quantconnect--lean/Algorithm.CSharp/LongAndShortStrangleStrategiesAlgorithm.cs

/*
 * 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.
 *
*/

using System;
using System.Collections.Generic;
using System.Linq;

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Securities.Option;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This algorithm demonstrate how to use OptionStrategies helper class to batch send orders for common strategies.
    /// In this case, the algorithm tests the Strangle and Short Strangle strategies.
    /// </summary>
    public class LongAndShortStrangleStrategiesAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Symbol _optionSymbol;
        private OptionStrategy _strangle;
        private OptionStrategy _shortStrangle;

        public override void Initialize()
        {
            SetStartDate(2015, 12, 24);
            SetEndDate(2015, 12, 24);
            SetCash(1000000);

            var option = AddOption("GOOG");
            _optionSymbol = option.Symbol;

            option.SetFilter(-2, +2, 0, 180);

            SetBenchmark("GOOG");
        }

        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested)
            {
                if (slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
                {
                    var contracts = chain
                        .OrderBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
                        .ThenByDescending(x => x.Expiry)
                        .GroupBy(x => x.Expiry);


                    OptionContract callContract = null;
                    OptionContract putContract = null;
                    foreach (var group in contracts)
                    {
                        var callContracts = group.Where(x => x.Right == OptionRight.Call).OrderByDescending(x => x.Strike).ToList();
                        var putContracts = group.Where(x => x.Right == OptionRight.Put).OrderBy(x => x.Strike).ToList();

                        if (callContracts.Count > 0 && putContracts.Count > 0 && callContracts[0].Strike > putContracts[0].Strike)
                        {
                            callContract = callContracts[0];
                            putContract = putContracts[0];
                            break;
                        }
                    }

                    if (callContract != null && putContract != null)
                    {
                        _strangle = OptionStrategies.Strangle(_optionSymbol, callContract.Strike, putContract.Strike, callContract.Expiry);
                        _shortStrangle = OptionStrategies.ShortStrangle(_optionSymbol, callContract.Strike, putContract.Strike, callContract.Expiry);
                        Buy(_strangle, 2);
                    }
                }
            }
            else
            {
                // Verify that the strategy was traded
                var positionGroup = Portfolio.Positions.Groups.Single();

                var buyingPowerModel = positionGroup.BuyingPowerModel as OptionStrategyPositionGroupBuyingPowerModel;
                if (buyingPowerModel == null)
                {
                    throw new Exception($@"Expected position group buying power model type: {nameof(OptionStrategyPositionGroupBuyingPowerModel)
                        }. Actual: {positionGroup.BuyingPowerModel.GetType()}");
                }

                if (positionGroup.Positions.Count() != 2)
                {
                    throw new Exception($"Expected position group to have 2 positions. Actual: {positionGroup.Positions.Count()}");
                }

                var callPosition = positionGroup.Positions.Single(x => x.Symbol.ID.OptionRight == OptionRight.Call);
                var putPosition = positionGroup.Positions.Single(x => x.Symbol.ID.OptionRight == OptionRight.Put);

                var expectedCallPositionQuantity = 2;
                var expectedPutPositionQuantity = 2;

                if (callPosition.Quantity != expectedCallPositionQuantity)
                {
                    throw new Exception($@"Expected call position quantity to be {expectedCallPositionQuantity}. Actual: {callPosition.Quantity}");
                }

                if (putPosition.Quantity != expectedPutPositionQuantity)
                {
                    throw new Exception($@"Expected put position quantity to be {expectedPutPositionQuantity}. Actual: {putPosition.Quantity}");
                }

                // Now we should be able to close the position using the inverse strategy (a short strangle)
                Buy(_shortStrangle, 2);

                // We can quit now, no more testing required
                Quit();
            }
        }

        public override void OnEndOfAlgorithm()
        {
            if (Portfolio.Invested)
            {
                throw new Exception("Expected no holdings at end of algorithm");
            }

            var ordersCount = Transactions.GetOrders((order) => order.Status == OrderStatus.Filled).Count();
            if (ordersCount != 4)
            {
                throw new Exception("Expected 4 orders to have been submitted and filled, 2 for buying the strangle and 2 for the liquidation." +
                    $" Actual {ordersCount}");
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            Debug(orderEvent.ToString());
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public Language[] Languages { get; } = { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 4494;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "4"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$4.00"},
            {"Estimated Strategy Capacity", "$15000.00"},
            {"Lowest Capacity Asset", "GOOCV 30AKMELSHQVZA|GOOCV VP83T1ZUHROL"},
            {"Portfolio Turnover", "4.21%"},
            {"OrderListHash", "1f7c12a505b1c6e8f0bc6f5aa217e57b"}
        };
    }
}