Gerardo Salazar
d5aa9e65f3
* Adds FuturesOptionsUnderlyingMapper
This adds a mapper for Futures options that have a different
contract month between the FOP and the underlying future, as is
observed in the contracts ZB, ZC, ZS, ZT, ZW, HG, SI, GC.
An example of this is GC (e.g. OGH21 -> GCJ21). Other contracts follow
different rules, which have been included as part of this commit.
* Adds unit tests for FuturesOptionsUnderlyingMapper
* Adds unit and regresssion tests for underlying Futures mapping for FOPs
* Addresses review and adds FuturesListings
* Removes dependency on IFuturesChainProvider in
FuturesOptionsUnderlyingMapper
* Fixes bugs related to FuturesOptionsUnderlyingMapper and incorrect
results
* Modifies misc. code to handle new results correctly from FOPs
underlying mapper
* Makes FOPs underlying mapper static, and makes other methods private
* Adds new tests for FuturesListings
* Addresses review: code cleanup
* Address review: Makes arrays to List in FuturesListing private methods
75 lines
3.2 KiB
Python
75 lines
3.2 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 System import *
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from System.Reflection import *
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import QuantConnect
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from QuantConnect import *
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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.Securities import *
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from QuantConnect.Securities.Future import *
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from QuantConnect import Market
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### <summary>
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### This regression test tests for the loading of futures options contracts with a contract month of 2020-03 can live
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### and be loaded from the same ZIP file that the 2020-04 contract month Future Option contract lives in.
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### </summary>
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class FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.expectedSymbols = {
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self._createOption(datetime(2020, 3, 26), OptionRight.Call, 1650.0): False,
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self._createOption(datetime(2020, 3, 26), OptionRight.Put, 1540.0): False,
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self._createOption(datetime(2020, 2, 25), OptionRight.Call, 1600.0): False,
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self._createOption(datetime(2020, 2, 25), OptionRight.Put, 1545.0): False
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}
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 1, 6)
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goldFutures = self.AddFuture("GC", Resolution.Minute, QuantConnect.Market.COMEX)
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goldFutures.SetFilter(0, 365)
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self.AddFutureOption(goldFutures.Symbol)
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def OnData(self, data: Slice):
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for symbol in data.QuoteBars.Keys:
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if symbol in self.expectedSymbols:
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invested = self.expectedSymbols[symbol]
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if not invested:
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self.MarketOrder(symbol, 1)
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self.expectedSymbols[symbol] = True
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def OnEndOfAlgorithm(self):
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notEncountered = [str(k) for k,v in self.expectedSymbols.items() if not v]
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if any(notEncountered):
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raise AggregateException(f"Expected all Symbols encountered and invested in, but the following were not found: {', '.join(notEncountered)}")
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if not self.Portfolio.Invested:
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raise AggregateException("Expected holdings at the end of algorithm, but none were found.")
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def _createOption(self, expiry: datetime, optionRight: OptionRight, strikePrice: float) -> Symbol:
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return QuantConnect.Symbol.CreateOption(
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QuantConnect.Symbol.CreateFuture("GC", QuantConnect.Market.COMEX, datetime(2020, 4, 28)),
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QuantConnect.Market.COMEX,
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OptionStyle.American,
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optionRight,
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strikePrice,
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expiry
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) |