Jhonathan Abreu
2e20b4803d
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* Invalidate option strategies orders when short selling over margin When shorting an option strategy with margin requirements that cannot be met, the order should be invalidated. The buying power model is now able to detect said situation and result in unssuficient buying power. The OptionsMarginModel now uses the parameters instance values instead of the security holdings to compute margin requirements. This fixes the situation when calculation buying power for a first time position with no holdings. * Add and fix unit tests * Update regression algorithms * Peer review
103 lines
5.1 KiB
Python
103 lines
5.1 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 short calls.
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### We expect 2 orders from the algorithm, which are:
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###
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### * Initial entry, sell SPX Call Option (expiring ITM)
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### * Option assignment
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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 IndexOptionShortCallITMExpiryRegressionAlgorithm(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.SetCash(1000000)
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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 <= 3200 and i.ID.OptionRight == OptionRight.Call 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, reverse=True))[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.Call, 3200, 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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if "Assignment" in orderEvent.Message:
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if orderEvent.FillPrice != 3200:
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raise Exception("Option was not assigned at expected strike price (3200)")
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if orderEvent.Direction != OrderDirection.Sell or index.Holdings.Quantity != 0:
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raise Exception(f"Expected Qty: 0 index holdings for assigned index option {index.Symbol}, found {index.Holdings.Quantity}")
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def AssertIndexOptionContractOrder(self, orderEvent: OrderEvent, option: Security):
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if orderEvent.Direction == OrderDirection.Sell 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.IsAssignment and option.Holdings.Quantity != 0:
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raise Exception(f"Holdings were found after option contract was assigned: {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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