Ronit Jain
15066ae5e1
* add data count properties * 'add history count property * assert data counts * update missing override * consider override/virtual cases * implement data count * add message handler for regression tests * use regression test message handler * set algorithm manager for regression test message handler * update data count * check if stats are present, check if algo manager is not null * update * add c# algo * make same as c# algo * use new line * logic shifted to RegressionTestMessageHandler * cleanup * auto cleanup * skip non deterministic data count * change data count * use inheritance * improve stats * update couht * add sma indicator to c# and customSMA to python * call base method before executing further * skip test * revert to original * add duplicate sma * skip regression test
67 lines
2.7 KiB
Python
67 lines
2.7 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This regression algorithm tests option exercise and assignment functionality
|
|
### We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
|
|
### </summary>
|
|
### <meta name="tag" content="regression test" />
|
|
### <meta name="tag" content="options" />
|
|
class OptionExerciseAssignRegressionAlgorithm(QCAlgorithm):
|
|
|
|
UnderlyingTicker = "GOOG"
|
|
|
|
def Initialize(self):
|
|
self.SetCash(100000)
|
|
self.SetStartDate(2015,12,24)
|
|
self.SetEndDate(2015,12,28)
|
|
|
|
self.equity = self.AddEquity(self.UnderlyingTicker);
|
|
self.option = self.AddOption(self.UnderlyingTicker);
|
|
|
|
# set our strike/expiry filter for this option chain
|
|
self.option.SetFilter(self.UniverseFunc)
|
|
|
|
self.SetBenchmark(self.equity.Symbol)
|
|
self._assignedOption = False
|
|
|
|
def OnData(self, slice):
|
|
if self.Portfolio.Invested: return
|
|
for kvp in slice.OptionChains:
|
|
chain = kvp.Value
|
|
# find the call options expiring today
|
|
contracts = filter(lambda x:
|
|
x.Expiry.date() == self.Time.date() and
|
|
x.Strike < chain.Underlying.Price and
|
|
x.Right == OptionRight.Call, chain)
|
|
|
|
# sorted the contracts by their strikes, find the second strike under market price
|
|
sorted_contracts = sorted(contracts, key = lambda x: x.Strike, reverse = True)[:2]
|
|
|
|
if sorted_contracts:
|
|
self.MarketOrder(sorted_contracts[0].Symbol, 1)
|
|
self.MarketOrder(sorted_contracts[1].Symbol, -1)
|
|
|
|
# set our strike/expiry filter for this option chain
|
|
def UniverseFunc(self, universe):
|
|
return universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(10))
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
self.Log(str(orderEvent))
|
|
|
|
def OnAssignmentOrderEvent(self, assignmentEvent):
|
|
self.Log(str(assignmentEvent))
|
|
self._assignedOption = True
|