quantconnect--lean/Algorithm.CSharp/RemoveUnderlyingRegressionAlgorithm.cs

/*
 * 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.
 *
*/

using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using System.Collections.Generic;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression algorithm reproducing issue #7697 unhanded division by zero in DefaultOptionAssignmentModel.IsDeepInTheMoney due to remove underlying of option
    /// </summary>
    public class RemoveUnderlyingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private const string UnderlyingTicker = "GOOG";
        private Symbol _optionSymbol;
        private bool _boughtOption;
        private bool _removedUnderlying;

        public override void Initialize()
        {
            SetStartDate(2015, 12, 23);
            SetEndDate(2015, 12, 24);

            var option = AddOption(UnderlyingTicker);
            _optionSymbol = option.Symbol;
            option.SetFilter(u => u.IncludeWeeklys()
                                   .Strikes(-2, 0)
                                   .Expiration(TimeSpan.Zero, TimeSpan.FromDays(2)));
        }

        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
            if (!_boughtOption && !Portfolio.Invested)
            {
                if (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
                {
                    var contract = (
                        from optionContract in chain.OrderByDescending(x => x.Strike)
                        where optionContract.Right == OptionRight.Put
                        select optionContract
                        ).FirstOrDefault();
                    if (contract != null)
                    {
                        MarketOrder(contract.Symbol, -1);
                        _boughtOption = true;
                    }
                }
            }
            else if (Portfolio.Invested && Time.Day == 24 && Time.Hour == 0 && !_removedUnderlying)
            {
                _removedUnderlying = true;
                RemoveSecurity(_optionSymbol.Underlying);
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public List<Language> Languages { get; } = new() { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 15885;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "1"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000"},
            {"End Equity", "99961.5"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$1.00"},
            {"Estimated Strategy Capacity", "$28000.00"},
            {"Lowest Capacity Asset", "GOOCV 305RBQ2BZBZT2|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "0.07%"},
            {"OrderListHash", "10acd880e4d9a4593efd155ba291c4e3"}
        };
    }
}