Add more assertions to new options filter api regression algorithms
This commit is contained in:
Jhonathan Abreu
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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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from AlgorithmImports import *
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### <summary>
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### Regression algorithm with new proposed option filter API using new options universe data (greeks, implied volatility, open interest, etc).
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### </summary>
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class BasicTemplateOptionsFilterAlgorithm(QCAlgorithm):
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underlying_ticker = "GOOG"
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def initialize(self):
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self.set_start_date(2015, 12, 24)
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self.set_end_date(2015, 12, 24)
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self.set_cash(100000)
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equity = self.add_equity(self.underlying_ticker)
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option = self.add_option(self.underlying_ticker)
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self.option_symbol = option.symbol
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# set our strike/expiry filter for this option chain
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option.set_filter(lambda u: u.strikes(-2, +2).expiration(0, 180))
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# Filter by a single greek:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.delta(0.64, 0.65))
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# Filter by multiple greeks:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.delta(0.64, 0.65)
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.gamma(0.0008, 0.0010)
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.vega(7.5, 10.5)
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.theta(-1.10, -0.50)
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.rho(4, 10))
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# Some syntax sugar:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.d(0.64, 0.65)
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.g(0.0008, 0.0010)
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.v(7.5, 10.5)
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.t(-1.10, -0.50)
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.r(4, 10))
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# Filter by open interest and/or implied volatility:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.open_interest(100, 1000)
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.implied_volatility(0.10, 0.20))
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# Some syntax sugar:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.oi(100, 1000)
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.iv(0.10, 0.20))
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# Having delegate filters with the whole contract data.
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# We can reuse the OptionContract class for this. Might need some work on that side
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# (new constructors/factor methods, some abstraction to not rely on the option price mode, etc) but it's a good idea.
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# EXAMPLES:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.contracts(self.contracts_filter)) # def contracts_filter(self, contracts: list[OptionContract]) -> list[Symbol]:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.select(self.select_contract)) # def select_contract(self, contract: OptionContract) -> Symbol:
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option.set_filter(lambda u: u
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.strikes(-2, +2)
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.expiration(0, 180)
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.where(self.where_contract)) # def where_contract(self, contract: OptionContract) -> bool:
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def contracts_filter(self, contracts: list[OptionUniverse]) -> list[Symbol]:
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for contract in contracts:
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# Can access the contract data here:
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greeks = contract.greeks
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iv = contract.implied_volatility
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open_interest = contract.open_interest
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yield contract.symbol
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def select_contract(self, contract: OptionUniverse) -> Symbol:
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# Can access the contract data here:
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greeks = contract.greeks
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iv = contract.implied_volatility
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open_interest = contract.open_interest
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return contract.symbol
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def where_contract(self, contract: OptionUniverse) -> bool:
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# Can access the contract data here:
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greeks = contract.greeks
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iv = contract.implied_volatility
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open_interest = contract.open_interest
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return True
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@@ -28,31 +28,47 @@ class OptionUniverseFilterGreeksRegressionAlgorithm(QCAlgorithm):
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option = self.add_option(underlying_ticker)
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self.option_symbol = option.symbol
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self._min_delta = 0.5
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self._max_delta = 1.5
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self._min_gamma = 0.0001
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self._max_gamma = 0.0006
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self._min_vega = 0.01
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self._max_vega = 1.5
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self._min_theta = -2.0
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self._max_theta = -0.5
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self._min_rho = 0.5
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self._max_rho = 3.0
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self._min_iv = 1.0
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self._max_iv = 3.0
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self._min_open_interest = 100
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self._max_open_interest = 500
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self.set_option_filter(option)
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self.option_chain_received = False
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def set_option_filter(self, security: Option) -> None:
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# Contracts can be filtered by greeks, implied volatility, open interest:
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security.set_filter(lambda u: u
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.delta(0.5, 1.5)
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.gamma(0.0001, 0.0006)
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.vega(0.01, 1.5)
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.theta(-2.0, -0.5)
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.rho(0.5, 3.0)
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.implied_volatility(1.0, 3.0)
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.open_interest(100, 500))
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.delta(self._min_delta, self._max_delta)
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.gamma(self._min_gamma, self._max_gamma)
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.vega(self._min_vega, self._max_vega)
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.theta(self._min_theta, self._max_theta)
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.rho(self._min_rho, self._max_rho)
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.implied_volatility(self._min_iv, self._max_iv)
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.open_interest(self._min_open_interest, self._max_open_interest))
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# Note: there are also shortcuts for these filter methods:
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'''
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security.set_filter(lambda u: u
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.d(0.5, 1.5)
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.g(0.0001, 0.0006)
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.v(0.01, 1.5)
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.t(-2.0, -0.5)
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.r(0.5, 3.0)
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.iv(1.0, 3.0)
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.oi(100, 500))
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.d(self._min_delta, self._max_delta)
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.g(self._min_gamma, self._max_gamma)
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.v(self._min_vega, self._max_vega)
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.t(self._min_theta, self._max_theta)
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.r(self._min_rho, self._max_rho)
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.iv(self._min_iv, self._max_iv)
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.oi(self._min_open_interest, self._max_open_interest))
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'''
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def on_data(self, slice: Slice) -> None:
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@@ -60,6 +76,25 @@ class OptionUniverseFilterGreeksRegressionAlgorithm(QCAlgorithm):
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if chain and len(chain.contracts) > 0:
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self.option_chain_received = True
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for contract in chain:
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if contract.Greeks.Delta < self._min_delta or contract.Greeks.Delta > self._max_delta:
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raise RegressionTestException(f"Delta {contract.Greeks.Delta} is not within {self._min_delta} and {self._max_delta}")
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if contract.Greeks.Gamma < self._min_gamma or contract.Greeks.Gamma > self._max_gamma:
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raise RegressionTestException(f"Gamma {contract.Greeks.Gamma} is not within {self._min_gamma} and {self._max_gamma}")
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if contract.Greeks.Vega < self._min_vega or contract.Greeks.Vega > self._max_vega:
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raise RegressionTestException(f"Vega {contract.Greeks.Vega} is not within {self._min_vega} and {self._max_vega}")
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if contract.Greeks.Theta < self._min_theta or contract.Greeks.Theta > self._max_theta:
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raise RegressionTestException(f"Theta {contract.Greeks.Theta} is not within {self._min_theta} and {self._max_theta}")
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if contract.Greeks.Rho < self._min_rho or contract.Greeks.Rho > self._max_rho:
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raise RegressionTestException(f"Rho {contract.Greeks.Rho} is not within {self._min_rho} and {self._max_rho}")
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if contract.ImpliedVolatility < self._min_iv or contract.ImpliedVolatility > self._max_iv:
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raise RegressionTestException(f"Implied volatility {contract.ImpliedVolatility} is not within {self._min_iv} and {self._max_iv}")
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def on_end_of_algorithm(self) -> None:
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if not self.option_chain_received:
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raise RegressionTestException("Option chain was not received.")
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@@ -23,10 +23,10 @@ class OptionUniverseFilterGreeksShortcutsRegressionAlgorithm(OptionUniverseFilte
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def set_option_filter(self, security: Option) -> None:
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# Contracts can be filtered by greeks, implied volatility, open interest:
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security.set_filter(lambda u: u
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.d(0.5, 1.5)
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.g(0.0001, 0.0006)
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.v(0.01, 1.5)
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.t(-2.0, -0.5)
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.r(0.5, 3.0)
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.iv(1.0, 3.0)
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.oi(100, 500))
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.d(self._min_delta, self._max_delta)
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.g(self._min_gamma, self._max_gamma)
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.v(self._min_vega, self._max_vega)
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.t(self._min_theta, self._max_theta)
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.r(self._min_rho, self._max_rho)
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.iv(self._min_iv, self._max_iv)
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.oi(self._min_open_interest, self._max_open_interest))
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@@ -27,13 +27,13 @@ class OptionUniverseFilterOptionsDataRegressionAlgorithm(OptionUniverseFilterGre
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'''
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security.set_filter(lambda u: u
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.delta(0.5, 1.5)
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.gamma(0.0001, 0.0006)
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.vega(0.01, 1.5)
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.theta(-2.0, -0.5)
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.rho(0.5, 3.0)
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.implied_volatility(1.0, 3.0)
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.open_interest(100, 500))
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.delta(self._min_delta, self._max_delta)
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.gamma(self._min_gamma, self._max_gamma)
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.vega(self._min_vega, self._max_vega)
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.theta(self._min_theta, self._max_theta)
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.rho(self._min_rho, self._max_rho)
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.implied_volatility(self._min_iv, self._max_iv)
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.open_interest(self._min_open_interest, self._max_open_interest))
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'''
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security.set_filter(
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@@ -44,11 +44,11 @@ class OptionUniverseFilterOptionsDataRegressionAlgorithm(OptionUniverseFilterGre
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contract for contract in contracts
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# Can access the contract data here and do some filtering based on it is needed.
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# More complex math can be done here for filtering, but will be simple here for demonstration sake:
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if (contract.Greeks.Delta > 0.5 and contract.Greeks.Delta < 1.5 and
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contract.Greeks.Gamma > 0.0001 and contract.Greeks.Gamma < 0.0006 and
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contract.Greeks.Vega > 0.01 and contract.Greeks.Vega < 1.5 and
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contract.Greeks.Theta > -2.0 and contract.Greeks.Theta < -0.5 and
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contract.Greeks.Rho > 0.5 and contract.Greeks.Rho < 3.0 and
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contract.ImpliedVolatility > 1.0 and contract.ImpliedVolatility < 3.0 and
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contract.OpenInterest > 100 and contract.OpenInterest < 500)
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if (contract.Greeks.Delta > self._min_delta and contract.Greeks.Delta < self._max_delta and
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contract.Greeks.Gamma > self._min_gamma and contract.Greeks.Gamma < self._max_gamma and
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contract.Greeks.Vega > self._min_vega and contract.Greeks.Vega < self._max_vega and
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contract.Greeks.Theta > self._min_theta and contract.Greeks.Theta < self._max_theta and
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contract.Greeks.Rho > self._min_rho and contract.Greeks.Rho < self._max_rho and
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contract.ImpliedVolatility > self._min_iv and contract.ImpliedVolatility < self._max_iv and
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contract.OpenInterest > self._min_open_interest and contract.OpenInterest < self._max_open_interest)
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]))
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