Feature Daily/Hourly Options Support (#6017)

* Create generic writing for LeanDataWriter, + notes on todos * Make Options Daily/Hourly data store by year * Refactor Generic Write * Permit hour and daily resolutions for options * Refactor writer to merge when needed with other files * Cleanup redundancies, run write tasks in parallel * Make needed classes/vars available * Update tests to reflect new naming convention for daily hourly options data * Add Byte[] overloads for ZipData functions in compression * Implemented Store() for ZipDataCacheProvider * Have LeanDataWriter use a DataCacheProvider * ZipDataCacheProvider cleanup * ZipDataCacheProvider tweaks, doesn't support storing non-zips * Test adjustments * Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond * Implement tests to verify DownloadAndSave behavior * Nit cleanup on DownloadAndSave tests * Fix for options daily/hourly underlying equity subscription read * Add daily/hourly options data and regressions * Add missing open interest for hourly * Fix writing of OpenInterest Daily/Hourly data * Update data * Fix Date typo in regression * Use daily algorithm to test delisting * Revisions part 1 * Expand test for DataCacheProviders; refactor DiskDataCacheProvider * nit - test adjustments * ZipDataCacheProvider test setup refactor * Adjust multithreaded read/write test; fixes for ZipDataCacheProvider * Move DiskDataCacheProvider to its own file and add write test * Remove _appendToZips; always overwrite entry or create zip * Add mapping regression for daily options * nit - add license to regression * Fix Tick write case where more than one data point for a DateTime * Fix data issue * Address review * Tweaks for tests * Stop Store() early if no entry name is given
2021-11-11 15:05:31 -08:00
parent 27f5223cd2
commit dd4da7ba95
50 changed files with 1501 additions and 414 deletions
@@ -0,0 +1,58 @@
+# 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 example demonstrates how to add options for a given underlying equity security.
+### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you
+### can inspect the option chain to pick a specific option contract to trade.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="filter selection" />
+class BasicTemplateOptionsDailyAlgorithm(QCAlgorithm):
+    UnderlyingTicker = "GOOG"
+
+    def Initialize(self):
+        self.SetStartDate(2015, 12, 23)
+        self.SetEndDate(2016, 1, 20)
+        self.SetCash(100000)
+
+        equity = self.AddEquity(self.UnderlyingTicker, Resolution.Daily)
+        option = self.AddOption(self.UnderlyingTicker, Resolution.Daily)
+        self.option_symbol = option.Symbol
+
+        # set our strike/expiry filter for this option chain
+        option.SetFilter(lambda u: (u.Strikes(0, 1).Expiration(0, 30)))
+
+        # use the underlying equity as the benchmark
+        self.SetBenchmark(equity.Symbol)
+
+    def OnData(self,slice):
+        if self.Portfolio.Invested: return
+
+        chain = slice.OptionChains.GetValue(self.option_symbol)
+        if chain is None:
+            return
+
+        # Grab us the contract nearest expiry
+        contracts = sorted(chain, key = lambda x: x.Expiry)
+
+        # if found, trade it
+        if len(contracts) == 0: return
+        symbol = contracts[0].Symbol
+        self.MarketOrder(symbol, 1)
+
+    def OnOrderEvent(self, orderEvent):
+        self.Log(str(orderEvent))
@@ -0,0 +1,66 @@
+# 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 example demonstrates how to add options for a given underlying equity security.
+### It also shows how you can prefilter contracts easily based on strikes and expirations, and how you
+### can inspect the option chain to pick a specific option contract to trade.
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="options" />
+### <meta name="tag" content="filter selection" />
+class BasicTemplateOptionsHourlyAlgorithm(QCAlgorithm):
+    UnderlyingTicker = "AAPL"
+
+    def Initialize(self):
+        self.SetStartDate(2014, 6, 6)
+        self.SetEndDate(2014, 6, 9)
+        self.SetCash(100000)
+
+        equity = self.AddEquity(self.UnderlyingTicker, Resolution.Hour)
+        option = self.AddOption(self.UnderlyingTicker, Resolution.Hour)
+        self.option_symbol = option.Symbol
+
+        # set our strike/expiry filter for this option chain
+        option.SetFilter(lambda u: (u.Strikes(-2, +2)
+                                     # Expiration method accepts TimeSpan objects or integer for days.
+                                     # The following statements yield the same filtering criteria
+                                     .Expiration(0, 180)))
+                                     #.Expiration(TimeSpan.Zero, TimeSpan.FromDays(180))))
+
+        # use the underlying equity as the benchmark
+        self.SetBenchmark(equity.Symbol)
+
+    def OnData(self,slice):
+        if self.Portfolio.Invested or not self.IsMarketOpen(self.option_symbol): return
+
+        chain = slice.OptionChains.GetValue(self.option_symbol)
+        if chain is None:
+            return
+
+        # we sort the contracts to find at the money (ATM) contract with farthest expiration
+        contracts = sorted(sorted(sorted(chain, \
+            key = lambda x: abs(chain.Underlying.Price - x.Strike)), \
+            key = lambda x: x.Expiry, reverse=True), \
+            key = lambda x: x.Right, reverse=True)
+
+        # if found, trade it
+        if len(contracts) == 0: return
+        symbol = contracts[0].Symbol
+        self.MarketOrder(symbol, 1)
+        self.MarketOnCloseOrder(symbol, -1)
+
+    def OnOrderEvent(self, orderEvent):
+        self.Log(str(orderEvent))