Martin-Molinero
3ccf428498
* Adjust delisting liquidation time - Adjust delisting liquidation time to 15 min before market closes. Adding unit tests. Updating existing. - Handle `Statistics.CompoundingAnnualPerformance` invalid calculation to avoid exception. - AlgorithmManager will not handle delisting events in live trading - Fix bug where due to a split driven liquidation matching delisting date a position in the option would remain open. Reproduced by `BasicTemplateOptionsFrameworkAlgorithm` * Address review - Address review add documentation on delisting offset span
123 lines
4.7 KiB
C#
123 lines
4.7 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 System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm verifies automatic option contract assignment behavior.
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/// </summary>
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="filter selection" />
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public class OptionAssignmentRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security Stock;
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private Security CallOption;
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private Symbol CallOptionSymbol;
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private Security PutOption;
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private Symbol PutOptionSymbol;
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public override void Initialize()
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{
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SetStartDate(2015, 12, 23);
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SetEndDate(2015, 12, 24);
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SetCash(100000);
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Stock = AddEquity("GOOG", Resolution.Minute);
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var contracts = OptionChainProvider.GetOptionContractList(Stock.Symbol, UtcTime).ToList();
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PutOptionSymbol = contracts
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.Where(c => c.ID.OptionRight == OptionRight.Put)
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.OrderBy(c => c.ID.Date)
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.First(c => c.ID.StrikePrice == 800m);
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CallOptionSymbol = contracts
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.Where(c => c.ID.OptionRight == OptionRight.Call)
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.OrderBy(c => c.ID.Date)
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.First(c => c.ID.StrikePrice == 600m);
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PutOption = AddOptionContract(PutOptionSymbol);
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CallOption = AddOptionContract(CallOptionSymbol);
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}
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested && Stock.Price != 0 && PutOption.Price != 0 && CallOption.Price != 0)
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{
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// this gets executed on start and after each auto-assignment, finally ending with expiration assignment
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MarketOrder(PutOptionSymbol, -1);
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MarketOrder(CallOptionSymbol, -1);
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}
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}
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public bool CanRunLocally { get; } = true;
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public Language[] Languages { get; } = {Language.CSharp};
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "24"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$12.00"},
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{"Fitness Score", "0.5"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "-50.725"},
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{"Portfolio Turnover", "8.14"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "-2017313615"}
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};
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}
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}
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