Colton Sellers
33599b473d
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Move processing of delistings to Brokerage * Deal with case that exchange is not open on OptionSymbol.ID.Date * Refactor solution to use DelistingNotification event * Adjust some regression expected liquidation time * Mark some todos on deprecated functions * Update expected liqudation time for Py regressions * Update regressions that have been validated * Use HandlePositionAssigned for assignment orders * Update regressions * Update some missed unit tests; remove one that is already covered by regression * Cleanup deprecated backend functions * nit - small cleanup adjustment * Post rebase fix * Address review * Minor tweak to py regression
103 lines
4.7 KiB
Python
103 lines
4.7 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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### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
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### </summary>
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class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.invested = False
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self.liquidated = 0
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self.delistingsReceived = 0
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self.expectedExpiryWarningTime = datetime(2020, 6, 19)
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self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
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self.expectedLiquidationTime = datetime(2020, 6, 20)
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 12, 1)
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self.SetCash(100000)
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es = Symbol.CreateFuture(
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"ES",
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Market.CME,
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datetime(2020, 6, 19)
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)
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esOption = Symbol.CreateOption(
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es,
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Market.CME,
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OptionStyle.American,
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OptionRight.Put,
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3400.0,
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datetime(2020, 6, 19)
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)
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self.esFuture = self.AddFutureContract(es, Resolution.Minute).Symbol
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self.esFutureOption = self.AddFutureOptionContract(esOption, Resolution.Minute).Symbol
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def OnData(self, data: Slice):
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for delisting in data.Delistings.Values:
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self.delistingsReceived += 1
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if delisting.Type == DelistingType.Warning and delisting.Time != self.expectedExpiryWarningTime:
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raise AssertionError(f"Expiry warning with time {delisting.Time} but is expected to be {self.expectedExpiryWarningTime}")
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if delisting.Type == DelistingType.Warning and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
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raise AssertionError(f"Delisting warning received at an unexpected date: {self.Time} - expected {delisting.Time}")
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if delisting.Type == DelistingType.Delisted and delisting.Time != self.expectedExpiryDelistingTime:
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raise AssertionError(f"Delisting occurred at unexpected time: {delisting.Time} - expected: {self.expectedExpiryDelistingTime}")
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if delisting.Type == DelistingType.Delisted and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
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raise AssertionError(f"Delisting notice received at an unexpected date: {self.Time} - expected {delisting.Time}")
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if not self.invested and \
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(self.esFuture in data.Bars or self.esFuture in data.QuoteBars) and \
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(self.esFutureOption in data.Bars or self.esFutureOption in data.QuoteBars):
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self.invested = True
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self.MarketOrder(self.esFuture, 1)
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self.MarketOrder(self.esFutureOption, 1)
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Direction != OrderDirection.Sell or orderEvent.Status != OrderStatus.Filled:
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return
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# * Future Liquidation
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# * Future Option Exercise
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# * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
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self.liquidated += 1
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if orderEvent.Symbol.SecurityType == SecurityType.FutureOption and self.expectedLiquidationTime != self.Time:
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raise AssertionError(f"Expected to liquidate option {orderEvent.Symbol} at {self.expectedLiquidationTime}, instead liquidated at {self.Time}")
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if orderEvent.Symbol.SecurityType == SecurityType.Future and \
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(self.expectedLiquidationTime - timedelta(minutes=1)) != self.Time and \
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self.expectedLiquidationTime != self.Time:
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raise AssertionError(f"Expected to liquidate future {orderEvent.Symbol} at {self.expectedLiquidationTime} (+1 minute), instead liquidated at {self.Time}")
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def OnEndOfAlgorithm(self):
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if not self.invested:
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raise AssertionError("Never invested in ES futures and FOPs")
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if self.delistingsReceived != 4:
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raise AssertionError(f"Expected 4 delisting events received, found: {self.delistingsReceived}")
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if self.liquidated != 2:
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raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")
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