Detect unsupported option style in option price model (#6388)

* Add indicator for allowed option styles to QL option price models * Add and update option price model tests * Update option price models methods sumary to indicate allowed option styles * Add regression algorithms for option price models for different option styles * Update OptionPriceModel regression algorithms to use Lean local data * Add Python regression algorithms for option price models for different option styles * Update OptionPriceModel regression algorithms to assert that greeks are valid * Address changes request * Address changes request * Update OptionPriceModel regression algorithms to check both call and put contracts * Update OptionPriceModel regression algorithms to use correct test data * Update OptionPriceModel regression algorithms to throw in OnData * Address changes request * Update OptionPriceModel regression algorithms to assert greeks are not all zero
2022-06-13 16:21:20 -04:00
parent c1dc981403
commit 4a41c2ea90
13 changed files with 981 additions and 213 deletions
@@ -0,0 +1,77 @@
+# 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>
+### Base regression algorithm excersizing for exercising different style options with option price models that migth
+### or might not support them. Also, if the option style is supported, greeks are asserted to be accesible and have valid values.
+### </summary>
+class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
+    def __init__(self):
+        super().__init__()
+        self._optionStyleIsSupported = False
+        self._checkGreeks = True
+        self._triedGreeksCalculation = False
+        self._option = None
+
+    def OnData(self, slice):
+        if self.IsWarmingUp: return
+
+        for kvp in slice.OptionChains:
+            if self._option is None or kvp.Key != self._option.Symbol: continue
+
+            self.CheckGreeks([contract for contract in kvp.Value])
+
+    def OnEndOfDay(self, symbol):
+        self._checkGreeks = True
+
+    def OnEndOfAlgorithm(self):
+        if not self._triedGreeksCalculation:
+            raise Exception("Expected greeks to be accessed")
+
+    def Init(self, option, optionStyleIsSupported):
+        self._option = option
+        self._optionStyleIsSupported = optionStyleIsSupported
+        self._checkGreeks = True
+        self._triedGreeksCalculation = False
+
+    def CheckGreeks(self, contracts):
+        if not self._checkGreeks or len(contracts) == 0: return
+
+        self._checkGreeks = False
+        self._triedGreeksCalculation = True
+
+        for contract in contracts:
+            greeks = Greeks()
+            try:
+                greeks = contract.Greeks
+
+                # Greeks should have not been successfully accessed if the option style is not supported
+                optionStyleStr = 'American' if self._option.Style == OptionStyle.American else 'European'
+                if not self._optionStyleIsSupported:
+                    raise Exception(f'Expected greeks not to be calculated for {contract.Symbol.Value}, an {optionStyleStr} style option, using {type(self._option.PriceModel).__name__}, which does not support them, but they were')
+            except ArgumentException:
+                # ArgumentException is only expected if the option style is not supported
+                if self._optionStyleIsSupported:
+                    raise Exception(f'Expected greeks to be calculated for {contract.Symbol.Value}, an {optionStyleStr} style option, using {type(self._option.PriceModel).__name__}, which supports them, but they were not')
+
+            # Greeks shpould be valid if they were successfuly accessed for supported option style
+            if (self._optionStyleIsSupported
+                and ((contract.Right == OptionRight.Call and (greeks.Delta < 0.0 or greeks.Delta > 1.0 or greeks.Rho <= 0.0))
+                    or (contract.Right == OptionRight.Put and (greeks.Delta < -1.0 or greeks.Delta > 0.0 or greeks.Rho >= 0.0))
+                    or greeks.Theta == 0.0 or greeks.Vega <= 0.0 or greeks.Gamma <= 0.0)):
+                raise Exception(f'Expected greeks to have valid values. Greeks were: Delta: {greeks.Delta}, Rho: {greeks.Rho}, Delta: {greeks.Delta}, Vega: {greeks.Vega}, Gamma: {greeks.Gamma}')
+
+
+