quantconnect--lean/Algorithm.Python/FutureOptionBuySellCallIntradayRegressionAlgorithm.py

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# 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.
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from AlgorithmImports import *

### <summary>
### This regression algorithm tests In The Money (ITM) future option calls across different strike prices.
### We expect 6 orders from the algorithm, which are:
###
###   * (1) Initial entry, buy ES Call Option (ES19M20 expiring ITM)
###   * (2) Initial entry, sell ES Call Option at different strike (ES20H20 expiring ITM)
###   * [2] Option assignment, opens a position in the underlying (ES20H20, Qty: -1)
###   * [2] Future contract liquidation, due to impending expiry
###   * [1] Option exercise, receive 1 ES19M20 future contract
###   * [1] Liquidate ES19M20 contract, due to expiry
###
### Additionally, we test delistings for future options and assert that our
### portfolio holdings reflect the orders the algorithm has submitted.
### </summary>
class FutureOptionBuySellCallIntradayRegressionAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2020, 1, 5)
        self.SetEndDate(2020, 6, 30)

        self.es20h20 = self.AddFutureContract(
            Symbol.CreateFuture(
                Futures.Indices.SP500EMini,
                Market.CME,
                datetime(2020, 3, 20)
            ),
            Resolution.Minute).Symbol

        self.es19m20 = self.AddFutureContract(
            Symbol.CreateFuture(
                Futures.Indices.SP500EMini,
                Market.CME,
                datetime(2020, 6, 19)
            ),
            Resolution.Minute).Symbol

        # Select a future option expiring ITM, and adds it to the algorithm.
        self.esOptions = [
            self.AddFutureOptionContract(i, Resolution.Minute).Symbol
            for i in (self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time) +
                self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time))
            if i.ID.StrikePrice == 3200.0 and i.ID.OptionRight == OptionRight.Call
        ]

        self.expectedContracts = [
            Symbol.CreateOption(self.es20h20, Market.CME, OptionStyle.American, OptionRight.Call, 3200.0, datetime(2020, 3, 20)),
            Symbol.CreateOption(self.es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200.0, datetime(2020, 6, 19))
        ]

        for esOption in self.esOptions:
            if esOption not in self.expectedContracts:
                raise AssertionError(f"Contract {esOption} was not found in the chain")

        self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.AfterMarketOpen(self.es19m20, 1), self.ScheduleCallbackBuy)

    def ScheduleCallbackBuy(self):
        self.MarketOrder(self.esOptions[0], 1)
        self.MarketOrder(self.esOptions[1], -1)

    def OnEndOfAlgorithm(self):
        if self.Portfolio.Invested:
            raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.ID) for i in self.Portfolio.Keys])}")