Martin-Molinero
3ccf428498
* Adjust delisting liquidation time - Adjust delisting liquidation time to 15 min before market closes. Adding unit tests. Updating existing. - Handle `Statistics.CompoundingAnnualPerformance` invalid calculation to avoid exception. - AlgorithmManager will not handle delisting events in live trading - Fix bug where due to a split driven liquidation matching delisting date a position in the option would remain open. Reproduced by `BasicTemplateOptionsFrameworkAlgorithm` * Address review - Address review add documentation on delisting offset span
134 lines
7.0 KiB
Python
134 lines
7.0 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, timedelta
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import clr
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from System import *
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from System.Reflection import *
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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 algorithm tests In The Money (ITM) future option expiry for calls.
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### We expect 3 orders from the algorithm, which are:
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###
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### * Initial entry, buy ES Call Option (expiring ITM)
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### * Option exercise, receiving ES future contracts
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### * Future contract liquidation, due to impending expiry
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###
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### Additionally, we test delistings for future options and assert that our
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### portfolio holdings reflect the orders the algorithm has submitted.
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### </summary>
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class FutureOptionCallITMExpiryRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 6, 30)
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self.es19m20 = self.AddFutureContract(
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Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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datetime(2020, 6, 19)
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),
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Resolution.Minute).Symbol
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# Select a future option expiring ITM, and adds it to the algorithm.
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self.esOption = self.AddFutureOptionContract(
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list(
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sorted([x for x in self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time) if x.ID.StrikePrice <= 3200.0 and x.ID.OptionRight == OptionRight.Call], key=lambda x: x.ID.StrikePrice, reverse=True)
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)[0], Resolution.Minute).Symbol
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self.expectedContract = Symbol.CreateOption(self.es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200.0, datetime(2020, 6, 19))
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if self.esOption != self.expectedContract:
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raise AssertionError(f"Contract {self.expectedContract} was not found in the chain")
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.AfterMarketOpen(self.es19m20, 1), self.ScheduleCallback)
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def ScheduleCallback(self):
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self.MarketOrder(self.esOption, 1)
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def OnData(self, data: Slice):
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# Assert delistings, so that we can make sure that we receive the delisting warnings at
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# the expected time. These assertions detect bug #4872
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for delisting in data.Delistings.Values:
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if delisting.Type == DelistingType.Warning:
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if delisting.Time != datetime(2020, 6, 19):
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raise AssertionError(f"Delisting warning issued at unexpected date: {delisting.Time}")
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elif delisting.Type == DelistingType.Delisted:
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if delisting.Time != datetime(2020, 6, 20):
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raise AssertionError(f"Delisting happened at unexpected date: {delisting.Time}")
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Status != OrderStatus.Filled:
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# There's lots of noise with OnOrderEvent, but we're only interested in fills.
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return
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if not self.Securities.ContainsKey(orderEvent.Symbol):
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raise AssertionError(f"Order event Symbol not found in Securities collection: {orderEvent.Symbol}")
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security = self.Securities[orderEvent.Symbol]
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if security.Symbol == self.es19m20:
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self.AssertFutureOptionOrderExercise(orderEvent, security, self.Securities[self.expectedContract])
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elif security.Symbol == self.expectedContract:
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# Expected contract is ES19H21 Call Option expiring ITM @ 3250
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self.AssertFutureOptionContractOrder(orderEvent, security)
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else:
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raise AssertionError(f"Received order event for unknown Symbol: {orderEvent.Symbol}")
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self.Log(f"{self.Time} -- {orderEvent.Symbol} :: Price: {self.Securities[orderEvent.Symbol].Holdings.Price} Qty: {self.Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}")
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def AssertFutureOptionOrderExercise(self, orderEvent: OrderEvent, future: Security, optionContract: Security):
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expectedLiquidationTimeUtc = datetime(2020, 6, 19, 20, 0, 0)
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if orderEvent.Direction == OrderDirection.Sell and future.Holdings.Quantity != 0:
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# We expect the contract to have been liquidated immediately
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raise AssertionError(f"Did not liquidate existing holdings for Symbol {future.Symbol}")
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if orderEvent.Direction == OrderDirection.Sell and orderEvent.UtcTime.replace(tzinfo=None) != expectedLiquidationTimeUtc:
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raise AssertionError(f"Liquidated future contract, but not at the expected time. Expected: {expectedLiquidationTimeUtc} - found {orderEvent.UtcTime.replace(tzinfo=None)}");
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# No way to detect option exercise orders or any other kind of special orders
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# other than matching strings, for now.
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if "Option Exercise" in orderEvent.Message:
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if orderEvent.FillPrice != 3200.0:
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raise AssertionError("Option did not exercise at expected strike price (3200)")
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if future.Holdings.Quantity != 1:
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# Here, we expect to have some holdings in the underlying, but not in the future option anymore.
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raise AssertionError(f"Exercised option contract, but we have no holdings for Future {future.Symbol}")
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if optionContract.Holdings.Quantity != 0:
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raise AssertionError(f"Exercised option contract, but we have holdings for Option contract {optionContract.Symbol}")
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def AssertFutureOptionContractOrder(self, orderEvent: OrderEvent, option: Security):
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if orderEvent.Direction == OrderDirection.Buy and option.Holdings.Quantity != 1:
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raise AssertionError(f"No holdings were created for option contract {option.Symbol}")
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if orderEvent.Direction == OrderDirection.Sell and option.Holdings.Quantity != 0:
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raise AssertionError(f"Holdings were found after a filled option exercise")
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if "Exercise" in orderEvent.Message and option.Holdings.Quantity != 0:
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raise AssertionError(f"Holdings were found after exercising option contract {option.Symbol}")
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.ID) for i in self.Portfolio.Keys])}")
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