Colton Sellers
20910ca2dc
* Remove regression references to non-existant Python versions * Adjust regressions estimated capacity not adjusted by #5389 * Adjusts regression algorithms so that they pass (Index/Index Options) * Changes start/end date on BasicTemplateIndexAlgorithm * Changes option pricing model to BlackScholes in IndexOptionCallITMGreeksExpiryRegressionAlgorithm - The root cause of why there are no greeks at times for these options was identified. It is most likely due to the underlying's VolatilityModel not having had enough data to be "warmed up", which means it will return a standard deviation of zero to the option pricing model, rendering most metrics as NaN. * Adds missing index/index options regression algorithms - Regression algorithms are now 1-1 between C# and Python for Indexes/Index options. All regression tests are now passing * Fixes broken BasicTemplateIndex regression algorithm * Previously traded SPY, but because we have no SPY data in Lean master, I instead opted for index options, since data for those dates is already included * Deal with weekend for breaking test case * Adjust DefaultEndDate test to always pass * Check todays date for open Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
110 lines
5.9 KiB
Python
110 lines
5.9 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 datetime import datetime
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Securities.Option import *
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from QuantConnect import *
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### <summary>
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### This regression algorithm tests In The Money (ITM) index option expiry for calls.
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### We test to make sure that index options have greeks enabled, same as equity options.
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### </summary>
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class IndexOptionCallITMGreeksExpiryRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.onDataCalls = 0
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self.invested = False
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 31)
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self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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# Select a index option call expiring ITM, and adds it to the algorithm.
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self.spxOption = list(self.OptionChainProvider.GetOptionContractList(self.spx, self.Time))
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self.spxOption = [i for i in self.spxOption if i.ID.StrikePrice <= 3200 and i.ID.OptionRight == OptionRight.Call and i.ID.Date.year == 2021 and i.ID.Date.month == 1]
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self.spxOption = list(sorted(self.spxOption, key=lambda x: x.ID.StrikePrice, reverse=True))[0]
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self.spxOption = self.AddIndexOptionContract(self.spxOption, Resolution.Minute)
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self.spxOption.PriceModel = OptionPriceModels.BlackScholes()
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self.expectedOptionContract = Symbol.CreateOption(self.spx, Market.USA, OptionStyle.European, OptionRight.Call, 3200, datetime(2021, 1, 15))
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if self.spxOption.Symbol != self.expectedOptionContract:
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raise Exception(f"Contract {self.expectedOptionContract} was not found in the chain")
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def OnData(self, data: Slice):
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# Let the algo warmup, but without using SetWarmup. Otherwise, we get
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# no contracts in the option chain
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if self.invested or self.onDataCalls < 40:
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self.onDataCalls += 1
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return
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self.onDataCalls += 1
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if data.OptionChains.Count == 0:
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return
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if all([any([c.Symbol not in data for c in o.Contracts.Values]) for o in data.OptionChains.Values]):
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return
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if len(list(list(data.OptionChains.Values)[0].Contracts.Values)) == 0:
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raise Exception(f"No contracts found in the option {list(data.OptionChains.Keys)[0]}")
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deltas = [i.Greeks.Delta for i in self.SortByMaxVolume(data)]
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gammas = [i.Greeks.Gamma for i in self.SortByMaxVolume(data)] #data.OptionChains.Values.OrderByDescending(y => y.Contracts.Values.Sum(x => x.Volume)).First().Contracts.Values.Select(x => x.Greeks.Gamma).ToList()
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lambda_ = [i.Greeks.Lambda for i in self.SortByMaxVolume(data)] #data.OptionChains.Values.OrderByDescending(y => y.Contracts.Values.Sum(x => x.Volume)).First().Contracts.Values.Select(x => x.Greeks.Lambda).ToList()
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rho = [i.Greeks.Rho for i in self.SortByMaxVolume(data)] #data.OptionChains.Values.OrderByDescending(y => y.Contracts.Values.Sum(x => x.Volume)).First().Contracts.Values.Select(x => x.Greeks.Rho).ToList()
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theta = [i.Greeks.Theta for i in self.SortByMaxVolume(data)] #data.OptionChains.Values.OrderByDescending(y => y.Contracts.Values.Sum(x => x.Volume)).First().Contracts.Values.Select(x => x.Greeks.Theta).ToList()
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vega = [i.Greeks.Vega for i in self.SortByMaxVolume(data)] #data.OptionChains.Values.OrderByDescending(y => y.Contracts.Values.Sum(x => x.Volume)).First().Contracts.Values.Select(x => x.Greeks.Vega).ToList()
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# The commented out test cases all return zero.
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# This is because of failure to evaluate the greeks in the option pricing model, most likely
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# due to us not clearing the default 30 day requirement for the volatility model to start being updated.
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if any([i for i in deltas if i == 0]):
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raise Exception("Option contract Delta was equal to zero")
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#if any([i for i in gammas if i == 0]):
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# raise AggregateException("Option contract Gamma was equal to zero")
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#if any([i for i in lambda_ if lambda_ == 0]):
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# raise AggregateException("Option contract Lambda was equal to zero")
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if any([i for i in rho if i == 0]):
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raise Exception("Option contract Rho was equal to zero")
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if any([i for i in theta if i == 0]):
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raise Exception("Option contract Theta was equal to zero")
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#if any([i for i in vega if vega == 0]):
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# raise AggregateException("Option contract Vega was equal to zero")
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if not self.invested:
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self.SetHoldings(list(list(data.OptionChains.Values)[0].Contracts.Values)[0].Symbol, 1)
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self.invested = True
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### <summary>
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### Ran at the end of the algorithm to ensure the algorithm has no holdings
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### </summary>
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### <exception cref="Exception">The algorithm has holdings</exception>
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise Exception(f"Expected no holdings at end of algorithm, but are invested in: {', '.join(self.Portfolio.Keys)}")
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if not self.invested:
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raise Exception(f"Never checked greeks, maybe we have no option data?")
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def SortByMaxVolume(self, data: Slice):
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chain = [i for i in sorted(list(data.OptionChains.Values), key=lambda x: sum([j.Volume for j in x.Contracts.Values]), reverse=True)][0]
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return chain.Contracts.Values
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