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pep8 conversion of python algos #12 (#7954)
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Browse Source 
* pep8 conversion

* PEP8 updates/fixes

* Update pythonnet version to 2.0.35

---------

Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
This commit is contained in:
Louis Szeto
2024-04-20 04:55:48 +08:00
committed by GitHub
parent b64ad5f68a
commit fa886eba79
27 changed files with 272 additions and 273 deletions
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Algorithm.Python/OptionPriceModelForOptionStylesBaseRegressionAlgorithm.py
+31 -31
View File
@@ -20,60 +20,60 @@ from AlgorithmImports import *
class OptionPriceModelForOptionStylesBaseRegressionAlgorithm(QCAlgorithm):
def __init__(self):
super().__init__()
self._optionStyleIsSupported = False
self._checkGreeks = True
self._triedGreeksCalculation = False
self._option_style_is_supported = False
self._check_greeks = True
self._tried_greeks_calculation = False
self._option = None
def OnData(self, slice):
if self.IsWarmingUp: return
def on_data(self, slice):
if self.is_warming_up: return
for kvp in slice.OptionChains:
if self._option is None or kvp.Key != self._option.Symbol: continue
for kvp in slice.option_chains:
if self._option is None or kvp.key != self._option.symbol: continue
self.CheckGreeks([contract for contract in kvp.Value])
self.check_greeks([contract for contract in kvp.value])
def OnEndOfDay(self, symbol):
self._checkGreeks = True
def on_end_of_day(self, symbol):
self._check_greeks = True
def OnEndOfAlgorithm(self):
if not self._triedGreeksCalculation:
def on_end_of_algorithm(self):
if not self._tried_greeks_calculation:
raise Exception("Expected greeks to be accessed")
def Init(self, option, optionStyleIsSupported):
def init(self, option, option_style_is_supported):
self._option = option
self._optionStyleIsSupported = optionStyleIsSupported
self._checkGreeks = True
self._triedGreeksCalculation = False
self._option_style_is_supported = option_style_is_supported
self._check_greeks = True
self._tried_greeks_calculation = False
def CheckGreeks(self, contracts):
if not self._checkGreeks or len(contracts) == 0: return
def check_greeks(self, contracts):
if not self._check_greeks or len(contracts) == 0: return
self._checkGreeks = False
self._triedGreeksCalculation = True
self._check_greeks = False
self._tried_greeks_calculation = True
for contract in contracts:
greeks = Greeks()
try:
greeks = contract.Greeks
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')
option_style_str = 'American' if self._option.style == OptionStyle.AMERICAN else 'European'
if not self._option_style_is_supported:
raise Exception(f'Expected greeks not to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__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')
if self._option_style_is_supported:
raise Exception(f'Expected greeks to be calculated for {contract.symbol.value}, an {option_style_str} style option, using {type(self._option.price_model).__name__}, which supports them, but they were not')
# Greeks should be valid if they were successfuly accessed for supported option style
# Delta can be {-1, 0, 1} if the price is too wild, rho can be 0 if risk free rate is 0
# Vega can be 0 if the price is very off from theoretical price, Gamma = 0 if Delta belongs to {-1, 1}
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}, Theta: {greeks.Theta}, Vega: {greeks.Vega}, Gamma: {greeks.Gamma}')
if (self._option_style_is_supported
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}, Theta: {greeks.theta}, Vega: {greeks.vega}, Gamma: {greeks.gamma}')