Gerardo Salazar
dde3576161
* Fixes intraday delistings not occurring for Futures and FOPs
* Previously, we would wait until the next market open to
liquidate futures and futures options contracts. Since these
contracts can not be traded at the next market open and require
intraday delisting, changes were made to liquidate at the first
available place where we know the market is open. This means
we now liquidate futures and FOPs intraday as a market order.
* Maintains backwards compatability with equities and equity options
delisting behavior
* Addresses review: adds additional protections for ProcessDelistedSymbols
* We choose to adjust the delisting date to the next market open only
if the market is not open at the current time, otherwise the time
would have been adjusted to the market open of the next trading day
* Addresses review: reverts changes and fixes error message in regression algo
101 lines
4.5 KiB
Python
101 lines
4.5 KiB
Python
from datetime import datetime, timedelta
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Orders import *
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from QuantConnect import *
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### <summary>
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### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
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### </summary>
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class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.invested = False
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self.liquidated = 0
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self.delistingsReceived = 0
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self.expectedExpiryWarningTime = datetime(2020, 6, 19)
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self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
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self.expectedLiquidationTime = datetime(2020, 6, 19, 9, 32, 0)
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 12, 1)
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self.SetCash(100000)
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# To ensure that the expiry liquidations are ran for the Futures and FOPs, we
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# add AAPL to pump a data point through on liquidation date so that the liquidation goes through
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# at AAPL market open. See issue for more details: https://github.com/QuantConnect/Lean/issues/4872
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self.AddEquity("AAPL", Resolution.Daily)
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es = Symbol.CreateFuture(
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"ES",
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Market.CME,
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datetime(2020, 6, 19)
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)
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esOption = Symbol.CreateOption(
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es,
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Market.CME,
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OptionStyle.American,
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OptionRight.Put,
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3400.0,
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datetime(2020, 6, 19)
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)
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self.esFuture = self.AddFutureContract(es, Resolution.Minute).Symbol
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self.esFutureOption = self.AddFutureOptionContract(esOption, Resolution.Minute).Symbol
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def OnData(self, data: Slice):
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for delisting in data.Delistings.Values:
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self.delistingsReceived += 1
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if delisting.Type == DelistingType.Warning and delisting.Time != self.expectedExpiryWarningTime:
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raise AssertionError(f"Expiry warning with time {delisting.Time} but is expected to be {self.expectedExpiryWarningTime}")
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if delisting.Type == DelistingType.Warning and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
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raise AssertionError(f"Delisting warning received at an unexpected date: {self.Time} - expected {delisting.Time}")
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if delisting.Type == DelistingType.Delisted and delisting.Time != self.expectedExpiryDelistingTime:
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raise AssertionError(f"Delisting occurred at unexpected time: {delisting.Time} - expected: {self.expectedExpiryDelistingTime}")
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if delisting.Type == DelistingType.Delisted and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
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raise AssertionError(f"Delisting notice received at an unexpected date: {self.Time} - expected {delisting.Time}")
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if not self.invested and \
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(self.esFuture in data.Bars or self.esFuture in data.QuoteBars) and \
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(self.esFutureOption in data.Bars or self.esFutureOption in data.QuoteBars):
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self.invested = True
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self.MarketOrder(self.esFuture, 1)
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self.MarketOrder(self.esFutureOption, 1)
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Direction != OrderDirection.Sell or orderEvent.Status != OrderStatus.Filled:
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return
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# * Future Liquidation
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# * Future Option Exercise
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# * Underlying Future Liquidation
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self.liquidated += 1
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if orderEvent.Symbol.SecurityType == SecurityType.FutureOption and self.expectedLiquidationTime != self.Time:
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raise AssertionError(f"Expected to liquidate option {orderEvent.Symbol} at {self.expectedLiquidationTime}, instead liquidated at {self.Time}")
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if orderEvent.Symbol.SecurityType == SecurityType.Future and \
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(self.expectedLiquidationTime - timedelta(minutes=1)) != self.Time and \
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self.expectedLiquidationTime != self.Time:
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raise AssertionError(f"Expected to liquidate future {orderEvent.Symbol} at {self.expectedLiquidationTime} (+1 minute), instead liquidated at {self.Time}")
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def OnEndOfAlgorithm(self):
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if not self.invested:
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raise AssertionError("Never invested in ES futures and FOPs")
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if self.delistingsReceived != 4:
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raise AssertionError(f"Expected 4 delisting events received, found: {self.delistingsReceived}")
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if self.liquidated != 3:
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raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")
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