Michael Handschuh
b1b8da1e17
* Add underlying holdings to regression result handler details log When debugging option exercise/assignment issues it's useful to see the underlying holdings at the time the option contract fill event is processed. Also adds the full symbol string to the top of the order event section. The Symbol.Value was being logged via OrderEvent.ToString(), but it wasn't the full SecurityIdentifier - by including the full SID string it makes it easier to correlate fills over symbol rename boundaries. * Fix automatic option assignment from market simulation During the recent OptionExerciseOrder.Quantity refactor, this case was missed. Additionally, it was realized that there were no regression tests covering the automatic assignment via the market conditions simulation. This change introduces a regression algorithm that covers the automatic assignment of put/call options. * Update BasicOptionAssignmentSimulation._rand to be non-static If this value is static then we reuse the same Random instance for ALL regression tests, thereby defeating the purpose of using a well known seed number. This means we get different results based on the order execution of preceding algorithms. By making this an instance variable each algorithm will start with the same seed value, ensuring consistent runs between regression tests, either run as a suite or running a single algorithm in isolation.
123 lines
4.7 KiB
C#
123 lines
4.7 KiB
C#
/*
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* 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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*
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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm verifies automatic option contract assignment behavior.
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/// </summary>
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="filter selection" />
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public class OptionAssignmentRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security Stock;
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private Security CallOption;
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private Symbol CallOptionSymbol;
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private Security PutOption;
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private Symbol PutOptionSymbol;
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public override void Initialize()
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{
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SetStartDate(2015, 12, 23);
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SetEndDate(2015, 12, 24);
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SetCash(100000);
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Stock = AddEquity("GOOG", Resolution.Minute);
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var contracts = OptionChainProvider.GetOptionContractList(Stock.Symbol, UtcTime).ToList();
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PutOptionSymbol = contracts
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.Where(c => c.ID.OptionRight == OptionRight.Put)
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.OrderBy(c => c.ID.Date)
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.First(c => c.ID.StrikePrice == 800m);
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CallOptionSymbol = contracts
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.Where(c => c.ID.OptionRight == OptionRight.Call)
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.OrderBy(c => c.ID.Date)
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.First(c => c.ID.StrikePrice == 600m);
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PutOption = AddOptionContract(PutOptionSymbol);
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CallOption = AddOptionContract(CallOptionSymbol);
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}
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public override void OnData(Slice data)
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{
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if (!Portfolio.Invested && Stock.Price != 0 && PutOption.Price != 0 && CallOption.Price != 0)
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{
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// this gets executed on start and after each auto-assignment, finally ending with expiration assignment
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MarketOrder(PutOptionSymbol, -1);
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MarketOrder(CallOptionSymbol, -1);
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}
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}
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public bool CanRunLocally { get; } = true;
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public Language[] Languages { get; } = {Language.CSharp};
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "22"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$12.00"},
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{"Fitness Score", "0.5"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "-50.218"},
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{"Portfolio Turnover", "6.713"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "-1597098916"}
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};
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}
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}
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