quant1729
228 lines
9.5 KiB
C#
228 lines
9.5 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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*/
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using System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Option;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to create a multi asset class trading strategy.
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/// This code is designed for test purposes and can be used with paper brokerage.
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/// All asset classes are not necessarily supported by some brokers. See our website for details.
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/// </summary>
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public class BasicTemplateMultiAssetAlgorithm : QCAlgorithm
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{
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// S&P 500 EMini futures
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private const string TickerSP500 = Futures.Indices.SP500EMini;
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public Symbol SymbolSP500 = QuantConnect.Symbol.Create(TickerSP500, SecurityType.Future, Market.USA);
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// Google options
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private const string UnderlyingTicker = "GOOG";
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public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
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public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
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// Microsoft stock
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private const string TickerMSFT = "MSFT";
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private readonly Symbol SymbolMSFT = QuantConnect.Symbol.Create(TickerMSFT, SecurityType.Equity, Market.USA);
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// EUR/USD FX spot pair
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private const string TickerEURUSD = "EURUSD";
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private readonly Symbol SymbolEURUSD = QuantConnect.Symbol.Create(TickerEURUSD, SecurityType.Forex, Market.FXCM);
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private int barCount = 0;
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public override void Initialize()
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{
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SetStartDate(2014, 01, 01);
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SetEndDate(2014, 02, 01);
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SetCash(1000000);
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// setting futures
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var futureSP500 = AddFuture(TickerSP500, Resolution.Minute);
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// set our expiry filter for this futures chain
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futureSP500.SetFilter(TimeSpan.FromDays(10), TimeSpan.FromDays(182));
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// setting up options
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var equity = AddEquity(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
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option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();
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// option.EnableGreekApproximation = true;
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// set our expiry filter for this option chain
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option.SetFilter(-2, +2, TimeSpan.FromDays(10), TimeSpan.FromDays(60));
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// setting up stock
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AddEquity(TickerMSFT);
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// setting up FX
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AddForex(TickerEURUSD);
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// specifying zero benchmark
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SetBenchmark(date => 0m);
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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barCount++;
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if (barCount % 3 == 0)
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{
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if (!Portfolio.Invested)
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{
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foreach (var chain in slice.FutureChains)
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{
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// find the front contract expiring no earlier than in 90 days
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var contract = (
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from futuresContract in chain.Value.OrderBy(x => x.Expiry)
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where futuresContract.Expiry > Time.Date.AddDays(90)
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select futuresContract
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).FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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OptionChain optionChain;
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if (slice.OptionChains.TryGetValue(OptionSymbol, out optionChain))
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{
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// find the second call strike under market price
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var contract = optionChain
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.OrderBy(x => Math.Abs(optionChain.Underlying.Price - x.Strike))
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.ThenByDescending(x => x.Expiry)
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.FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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// trade MSFT
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MarketOrder(SymbolMSFT, 100);
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// trade FX pair
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MarketOrder(SymbolEURUSD, 100000);
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}
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else
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{
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Liquidate();
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}
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}
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if (barCount % 3 == 1)
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{
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Log(String.Format("P/L:{0:0.00}, Fees:{1:0.00}, Profit:{2:0.00}, Eq:{3:0.00}, Holdings:{4:0.00}, Vol: {5:0.00}, Margin: {6:0.00}",
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Portfolio.TotalUnrealisedProfit,
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Portfolio.TotalFees,
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Portfolio.TotalProfit,
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Portfolio.TotalPortfolioValue,
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Portfolio.TotalHoldingsValue,
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Portfolio.TotalSaleVolume,
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Portfolio.TotalMarginUsed));
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foreach (var holding in Securities.Values.OrderByDescending(x => x.Holdings.AbsoluteQuantity))
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{
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Log(String.Format(" - {0}, Avg Prc:{1:0.00}, Qty:{2:0.00}, Mkt Prc:{3:0.00}, Mkt Val:{4:0.00}, Unreal P/L: {5:0.00}, Fees: {6:0.00}, Vol: {7:0.00}",
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holding.Symbol.Value,
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holding.Holdings.AveragePrice,
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holding.Holdings.Quantity,
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holding.Holdings.Price,
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holding.Holdings.HoldingsValue,
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holding.Holdings.UnrealizedProfit,
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holding.Holdings.TotalFees,
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holding.Holdings.TotalSaleVolume));
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}
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}
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if (barCount % 3 == 2)
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{
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foreach (var chain in slice.OptionChains)
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{
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var underlying = Securities[chain.Key.Underlying];
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foreach (var contract in chain.Value)
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{
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Log(String.Format(@"{0} {1},B={2} A={3} L={4} OI={5} σ={6:0.00} NPV={7:0.00} Δ={8:0.00} Γ={9:0.00} ν={10:0.00} ρ={11:0.00} Θ={12:0.00} IV={13:0.00}",
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Time.ToString(),
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contract.Symbol.Value,
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contract.BidPrice,
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contract.AskPrice,
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contract.LastPrice,
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contract.OpenInterest,
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underlying.VolatilityModel.Volatility,
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contract.TheoreticalPrice,
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contract.Greeks.Delta,
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contract.Greeks.Gamma,
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contract.Greeks.Vega,
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contract.Greeks.Rho,
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contract.Greeks.Theta / 365.0m,
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contract.ImpliedVolatility));
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}
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}
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foreach (var chain in slice.FutureChains)
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{
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foreach (var contract in chain.Value)
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{
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Log(String.Format("{0}, {1}, B={2} A={3} L={4} OI={5}",
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contract.Symbol.Value,
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Time,
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contract.BidPrice,
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contract.AskPrice,
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contract.LastPrice,
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contract.OpenInterest));
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}
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}
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}
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foreach (var kpv in slice.QuoteBars)
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{
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Console.WriteLine("---> QuoteBar: {0}, {1}, {2}", Time, kpv.Key.Value, kpv.Value.Close.ToString("0.0000"));
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}
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foreach (var kpv in slice.Bars)
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{
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Console.WriteLine("---> Bar: {0}, {1}, {2}", Time, kpv.Key.Value, kpv.Value.Close.ToString("0.0000"));
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the evemts</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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}
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}
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