Martin-Molinero
bfd319c91e
* OptionChain and OptionContract improvements - QCAlgorithm.AddUniverse will return the added Universe instance. - Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes and will spwan new OptionChainUniverse from it's selections. Adding regression test Py/C#. - Adding new OptionContractUniverse that will own option contracts and their underlying symbol. Adding regression test - Fix double notification for security changes, bug seen in updated UniverseSelectionRegressionAlgorithm - Remove UniverseSelection special handling for Option and Future chains - Fix DataManager not removing SubscriptionDataConfigs for Subscriptions which finished before being removed from the universe - Refactor detection of user added Universe so that they do not get removed after calling the UniverseSelectionModel * Add check for option underlying price is set * Address reviews - Adding python regression algorithm for `AddOptionContractFromUniverseRegressionAlgorithm` and `AddOptionContractExpiresRegressionAlgorithm` - Rename QCAlgorithm new api method to `AddChainedOptionUniverse` * Fix universe refresh bug - Fix bug where a universe selection refresh would cause option or future chain universes from being removed. Adding regression algorithm reproducing the issue. * Rename new option universe Algorithm API method - Rename new option universe Algorith API method from AddChainedOptionUniverse to AddUniverseOptions - Rebase and update regression test order hash because of option expiration message changed
87 lines
3.7 KiB
Python
87 lines
3.7 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from datetime import *
|
|
|
|
### <summary>
|
|
### We add an option contract using 'QCAlgorithm.AddOptionContract' and place a trade, the underlying
|
|
### gets deselected from the universe selection but should still be present since we manually added the option contract.
|
|
### Later we call 'QCAlgorithm.RemoveOptionContract' and expect both option and underlying to be removed.
|
|
### </summary>
|
|
class AddOptionContractFromUniverseRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
self.SetStartDate(2014, 6, 5)
|
|
self.SetEndDate(2014, 6, 9)
|
|
|
|
self._expiration = datetime(2014, 6, 21)
|
|
self._securityChanges = None
|
|
self._option = None
|
|
self._traded = False
|
|
|
|
self._twx = Symbol.Create("TWX", SecurityType.Equity, Market.USA)
|
|
self._aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
|
|
self.UniverseSettings.Resolution = Resolution.Minute
|
|
self.UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw
|
|
|
|
self.AddUniverse(self.Selector, self.Selector)
|
|
|
|
def Selector(self, fundamental):
|
|
if self.Time <= datetime(2014, 6, 5):
|
|
return [ self._twx ]
|
|
return [ self._aapl ]
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
if self._option != None and self.Securities[self._option].Price != 0 and not self._traded:
|
|
self._traded = True;
|
|
self.Buy(self._option, 1);
|
|
|
|
if self.Time == datetime(2014, 6, 6, 14, 0, 0):
|
|
# liquidate & remove the option
|
|
self.RemoveOptionContract(self._option)
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
# keep track of all removed and added securities
|
|
if self._securityChanges == None:
|
|
self._securityChanges = changes
|
|
else:
|
|
self._securityChanges.op_Addition(self._securityChanges, changes)
|
|
|
|
if any(security.Symbol.SecurityType == SecurityType.Option for security in changes.AddedSecurities):
|
|
return
|
|
|
|
for addedSecurity in changes.AddedSecurities:
|
|
options = self.OptionChainProvider.GetOptionContractList(addedSecurity.Symbol, self.Time)
|
|
options = sorted(options, key=lambda x: x.ID.Symbol)
|
|
|
|
option = next((option for option in options if option.ID.Date == self._expiration and option.ID.OptionRight == OptionRight.Call and option.ID.OptionStyle == OptionStyle.American), None)
|
|
|
|
self.AddOptionContract(option)
|
|
|
|
# just keep the first we got
|
|
if self._option == None:
|
|
self._option = option |