Martin-Molinero
592d037085
* Fix delisted liquidation orders being cancelled - Place delisted liquidation orders 10 min before market closes of 10 min before the end of the delisting warning date. Adding regression test and unit tests. Updating existing tests. * Fix failing python option unit tests * Fix bug where positions would be open delisting liquidation * Fix universe selection and delisting - Delisting will happen ASAP for all types. Giving priority to close positions on derivates first - Fix bug in universe selection where OptionChain would remove underlying even if holding a position in derivate. - Updating regression tests statistics * Add unit test, fix unit test expected stats
96 lines
4.2 KiB
Python
96 lines
4.2 KiB
Python
from datetime import datetime, timedelta
|
|
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Data import *
|
|
from QuantConnect.Data.Market import *
|
|
from QuantConnect.Orders import *
|
|
from QuantConnect import *
|
|
|
|
### <summary>
|
|
### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
|
|
### </summary>
|
|
class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
self.invested = False
|
|
self.liquidated = 0
|
|
self.delistingsReceived = 0
|
|
|
|
self.expectedExpiryWarningTime = datetime(2020, 6, 19)
|
|
self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
|
|
self.expectedLiquidationTime = datetime(2020, 6, 19, 0, 1, 0)
|
|
|
|
self.SetStartDate(2020, 1, 5)
|
|
self.SetEndDate(2020, 12, 1)
|
|
self.SetCash(100000)
|
|
|
|
es = Symbol.CreateFuture(
|
|
"ES",
|
|
Market.CME,
|
|
datetime(2020, 6, 19)
|
|
)
|
|
|
|
esOption = Symbol.CreateOption(
|
|
es,
|
|
Market.CME,
|
|
OptionStyle.American,
|
|
OptionRight.Put,
|
|
3400.0,
|
|
datetime(2020, 6, 19)
|
|
)
|
|
|
|
self.esFuture = self.AddFutureContract(es, Resolution.Minute).Symbol
|
|
self.esFutureOption = self.AddFutureOptionContract(esOption, Resolution.Minute).Symbol
|
|
|
|
def OnData(self, data: Slice):
|
|
for delisting in data.Delistings.Values:
|
|
self.delistingsReceived += 1
|
|
|
|
if delisting.Type == DelistingType.Warning and delisting.Time != self.expectedExpiryWarningTime:
|
|
raise AssertionError(f"Expiry warning with time {delisting.Time} but is expected to be {self.expectedExpiryWarningTime}")
|
|
|
|
if delisting.Type == DelistingType.Warning and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
|
|
raise AssertionError(f"Delisting warning received at an unexpected date: {self.Time} - expected {delisting.Time}")
|
|
|
|
if delisting.Type == DelistingType.Delisted and delisting.Time != self.expectedExpiryDelistingTime:
|
|
raise AssertionError(f"Delisting occurred at unexpected time: {delisting.Time} - expected: {self.expectedExpiryDelistingTime}")
|
|
|
|
if delisting.Type == DelistingType.Delisted and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
|
|
raise AssertionError(f"Delisting notice received at an unexpected date: {self.Time} - expected {delisting.Time}")
|
|
|
|
if not self.invested and \
|
|
(self.esFuture in data.Bars or self.esFuture in data.QuoteBars) and \
|
|
(self.esFutureOption in data.Bars or self.esFutureOption in data.QuoteBars):
|
|
|
|
self.invested = True
|
|
|
|
self.MarketOrder(self.esFuture, 1)
|
|
self.MarketOrder(self.esFutureOption, 1)
|
|
|
|
def OnOrderEvent(self, orderEvent: OrderEvent):
|
|
if orderEvent.Direction != OrderDirection.Sell or orderEvent.Status != OrderStatus.Filled:
|
|
return
|
|
|
|
# * Future Liquidation
|
|
# * Future Option Exercise
|
|
# * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
|
|
self.liquidated += 1
|
|
if orderEvent.Symbol.SecurityType == SecurityType.FutureOption and self.expectedLiquidationTime != self.Time:
|
|
raise AssertionError(f"Expected to liquidate option {orderEvent.Symbol} at {self.expectedLiquidationTime}, instead liquidated at {self.Time}")
|
|
|
|
if orderEvent.Symbol.SecurityType == SecurityType.Future and \
|
|
(self.expectedLiquidationTime - timedelta(minutes=1)) != self.Time and \
|
|
self.expectedLiquidationTime != self.Time:
|
|
|
|
raise AssertionError(f"Expected to liquidate future {orderEvent.Symbol} at {self.expectedLiquidationTime} (+1 minute), instead liquidated at {self.Time}")
|
|
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
if not self.invested:
|
|
raise AssertionError("Never invested in ES futures and FOPs")
|
|
|
|
if self.delistingsReceived != 4:
|
|
raise AssertionError(f"Expected 4 delisting events received, found: {self.delistingsReceived}")
|
|
|
|
if self.liquidated != 2:
|
|
raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")
|