (securityType == SecurityType.FutureOption || securityType == SecurityType.Future)
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{
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return FuturesOptionsSymbolMappings.MapFromOption(optionTicker);
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}
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else if (securityType == SecurityType.IndexOption || securityType == SecurityType.Index)
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{
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return IndexOptionSymbol.MapToUnderlying(optionTicker);
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}
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return optionTicker;
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}
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/// <summary>
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/// Returns the last trading date for the option contract
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/// </summary>
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/// <param name="symbol">Option symbol</param>
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/// <returns></returns>
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public static DateTime GetLastDayOfTrading(Symbol symbol)
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{
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// The OCC proposed rule change: starting from 1 Feb 2015 standard monthly contracts
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// expire on 3rd Friday, not Saturday following 3rd Friday as it was before.
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// More details: https://www.sec.gov/rules/sro/occ/2013/34-69480.pdf
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int daysBefore = 0;
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var symbolDateTime = symbol.ID.Date;
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if (IsStandard(symbol) &&
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symbolDateTime.DayOfWeek == DayOfWeek.Saturday &&
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symbolDateTime < new DateTime(2015, 2, 1))
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{
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daysBefore--;
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}
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var exchangeHours = MarketHoursDatabase.FromDataFolder()
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.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType)
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.ExchangeHours;
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while (!exchangeHours.IsDateOpen(symbolDateTime.AddDays(daysBefore)))
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{
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daysBefore--;
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}
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return symbolDateTime.AddDays(daysBefore).Date;
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}
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/// <summary>
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/// Returns the settlement date time of the option contract.
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/// </summary>
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/// <param name="symbol">The option contract symbol</param>
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/// <returns>The settlement date time</returns>
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public static DateTime GetSettlementDateTime(Symbol symbol)
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{
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if (!TryGetExpirationDateTime(symbol, out var expiryTime, out var exchangeHours))
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{
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throw new ArgumentException($"The symbol {symbol} is not an option type");
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}
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// Standard index options are AM-settled, which means they settle on market open of the expiration date.
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// Non-standard tickers (e.g. SPXW, RUTW) are always PM-settled, even when expiring on the 3rd Friday.
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if (expiryTime.Date == symbol.ID.Date.Date
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&& symbol.SecurityType == SecurityType.IndexOption
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&& IsStandard(symbol)
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&& IndexOptionSymbol.IsAMSettled(symbol))
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{
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expiryTime = exchangeHours.GetNextMarketOpen(expiryTime.Date, false);
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}
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// 0DTE PM-settled index options expire at 4:00 PM ET, not the regular 4:15 PM ET (CBOE spec)
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else if (expiryTime.Date == symbol.ID.Date.Date
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&& symbol.SecurityType == SecurityType.IndexOption
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&& !IndexOptionSymbol.IsAMSettled(symbol))
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{
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expiryTime = expiryTime.Date.Add(TimeSpan.FromHours(15));
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}
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return expiryTime;
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}
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/// <summary>
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/// Returns true if the option contract is expired at the specified time
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/// </summary>
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/// <param name="symbol">The option contract symbol</param>
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/// <param name="currentTimeUtc">The current time (UTC)</param>
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/// <returns>True if the option contract is expired at the specified time, false otherwise</returns>
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public static bool IsOptionContractExpired(Symbol symbol, DateTime currentTimeUtc)
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{
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if (TryGetExpirationDateTime(symbol, out var expiryTime, out var exchangeHours))
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{
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var currentTime = currentTimeUtc.ConvertFromUtc(exchangeHours.TimeZone);
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return currentTime >= expiryTime;
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}
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return false;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private static bool TryGetExpirationDateTime(Symbol symbol, out DateTime expiryTime, out SecurityExchangeHours exchangeHours)
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{
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if (!symbol.SecurityType.IsOption())
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{
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expiryTime = default;
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exchangeHours = null;
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return false;
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}
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exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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// Ideally we can calculate expiry on the date of the symbol ID, but if that exchange is not open on that day we
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// will consider expired on the last trading day close before this; Example in AddOptionContractExpiresRegressionAlgorithm
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var lastTradingDay = exchangeHours.IsDateOpen(symbol.ID.Date)
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? symbol.ID.Date
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: exchangeHours.GetPreviousTradingDay(symbol.ID.Date);
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expiryTime = exchangeHours.GetLastDailyMarketClose(lastTradingDay, false);
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// Once bug 6189 was solved in ´GetNextMarketClose()´ there was found possible bugs on some futures symbol.ID.Date or delisting/liquidation handle event.
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// Specifically see 'DelistingFutureOptionRegressionAlgorithm' where Symbol.ID.Date: 4/1/2012 00:00 ExpiryTime: 4/2/2012 16:00 for Milk 3 futures options.
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// See 'bug-milk-class-3-future-options-expiration' branch. So let's limit the expiry time to up to end of day of expiration
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if (expiryTime >= symbol.ID.Date.AddDays(1).Date)
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{
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lock (_optionExpirationErrorLog)
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{
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if (symbol.ID.Underlying != null
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// let's log this once per underlying and expiration date: avoiding the same log for multiple option contracts with different strikes/rights
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&& _optionExpirationErrorLog.TryAdd($"{symbol.ID.Underlying}-{symbol.ID.Date}", 1))
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{
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Logging.Log.Error($"OptionSymbol.IsOptionContractExpired(): limiting unexpected option expiration time for symbol {symbol.ID}. Symbol.ID.Date {symbol.ID.Date}. ExpiryTime: {expiryTime}");
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}
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}
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expiryTime = symbol.ID.Date.AddDays(1).Date;
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}
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return true;
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}
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}
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}
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