Martin Molinero
40ac9c5033
- Fixing IB FeeModel options fees. Adding unit tests - Updating regression algorithms
215 lines
10 KiB
C#
215 lines
10 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.Linq;
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using System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Brokerages.Backtesting;
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using QuantConnect.Algorithm;
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using QuantConnect.Brokerages;
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using QuantConnect.Securities.Option;
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using Moq;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using QuantConnect.Data;
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namespace QuantConnect.Tests.Engine
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{
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[TestFixture]
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public class BasicOptionAssignmentSimulationTests
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{
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private static readonly SecurityExchangeHours SecurityExchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
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[Test]
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public void GenerateSimulationDatesFromOptionExpirations()
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{
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var algorithm = new QCAlgorithm();
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var sim = new BasicOptionAssignmentSimulation();
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algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
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algorithm.SetCash(100000);
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var securities = new SecurityManager(TimeKeeper);
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algorithm.Securities = securities;
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securities.Add(
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Symbols.SPY,
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new Security(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Equity, Symbols.SPY),
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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)
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);
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securities[Symbols.SPY].SetMarketPrice(new TradeBar { Time = securities.UtcTime, Symbol = Symbols.SPY, Close = 195 });
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var option1 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 192m, new DateTime(2016, 02, 16));
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securities.Add(
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option1,
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new Option(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Equity, option1),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance
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)
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);
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var option2 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 193m, new DateTime(2016, 02, 19));
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securities.Add(
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option2,
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new Option(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Equity, option2),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance
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)
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);
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var option3 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 190m, new DateTime(2016, 03, 18));
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securities.Add(
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option3,
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new Option(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Equity, option3),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance
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)
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);
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securities[option1].Holdings.SetHoldings(1, -100);
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securities[option2].Holdings.SetHoldings(1, -100);
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securities[option3].Holdings.SetHoldings(1, -100);
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var startSim = new DateTime(2016, 01, 22);
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var endSim = new DateTime(2016, 03, 19);
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algorithm.SetDateTime(startSim);
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// we run request for simulation every minute up to the expiration date of option2
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// Option3 is too far in the future - we update dates list every month
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int countSims = 0;
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foreach (var count in Enumerable.Range(0, (int)(endSim - startSim).TotalMinutes))
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{
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algorithm.SetDateTime(startSim.AddMinutes(count));
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countSims += sim.IsReadyToSimulate(algorithm)? 1 : 0;
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}
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// there should be 132 attempts to run simulation
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Assert.AreEqual(132, countSims);
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}
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[Test]
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public void SimulatesAssignment()
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{
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var algorithm = new QCAlgorithm();
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var sim = new BasicOptionAssignmentSimulation();
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var securities = new SecurityManager(TimeKeeper);
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var brokerage = new Mock<BacktestingBrokerage>(algorithm);
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algorithm.Securities = securities;
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// dictionaries with expected and actual results
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var expected = new Dictionary<Option, bool>();
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var actual = new Dictionary<Option, bool>();
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brokerage.Setup(m => m.ActivateOptionAssignment(It.IsAny<Option>(), It.IsAny<int>()))
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.Callback<Option, int>((option, quantity) => { actual[option] = true; });
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// we build option chain at expiration
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var expiration = new DateTime(2016, 02, 19);
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var today = expiration.AddDays(-3);
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algorithm.SetDateTime(today);
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// we define option chain with expected results for each contract (if it is optimal to exercise it or not)
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var optionChain = new[] { new { Right = OptionRight.Call, StrikePrice = 190.0m, BidPrice = 27.81m, AskPrice = 28.01m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 193.0m, BidPrice = 24.87m, AskPrice = 24.99m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 196.0m, BidPrice = 21.50m, AskPrice = 21.63m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 198.0m, BidPrice = 18.79m, AskPrice = 18.96m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 200.0m, BidPrice = 17.77m, AskPrice = 17.96m, Exercise = true },
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new { Right = OptionRight.Call, StrikePrice = 202.0m, BidPrice = 15.31m, AskPrice = 15.47m, Exercise = true },
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new { Right = OptionRight.Put, StrikePrice = 225.0m, BidPrice = 7.071m, AskPrice = 7.26m, Exercise = true },
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new { Right = OptionRight.Put, StrikePrice = 226.0m, BidPrice = 8.07m, AskPrice = 8.24m, Exercise = true },
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new { Right = OptionRight.Put, StrikePrice = 227.0m, BidPrice = 9.59m, AskPrice = 9.77m, Exercise = true },
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new { Right = OptionRight.Put, StrikePrice = 230.0m, BidPrice = 12.01m, AskPrice = 12.34m, Exercise = true },
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new { Right = OptionRight.Put, StrikePrice = 240.0m, BidPrice = 22.01m, AskPrice = 22.32m, Exercise = true } };
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Func<OptionRight, decimal, decimal, decimal, Option> optionDef =
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(right, strikePrice, bidPrice, askPrice) =>
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{
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var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, strikePrice, expiration);
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var option = new Option(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Option, symbol),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance
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);
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securities.Add(symbol, option);
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securities[symbol].Holdings.SetHoldings(1, -1000);
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securities[symbol].SetMarketPrice(new Tick { Symbol = symbol, AskPrice = askPrice, BidPrice = bidPrice, Value = (askPrice + bidPrice)/2.0m, Time = today });
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return option;
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};
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// setting up the underlying instrument
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securities.Add(
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Symbols.SPY,
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new Security(
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SecurityExchangeHours,
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CreateTradeBarDataConfig(SecurityType.Equity, Symbols.SPY),
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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)
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);
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securities[Symbols.SPY].SetMarketPrice(new Tick { Symbol = Symbols.SPY, AskPrice = 217.94m, BidPrice = 217.86m, Value = 217.90m, Time = securities.UtcTime });
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foreach (var def in optionChain)
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{
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expected.Add(optionDef(def.Right, def.StrikePrice, def.BidPrice, def.AskPrice), def.Exercise);
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}
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// running the simulation
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sim.SimulateMarketConditions(brokerage.Object, algorithm);
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// checking results
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foreach (var result in actual)
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{
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Assert.AreEqual(expected[result.Key], result.Value);
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}
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}
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private SubscriptionDataConfig CreateTradeBarDataConfig(SecurityType type, Symbol symbol)
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{
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if (type == SecurityType.Equity)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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if (type == SecurityType.Forex)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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if (type == SecurityType.Option)
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return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
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throw new NotImplementedException(type.ToString());
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}
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private static TimeKeeper TimeKeeper
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{
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get { return new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork }); }
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}
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}
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}
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