Jhonathan Abreu
e29bb2c5e0
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* Initial options universe with greeks implementation * Options universe improvements * Address peer review * File based options universe fixes and improvements. - Adjust OptionUniverse start-end times and period. - Adapt unit tests and some algorithms to pass with new options universe selection. * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Option chain provider with new options universe * Allow canonical option history requests * Address peer review * Address peer review * Fix symbols parsing in OptionUniverse * Fix universe selection subscriptions start time to not include extended market hours * Minor changes * Minor changes * Peer recommended changes and fixes * Update regression algorithm stats * Update regression algorithms stats and minor fixes * Fix option chain provider history request * Round option indicators values * Added option universe csv header property * Update regression algorithms stats * Update regression algorithms stats * Data fixes and regression algos stats update * Unit test fixes * Minor changes * Option chain handling in live trading data feed * Minor changes * Added processed data provider * Fix thread-safety violation in Slice class * Minor change * Update options filter universe API to use OptionUniverse data Add new filter methods for greeks, IV and open interest * Option filter universe api updates * Add OptionUniverse history regression algorithms * Add regression algorithms for new options filter universe api methods * Added options greeks data and updated regression algorithms * Address peer review * Address peer review * Add more assertions to new options filter api regression algorithms * Minor performance improvement. Reduce greeks binomial model steps to 140 * Minor tests updates * Greeks numerical models performance improvements * Greeks numerical models performance improvements * Revert array pool change for option pricing numerical models * Update default dividend yield provider depending on option type * [TEST] * Add helper method con calculate time till expiration * Use double in price option numerical models * Implied volatility calculation improvements - Adjust root finding method accuracy as a factor of the option price - Use BSM to get a first guess * Cleanup * Some regression algorithms and unit tests cleanup * Regression tests updates after rebasing from master * Add universe files * Self review and cleanup * Minor regression tests updates after rebase * Fix: set data time zone to same as exchange tz for options universes * Minor change * Minor change * Fix for live trading options universe selection * Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator * Update index options regression algorithms stats * Minor change * Address peer review * Memory usage improvements * Minor build fix * Minor changes and test fixes * Cache symbols in OptionUniverse * Cleanup * Fix index option creation in OptionUniverse * Use cached underlying SID when parsing from string * Abstract symbols cache to BaseDataCollection * Return actual underlying symbol when mapping decomposing ICO ticker * Address peer review * Minor performance improvements reduce garbage * Limit Symbols and SIDs cache size to help with memory usage * Minor fix in symbols and sid cache cleanup * Build fix * Lazily parse greeks on individual access * Cleanup and tests * Address peer review * Minor greeks fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
85 lines
5.2 KiB
Python
85 lines
5.2 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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from scipy.optimize import brentq
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class OptionIndicatorsMirrorContractsRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2014, 6, 5)
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self.set_end_date(2014, 6, 9)
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self.set_cash(100000)
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equity = self.add_equity("AAPL", Resolution.DAILY).symbol
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option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.PUT, 650, datetime(2014, 6, 21))
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self.add_option_contract(option, Resolution.DAILY)
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# add the call counter side of the mirrored pair
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mirror_option = Symbol.create_option("AAPL", Market.USA, OptionStyle.AMERICAN, OptionRight.CALL, 650, datetime(2014, 6, 21))
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self.add_option_contract(mirror_option, Resolution.DAILY)
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self.delta = self.d(option, mirror_option, option_model = OptionPricingModelType.BINOMIAL_COX_ROSS_RUBINSTEIN, iv_model = OptionPricingModelType.BLACK_SCHOLES)
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self.gamma = self.g(option, mirror_option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)
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self.vega = self.v(option, mirror_option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)
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self.theta = self.t(option, mirror_option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)
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self.rho = self.r(option, mirror_option, option_model = OptionPricingModelType.FORWARD_TREE, iv_model = OptionPricingModelType.BLACK_SCHOLES)
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# A custom IV indicator with custom calculation of IV
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risk_free_rate_model = InterestRateProvider()
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dividend_yield_model = DividendYieldProvider(equity)
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self.implied_volatility = CustomImpliedVolatility(option, mirror_option, risk_free_rate_model, dividend_yield_model)
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self.register_indicator(option, self.implied_volatility, QuoteBarConsolidator(timedelta(1)))
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self.register_indicator(mirror_option, self.implied_volatility, QuoteBarConsolidator(timedelta(1)))
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self.register_indicator(equity, self.implied_volatility, TradeBarConsolidator(timedelta(1)))
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# custom IV smoothing function: assume the lower IV is more "fair"
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smoothing_func = lambda iv, mirror_iv: min(iv, mirror_iv)
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# set the smoothing function
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self.delta.implied_volatility.set_smoothing_function(smoothing_func)
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self.gamma.implied_volatility.set_smoothing_function(smoothing_func)
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self.vega.implied_volatility.set_smoothing_function(smoothing_func)
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self.theta.implied_volatility.set_smoothing_function(smoothing_func)
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self.rho.implied_volatility.set_smoothing_function(smoothing_func)
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def on_end_of_algorithm(self):
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if not self.implied_volatility.is_ready or not self.delta.is_ready or not self.gamma.is_ready \
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or not self.vega.is_ready or not self.theta.is_ready or not self.rho.is_ready:
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raise Exception("Expected IV/greeks calculated")
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self.debug(f"""Implied Volatility: {self.implied_volatility.current.value},
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Delta: {self.delta.current.value},
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Gamma: {self.gamma.current.value},
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Vega: {self.vega.current.value},
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Theta: {self.theta.current.value},
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Rho: {self.rho.current.value}""")
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class CustomImpliedVolatility(ImpliedVolatility):
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def __init__(self, option, mirror_option, risk_free_rate_model, dividend_yield_model):
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super().__init__(option, risk_free_rate_model, dividend_yield_model, mirror_option)
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self.set_smoothing_function(lambda iv, mirror_iv: iv)
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def calculate_iv(self, time_till_expiry: float) -> float:
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try:
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return brentq(self.f, 1e-7, 2.0, args=(time_till_expiry), xtol=1e-4, maxiter=100)
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except:
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print("ImpliedVolatility.calculate_i_v(): Fail to converge, returning 0.")
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return 0.0
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# we demonstate put-call parity calculation here, but note that it is not suitable for American options
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def f(self, vol: float, time_till_expiry: float) -> float:
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call_black_price = OptionGreekIndicatorsHelper.black_theoretical_price(
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vol, UnderlyingPrice.current.value, self.strike, time_till_expiry, RiskFreeRate.current.value, DividendYield.current.value, OptionRight.CALL)
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put_black_price = OptionGreekIndicatorsHelper.black_theoretical_price(
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vol, UnderlyingPrice.current.value, self.strike, time_till_expiry, RiskFreeRate.current.value, DividendYield.current.value, OptionRight.PUT)
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return Price.current.value + OppositePrice.current.value - call_black_price - put_black_price
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