quantconnect--lean/Algorithm.CSharp/LongAndShortStraddleStrategiesAlgorithm.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.Collections.Generic;
using System.Linq;

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Securities.Option;
using QuantConnect.Securities.Positions;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
    /// In this case, the algorithm tests the Straddle and Short Straddle strategies.
    /// </summary>
    public class LongAndShortStraddleStrategiesAlgorithm : OptionStrategyFactoryMethodsBaseAlgorithm
    {
        private OptionStrategy _straddle;
        private OptionStrategy _shortStraddle;

        protected override int ExpectedOrdersCount { get; } = 4;

        protected override void TradeStrategy(OptionChain chain)
        {
            var contracts = chain
                .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
                .ThenByDescending(x => x.Expiry)
                .GroupBy(x => new { x.Strike, x.Expiry })
                .FirstOrDefault(group => group.Any(x => x.Right == OptionRight.Call) && group.Any(x => x.Right == OptionRight.Put));

            if (contracts != null)
            {
                var contract = contracts.First();

                _straddle = OptionStrategies.Straddle(_optionSymbol, contract.Strike, contract.Expiry);
                _shortStraddle = OptionStrategies.ShortStraddle(_optionSymbol, contract.Strike, contract.Expiry);
                Buy(_straddle, 2);
            }
        }

        protected override void AssertStrategyPositionGroup(IPositionGroup positionGroup)
        {
            if (positionGroup.Positions.Count() != 2)
            {
                throw new Exception($"Expected position group to have 2 positions. Actual: {positionGroup.Positions.Count()}");
            }

            var callPosition = positionGroup.Positions.Single(x => x.Symbol.ID.OptionRight == OptionRight.Call);
            var putPosition = positionGroup.Positions.Single(x => x.Symbol.ID.OptionRight == OptionRight.Put);

            var expectedCallPositionQuantity = 2;
            var expectedPutPositionQuantity = 2;

            if (callPosition.Quantity != expectedCallPositionQuantity)
            {
                throw new Exception($@"Expected call position quantity to be {expectedCallPositionQuantity}. Actual: {callPosition.Quantity}");
            }

            if (putPosition.Quantity != expectedPutPositionQuantity)
            {
                throw new Exception($@"Expected put position quantity to be {expectedPutPositionQuantity}. Actual: {putPosition.Quantity}");
            }
        }

        protected override void LiquidateStrategy()
        {
            // We should be able to close the position using the inverse strategy (a short straddle)
            Buy(_shortStraddle, 2);
        }

        /// <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 override bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public override Language[] Languages { get; } = { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public override long DataPoints => 4490;

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

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "4"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Net Profit", "0%"},
            {"Sharpe 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", "$4.00"},
            {"Estimated Strategy Capacity", "$16000.00"},
            {"Lowest Capacity Asset", "GOOCV WBGM92QHIYO6|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "4.31%"},
            {"OrderListHash", "2788f34d84fd7f9627dd499b1aa96004"}
        };
    }
}