Martin-Molinero
bfd319c91e
* OptionChain and OptionContract improvements - QCAlgorithm.AddUniverse will return the added Universe instance. - Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes and will spwan new OptionChainUniverse from it's selections. Adding regression test Py/C#. - Adding new OptionContractUniverse that will own option contracts and their underlying symbol. Adding regression test - Fix double notification for security changes, bug seen in updated UniverseSelectionRegressionAlgorithm - Remove UniverseSelection special handling for Option and Future chains - Fix DataManager not removing SubscriptionDataConfigs for Subscriptions which finished before being removed from the universe - Refactor detection of user added Universe so that they do not get removed after calling the UniverseSelectionModel * Add check for option underlying price is set * Address reviews - Adding python regression algorithm for `AddOptionContractFromUniverseRegressionAlgorithm` and `AddOptionContractExpiresRegressionAlgorithm` - Rename QCAlgorithm new api method to `AddChainedOptionUniverse` * Fix universe refresh bug - Fix bug where a universe selection refresh would cause option or future chain universes from being removed. Adding regression algorithm reproducing the issue. * Rename new option universe Algorithm API method - Rename new option universe Algorith API method from AddChainedOptionUniverse to AddUniverseOptions - Rebase and update regression test order hash because of option expiration message changed
100 lines
3.9 KiB
Python
100 lines
3.9 KiB
Python
# 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 clr import AddReference
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AddReference("System.Core")
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AddReference("System.Collections")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data.UniverseSelection import *
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from datetime import *
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### <summary>
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### Demonstration of how to chain a coarse and fine universe selection with an option chain universe selection model
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### that will add and remove an'OptionChainUniverse' for each symbol selected on fine
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### </summary>
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class CoarseFineOptionUniverseChainRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.SetStartDate(2014,6,5) #Set Start Date
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self.SetEndDate(2014,6,6) #Set End Date
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self.UniverseSettings.Resolution = Resolution.Minute
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self._twx = Symbol.Create("TWX", SecurityType.Equity, Market.USA)
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self._aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
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self._lastEquityAdded = None
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self._changes = None
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self._optionCount = 0
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universe = self.AddUniverse(self.CoarseSelectionFunction, self.FineSelectionFunction)
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self.AddUniverseOptions(universe, self.OptionFilterFunction)
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def OptionFilterFunction(self, universe):
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universe.IncludeWeeklys().FrontMonth()
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contracts = list()
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for symbol in universe:
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if len(contracts) == 5:
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break
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contracts.append(symbol)
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return universe.Contracts(contracts)
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def CoarseSelectionFunction(self, coarse):
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if self.Time <= datetime(2014,6,5):
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return [ self._twx ]
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return [ self._aapl ]
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def FineSelectionFunction(self, fine):
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if self.Time <= datetime(2014,6,5):
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return [ self._twx ]
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return [ self._aapl ]
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def OnData(self, data):
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if self._changes == None or any(security.Price == 0 for security in self._changes.AddedSecurities):
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return
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# liquidate removed securities
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for security in self._changes.RemovedSecurities:
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if security.Invested:
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self.Liquidate(security.Symbol);
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for security in self._changes.AddedSecurities:
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if not security.Symbol.HasUnderlying:
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self._lastEquityAdded = security.Symbol;
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else:
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# options added should all match prev added security
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if security.Symbol.Underlying != self._lastEquityAdded:
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raise ValueError(f"Unexpected symbol added {security.Symbol}")
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self._optionCount += 1
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self.SetHoldings(security.Symbol, 0.05)
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self._changes = None
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# this event fires whenever we have changes to our universe
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def OnSecuritiesChanged(self, changes):
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if self._changes == None:
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self._changes = changes
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return
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self._changes = self._changes.op_Addition(self._changes, changes)
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def OnEndOfAlgorithm(self):
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if self._optionCount == 0:
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raise ValueError("Option universe chain did not add any option!")
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