Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
102 lines
5.7 KiB
Python
102 lines
5.7 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 AlgorithmImports import *
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### <summary>
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### This regression algorithm tests In The Money (ITM) index option expiry for puts.
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### We expect 2 orders from the algorithm, which are:
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###
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### * Initial entry, buy ES Put Option (expiring ITM) (buy, qty 1)
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### * Option exercise, receiving cash (sell, qty -1)
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###
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### Additionally, we test delistings for index options and assert that our
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### portfolio holdings reflect the orders the algorithm has submitted.
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### </summary>
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class IndexOptionPutITMExpiryRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 31)
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self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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# Select a index option expiring ITM, and adds it to the algorithm.
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self.spxOption = list(self.OptionChainProvider.GetOptionContractList(self.spx, self.Time))
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self.spxOption = [i for i in self.spxOption if i.ID.StrikePrice >= 4200 and i.ID.OptionRight == OptionRight.Put and i.ID.Date.year == 2021 and i.ID.Date.month == 1]
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self.spxOption = list(sorted(self.spxOption, key=lambda x: x.ID.StrikePrice))[0]
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self.spxOption = self.AddIndexOptionContract(self.spxOption, Resolution.Minute).Symbol
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self.expectedContract = Symbol.CreateOption(self.spx, Market.USA, OptionStyle.European, OptionRight.Put, 4200, datetime(2021, 1, 15))
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if self.spxOption != self.expectedContract:
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raise Exception(f"Contract {self.expectedContract} was not found in the chain")
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.AfterMarketOpen(self.spx, 1), lambda: self.MarketOrder(self.spxOption, 1))
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def OnData(self, data: Slice):
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# Assert delistings, so that we can make sure that we receive the delisting warnings at
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# the expected time. These assertions detect bug #4872
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for delisting in data.Delistings.Values:
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if delisting.Type == DelistingType.Warning:
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if delisting.Time != datetime(2021, 1, 15):
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raise Exception(f"Delisting warning issued at unexpected date: {delisting.Time}")
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if delisting.Type == DelistingType.Delisted:
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if delisting.Time != datetime(2021, 1, 16):
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raise Exception(f"Delisting happened at unexpected date: {delisting.Time}")
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Status != OrderStatus.Filled:
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# There's lots of noise with OnOrderEvent, but we're only interested in fills.
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return
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if orderEvent.Symbol not in self.Securities:
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raise Exception(f"Order event Symbol not found in Securities collection: {orderEvent.Symbol}")
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security = self.Securities[orderEvent.Symbol]
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if security.Symbol == self.spx:
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self.AssertIndexOptionOrderExercise(orderEvent, security, self.Securities[self.expectedContract])
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elif security.Symbol == self.expectedContract:
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self.AssertIndexOptionContractOrder(orderEvent, security)
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else:
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raise Exception(f"Received order event for unknown Symbol: {orderEvent.Symbol}")
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def AssertIndexOptionOrderExercise(self, orderEvent: OrderEvent, index: Security, optionContract: Security):
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expectedLiquidationTimeUtc = datetime(2021, 1, 15)
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if orderEvent.Direction == OrderDirection.Buy and orderEvent.UtcTime != expectedLiquidationTimeUtc:
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raise Exception(f"Liquidated index option contract, but not at the expected time. Expected: {expectedLiquidationTimeUtc} - found {orderEvent.UtcTime}")
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# No way to detect option exercise orders or any other kind of special orders
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# other than matching strings, for now.
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if "Option Exercise" in orderEvent.Message:
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if orderEvent.FillPrice != 3300:
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raise Exception("Option did not exercise at expected strike price (3300)")
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if optionContract.Holdings.Quantity != 0:
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raise Exception(f"Exercised option contract, but we have holdings for Option contract {optionContract.Symbol}")
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def AssertIndexOptionContractOrder(self, orderEvent: OrderEvent, option: Security):
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if orderEvent.Direction == OrderDirection.Buy and option.Holdings.Quantity != 1:
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raise Exception(f"No holdings were created for option contract {option.Symbol}")
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if orderEvent.Direction == OrderDirection.Sell and option.Holdings.Quantity != 0:
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raise Exception(f"Holdings were found after a filled option exercise")
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if "Exercise" in orderEvent.Message and option.Holdings.Quantity != 0:
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raise Exception(f"Holdings were found after exercising option contract {option.Symbol}")
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### <summary>
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### Ran at the end of the algorithm to ensure the algorithm has no holdings
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### </summary>
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### <exception cref="Exception">The algorithm has holdings</exception>
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise Exception(f"Expected no holdings at end of algorithm, but are invested in: {', '.join(self.Portfolio.Keys)}")
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