Martin Molinero
235 lines
12 KiB
C#
235 lines
12 KiB
C#
/*
|
|
* 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.UniverseSelection;
|
|
using QuantConnect.Util;
|
|
using QuantConnect.Interfaces;
|
|
|
|
// ReSharper disable InvokeAsExtensionMethod -- .net 4.7.2 added ToHashSet and it looks like our version of mono has it as well causing ambiguity in the cloud
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
public class AddRemoveOptionUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private const string UnderlyingTicker = "GOOG";
|
|
public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
|
|
public readonly Symbol OptionChainSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
|
|
private readonly HashSet<Symbol> _expectedSecurities = new HashSet<Symbol>();
|
|
private readonly HashSet<Symbol> _expectedData = new HashSet<Symbol>();
|
|
private readonly HashSet<Symbol> _expectedUniverses = new HashSet<Symbol>();
|
|
private bool _expectUniverseSubscription;
|
|
|
|
// order of expected contract additions as price moves
|
|
private int _expectedContractIndex;
|
|
private readonly List<Symbol> _expectedContracts = new List<Symbol>
|
|
{
|
|
SymbolRepresentation.ParseOptionTickerOSI("GOOG 151224P00747500"),
|
|
SymbolRepresentation.ParseOptionTickerOSI("GOOG 151224P00750000"),
|
|
SymbolRepresentation.ParseOptionTickerOSI("GOOG 151224P00752500")
|
|
};
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2015, 12, 24);
|
|
SetEndDate(2015, 12, 24);
|
|
|
|
var goog = AddEquity(UnderlyingTicker);
|
|
|
|
// expect GOOG equity
|
|
_expectedData.Add(goog.Symbol);
|
|
_expectedSecurities.Add(goog.Symbol);
|
|
// expect user defined universe holding GOOG equity
|
|
_expectedUniverses.Add(UserDefinedUniverse.CreateSymbol(SecurityType.Equity, Market.USA));
|
|
}
|
|
|
|
public override void OnData(Slice data)
|
|
{
|
|
// verify expectations
|
|
if (SubscriptionManager.Subscriptions.Count(x => x.Symbol == OptionChainSymbol)
|
|
!= (_expectUniverseSubscription ? 1 : 0))
|
|
{
|
|
Log($"SubscriptionManager.Subscriptions: {string.Join(" -- ", SubscriptionManager.Subscriptions)}");
|
|
throw new Exception($"Unexpected {OptionChainSymbol} subscription presence");
|
|
}
|
|
if (!data.ContainsKey(Underlying))
|
|
{
|
|
// TODO : In fact, we're unable to properly detect whether or not we auto-added or it was manually added
|
|
// this is because when we auto-add the underlying we don't mark it as an internal security like we do with other auto adds
|
|
// so there's currently no good way to remove the underlying equity without invoking RemoveSecurity(underlying) manually
|
|
// from the algorithm, otherwise we may remove it incorrectly. Now, we could track MORE state, but it would likely be a duplication
|
|
// of the internal flag's purpose, so kicking this issue for now with a big fat note here about it :) to be considerd for any future
|
|
// refactorings of how we manage subscription/security data and track various aspects about the security (thinking a flags enum with
|
|
// things like manually added, auto added, internal, and any other boolean state we need to track against a single security)
|
|
throw new Exception("The underlying equity data should NEVER be removed in this algorithm because it was manually added");
|
|
}
|
|
if (_expectedSecurities.AreDifferent(LinqExtensions.ToHashSet(Securities.Keys)))
|
|
{
|
|
var expected = string.Join(Environment.NewLine, _expectedSecurities.OrderBy(s => s.ToString()));
|
|
var actual = string.Join(Environment.NewLine, Securities.Keys.OrderBy(s => s.ToString()));
|
|
throw new Exception($"{Time}:: Detected differences in expected and actual securities{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
|
|
}
|
|
if (_expectedUniverses.AreDifferent(LinqExtensions.ToHashSet(UniverseManager.Keys)))
|
|
{
|
|
var expected = string.Join(Environment.NewLine, _expectedUniverses.OrderBy(s => s.ToString()));
|
|
var actual = string.Join(Environment.NewLine, UniverseManager.Keys.OrderBy(s => s.ToString()));
|
|
throw new Exception($"{Time}:: Detected differences in expected and actual universes{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
|
|
}
|
|
if (_expectedData.AreDifferent(LinqExtensions.ToHashSet(data.Keys)))
|
|
{
|
|
var expected = string.Join(Environment.NewLine, _expectedData.OrderBy(s => s.ToString()));
|
|
var actual = string.Join(Environment.NewLine, data.Keys.OrderBy(s => s.ToString()));
|
|
throw new Exception($"{Time}:: Detected differences in expected and actual slice data keys{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
|
|
}
|
|
|
|
// 10AM add GOOG option chain
|
|
if (Time.TimeOfDay.Hours == 10 && Time.TimeOfDay.Minutes == 0)
|
|
{
|
|
if (Securities.ContainsKey(OptionChainSymbol))
|
|
{
|
|
throw new Exception("The option chain security should not have been added yet");
|
|
}
|
|
|
|
var googOptionChain = AddOption(UnderlyingTicker);
|
|
googOptionChain.SetFilter(u =>
|
|
{
|
|
// find first put above market price
|
|
return u.IncludeWeeklys()
|
|
.Strikes(+1, +1)
|
|
.Expiration(TimeSpan.Zero, TimeSpan.FromDays(1))
|
|
.Contracts(c => c.Where(s => s.ID.OptionRight == OptionRight.Put));
|
|
});
|
|
|
|
_expectedSecurities.Add(OptionChainSymbol);
|
|
_expectedUniverses.Add(OptionChainSymbol);
|
|
_expectUniverseSubscription = true;
|
|
}
|
|
|
|
// 11:30AM remove GOOG option chain
|
|
if (Time.TimeOfDay.Hours == 11 && Time.TimeOfDay.Minutes == 30)
|
|
{
|
|
RemoveSecurity(OptionChainSymbol);
|
|
// remove contracts from expected data
|
|
_expectedData.RemoveWhere(s => _expectedContracts.Contains(s));
|
|
// remove option chain universe from expected universes
|
|
_expectedUniverses.Remove(OptionChainSymbol);
|
|
// OptionChainSymbol universe subscription should not be present
|
|
_expectUniverseSubscription = false;
|
|
}
|
|
}
|
|
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
if (changes.AddedSecurities.Count > 1)
|
|
{
|
|
// added event fired for underlying since it was added to the option chain universe
|
|
if (changes.AddedSecurities.All(s => s.Symbol != Underlying))
|
|
{
|
|
var securities = string.Join(Environment.NewLine, changes.AddedSecurities.Select(s => s.Symbol));
|
|
throw new Exception($"This algorithm intends to add a single security at a time but added: {changes.AddedSecurities.Count}{Environment.NewLine}{securities}");
|
|
}
|
|
}
|
|
|
|
if (changes.AddedSecurities.Any())
|
|
{
|
|
foreach (var added in changes.AddedSecurities)
|
|
{
|
|
// any option security additions for this algorithm should match the expected contracts
|
|
if (added.Symbol.SecurityType == SecurityType.Option)
|
|
{
|
|
var expectedContract = _expectedContracts[_expectedContractIndex];
|
|
if (added.Symbol != expectedContract)
|
|
{
|
|
throw new Exception($"Expected option contract {expectedContract} to be added but received {added.Symbol}");
|
|
}
|
|
|
|
_expectedContractIndex++;
|
|
|
|
// purchase for regression statistics
|
|
MarketOrder(added.Symbol, 1);
|
|
}
|
|
|
|
_expectedData.Add(added.Symbol);
|
|
_expectedSecurities.Add(added.Symbol);
|
|
}
|
|
}
|
|
|
|
// security removal happens exactly once in this algorithm when the option chain is removed
|
|
// and all child subscriptions (option contracts) should be removed at the same time
|
|
if (changes.RemovedSecurities.Any(x => x.Symbol.SecurityType == SecurityType.Option))
|
|
{
|
|
// receive removed event next timestep at 11:31AM
|
|
if (Time.TimeOfDay.Hours != 11 || Time.TimeOfDay.Minutes != 31)
|
|
{
|
|
throw new Exception($"Expected option contracts to be removed at 11:31AM, instead removed at: {Time}");
|
|
}
|
|
|
|
if (changes.RemovedSecurities
|
|
.Where(x => x.Symbol.SecurityType == SecurityType.Option)
|
|
.ToHashSet(s => s.Symbol)
|
|
.AreDifferent(LinqExtensions.ToHashSet(_expectedContracts)))
|
|
{
|
|
throw new Exception("Expected removed securities to equal expected contracts added");
|
|
}
|
|
}
|
|
|
|
if (Securities.ContainsKey(Underlying))
|
|
{
|
|
Console.WriteLine($"{Time:o}:: PRICE:: {Securities[Underlying].Price} CHANGES:: {changes}");
|
|
}
|
|
}
|
|
|
|
/// <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 };
|
|
|
|
/// <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", "6"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "-0.21%"},
|
|
{"Compounding Annual Return", "-90.078%"},
|
|
{"Drawdown", "0.600%"},
|
|
{"Expectancy", "-1"},
|
|
{"Net Profit", "-0.631%"},
|
|
{"Sharpe Ratio", "-11.225"},
|
|
{"Loss Rate", "100%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0.071"},
|
|
{"Annual Variance", "0.005"},
|
|
{"Information Ratio", "0"},
|
|
{"Tracking Error", "0"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$6.00"}
|
|
};
|
|
}
|
|
}
|