quantconnect--lean/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.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.Algorithm.Framework;
using QuantConnect.Algorithm.Framework.Alphas;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Algorithm.Framework.Risk;
using QuantConnect.Algorithm.Framework.Selection;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Securities.Option;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Basic template options framework algorithm uses framework components to define an algorithm
    /// that trades options.
    /// </summary>
    public class BasicTemplateOptionsFrameworkAlgorithm : QCAlgorithmFramework
    {
        public override void Initialize()
        {
            UniverseSettings.Resolution = Resolution.Minute;

            SetStartDate(2014, 06, 05);
            SetEndDate(2014, 06, 06);
            SetCash(100000);

            // set framework models
            SetUniverseSelection(new EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(SelectOptionChainSymbols));
            SetAlpha(new ConstantOptionContractAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromHours(0.5)));
            SetPortfolioConstruction(new SingleSharePortofioConstructionModel());
            SetExecution(new ImmediateExecutionModel());
            SetRiskManagement(new NullRiskManagementModel());
        }

        public override void OnOrderEvent(OrderEvent fill)
        {
            Log($"{UtcTime}:: {fill}");
        }

        public override void OnSecuritiesChanged(SecurityChanges changes)
        {
            Log($"{UtcTime}:: {changes}");
        }

        // option symbol universe selection function
        private static IEnumerable<Symbol> SelectOptionChainSymbols(DateTime utcTime)
        {
            var newYorkTime = utcTime.ConvertFromUtc(TimeZones.NewYork);
            if (newYorkTime.Date < new DateTime(2014, 06, 06))
            {
                yield return QuantConnect.Symbol.Create("TWX", SecurityType.Option, Market.USA, "?TWX");
            }

            if (newYorkTime.Date >= new DateTime(2014, 06, 06))
            {
                yield return QuantConnect.Symbol.Create("AAPL", SecurityType.Option, Market.USA, "?AAPL");
            }
        }

        /// <summary>
        /// Creates option chain universes that select only the earliest expiry ATM weekly put contract
        /// and runs a user defined optionChainSymbolSelector every day to enable choosing different option chains
        /// </summary>
        class EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel : OptionUniverseSelectionModel
        {
            public EarliestExpiringWeeklyAtTheMoneyPutOptionUniverseSelectionModel(Func<DateTime, IEnumerable<Symbol>> optionChainSymbolSelector)
                : base(TimeSpan.FromDays(1), optionChainSymbolSelector)
            {
            }

            /// <summary>
            /// Configure generated securities
            /// </summary>
            /// <param name="optionChain"></param>
            protected override void ConfigureOptionChainSecurity(Option optionChain)
            {
                // configure option chain filter to desired limit contracts
                optionChain.SetFilter(filter =>
                {
                    return filter
                        // limit options contracts to a maximum of 180 days in the future
                        .Strikes(+1, +1)
                        .Expiration(TimeSpan.Zero, TimeSpan.FromDays(7))
                        .WeeklysOnly()
                        .Contracts(contracts => contracts.Where(x => x.ID.OptionRight == OptionRight.Put))
                        .OnlyApplyFilterAtMarketOpen();
                });
            }
        }

        /// <summary>
        /// Implementation of a constant alpha model that only emits insights for option symbols
        /// </summary>
        class ConstantOptionContractAlphaModel : ConstantAlphaModel
        {
            public ConstantOptionContractAlphaModel(InsightType type, InsightDirection direction, TimeSpan period)
                : base(type, direction, period)
            {
            }

            protected override bool ShouldEmitInsight(DateTime utcTime, Symbol symbol)
            {
                // only emit alpha for option symbols and not underlying equity symbols
                if (symbol.SecurityType != SecurityType.Option)
                {
                    return false;
                }

                return base.ShouldEmitInsight(utcTime, symbol);
            }
        }

        /// <summary>
        /// Portoflio construction model that sets target quantities to 1 for up insights and -1 for down insights
        /// </summary>
        class SingleSharePortofioConstructionModel : IPortfolioConstructionModel
        {
            public IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithmFramework algorithm, Insight[] insights)
            {
                foreach (var insight in insights)
                {
                    yield return new PortfolioTarget(insight.Symbol, (int) insight.Direction);
                }
            }

            public void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
            {
                // no need to track anything here
            }
        }
    }
}