Jhonathan Abreu
a8592e08b5
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* Add helper method to calculate options expiration date time This allows to compute accurate time till expiry for greek indicators to be able to calculate on the actual expiration date before market close * Update tolerance in greek indicators tests * Minor fix * Modify helper method to calculate settlement time instead of expiration time * Cache option expiration date time * Minor changes * Minor changes
89 lines
3.5 KiB
C#
89 lines
3.5 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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using System;
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using System.Linq;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class FutureOptionIndicatorsRegressionAlgorithm : OptionIndicatorsRegressionAlgorithm
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{
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protected override string ExpectedGreeks { get; set; } = "Implied Volatility: 0.13941,Delta: 0.63509,Gamma: 0.00209,Vega: 5.64129,Theta: -0.47731,Rho: 0.03145";
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public override void Initialize()
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{
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SetStartDate(2020, 1, 6);
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SetEndDate(2020, 1, 6);
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var underlying = AddFutureContract(QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2020, 3, 20)),
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Resolution.Minute).Symbol;
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var option = AddFutureOptionContract(OptionChain(underlying)
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.Where(x => x.ID.StrikePrice <= 3200m && x.ID.OptionRight == OptionRight.Call)
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.OrderByDescending(x => x.ID.StrikePrice)
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.Take(1)
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.Single(), Resolution.Minute).Symbol;
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InitializeIndicators(option);
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}
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 1817;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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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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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino 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", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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