Michael Handschuh
cf9b547e2e
* Improve information tracked in regression's {algorithm}.{lang}.details.log
The details.log file aims at providing a diff-able document that quickly and
easily provides actionable information. Since many regression algorithms use
the algorithm's debug/error messaging facilities to log various pieces of algo
state. This document also support a configuration option: regression-high-fidelity-logging'
that logs EVERY piece of data, again, with the aim of providing an easily diff-able
documenbt to quickly highlight actionable information. I may have missed omse key
pieces of information here, but now that the entire QC knows about this regression
tool, if additional information is required then hopefully it's easy enough at this
point to extend the RegressionResultHandler to suit our needs.
The RegressionResultHandler was initially implemented to provide a concise log of
all orders. This was achieved by simply using the Order.ToString method. While
testing/investigating OptionExerciseOrder behavior, it became evident that more
information was required to properly identify the source of potential failures or
differences between previous regression test runs. This change adds logging for
almost every IResultHandler method and additionally attempts to capture the
actual portfolio impact of every OrderEvent. This is accomplished by logging
the portfolio's TotalPortfolioValue, Cash properties and the security's
SecurityHolding.Quantity property.
This change also standardizes the timestamps used to folloow the ISO-8601 format.
When using the RegressionResultHandler, it is highly recommeded to also disable
'forward-console-message' configuration option to ensure algorithm Debug/Error
message logging is done synchronously to ensure correct ordering with respect to
log messages via Log.Debug/Trace/Error.
* Fix typo in options OrderTests test case name
* Update SymbolRepresentation.GenerationOptionTickerOSI to extension method
Far more convenient as an extension method
* Improve R# default code formatting rules
Many of these rule changes focus on improving the readability of code,
with a particular emphasis on multi-line constructs, chained method calls
and multi-line method invocations/declarations.
* Add braces, use string interpolation and limit long lines
* Refactor OptionExerciseOrder.Quantity to indicate change in #contracts
For all other order types, the Order.Quantity indicates the change in the algorithm's
holdings upon order execution for the order's symbol. For OptionExerciseOrder, this
convention was broken. It appears as though only exercise was initially implemented,
in which case only long positions were supported and a code comment indicated that
only positive values of quantity were acceptable, indicating the number of contracts
to exercise. At a later date, assignment simulation was added and utilized a negative
order quantity. This caused some major inconsistencies in how models view exercise
orders compared to all other order types. This change brings OptionExerciseOrder.Quantity
into alignment with the other order types by making it represent the change in holdings
quantity upon order execution.
This change was originally going to be much larger, but in order to minimize risks and to
make for an easier review experience, the additional changes will be committed separately
and pushed in their own PR. Some of the issues identified include:
* Manual Exercise (especially for OTM) is not covered
* Margin Calculations (in particular taking into account opposing contracts held)
* IBrokerage.OptionPositionAssigned is raised for exercise (later filtered by tx handler)
Fixes OptionPortfolioModelTests to use exercise model to properly model exercise of
non-account quote currency option contract.
85 lines
3.1 KiB
C#
85 lines
3.1 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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*/
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using System.Collections.Generic;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities.Option;
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using static QuantConnect.Extensions;
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namespace QuantConnect.Orders.OptionExercise
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{
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/// <summary>
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/// Represents the default option exercise model (physical, cash settlement)
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/// </summary>
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public class DefaultExerciseModel : IOptionExerciseModel
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{
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/// <summary>
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/// Default option exercise model for the basic equity/index option security class.
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/// </summary>
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/// <param name="option">Option we're trading this order</param>
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/// <param name="order">Order to update</param>
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public IEnumerable<OrderEvent> OptionExercise(Option option, OptionExerciseOrder order)
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{
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var underlying = option.Underlying;
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var utcTime = option.LocalTime.ConvertToUtc(option.Exchange.TimeZone);
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var inTheMoney = option.IsAutoExercised(underlying.Close);
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var isAssignment = inTheMoney && option.Holdings.IsShort;
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yield return new OrderEvent(
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order.Id,
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option.Symbol,
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utcTime,
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OrderStatus.Filled,
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GetOrderDirection(order.Quantity),
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0.0m,
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order.Quantity,
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OrderFee.Zero,
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GetContractHoldingsAdjustmentFillTag(inTheMoney, isAssignment)
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) { IsAssignment = isAssignment };
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// TODO : Support Manual Exercise of OTM contracts [ inTheMoney = false ]
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if (inTheMoney && option.ExerciseSettlement == SettlementType.PhysicalDelivery)
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{
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var exerciseQuantity = option.GetExerciseQuantity(order.Quantity);
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yield return new OrderEvent(
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order.Id,
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underlying.Symbol,
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utcTime,
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OrderStatus.Filled,
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GetOrderDirection(exerciseQuantity),
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order.Price,
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exerciseQuantity,
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OrderFee.Zero,
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isAssignment ? "Option Assignment" : "Option Exercise"
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);
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}
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}
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private static string GetContractHoldingsAdjustmentFillTag(bool inTheMoney, bool isAssignment)
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{
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var action = isAssignment ? "Assignment" : "Exercise";
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if (inTheMoney)
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{
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return $"Automatic {action}";
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}
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return "OTM";
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}
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}
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}
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