Colton Sellers
20910ca2dc
* Remove regression references to non-existant Python versions * Adjust regressions estimated capacity not adjusted by #5389 * Adjusts regression algorithms so that they pass (Index/Index Options) * Changes start/end date on BasicTemplateIndexAlgorithm * Changes option pricing model to BlackScholes in IndexOptionCallITMGreeksExpiryRegressionAlgorithm - The root cause of why there are no greeks at times for these options was identified. It is most likely due to the underlying's VolatilityModel not having had enough data to be "warmed up", which means it will return a standard deviation of zero to the option pricing model, rendering most metrics as NaN. * Adds missing index/index options regression algorithms - Regression algorithms are now 1-1 between C# and Python for Indexes/Index options. All regression tests are now passing * Fixes broken BasicTemplateIndex regression algorithm * Previously traded SPY, but because we have no SPY data in Lean master, I instead opted for index options, since data for those dates is already included * Deal with weekend for breaking test case * Adjust DefaultEndDate test to always pass * Check todays date for open Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
110 lines
6.0 KiB
Python
110 lines
6.0 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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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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from QuantConnect import *
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### <summary>
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### This regression algorithm tests In The Money (ITM) index option expiry for puts.
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### We expect 2 orders from the algorithm, which are:
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###
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### * Initial entry, buy ES Put Option (expiring ITM) (buy, qty 1)
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### * Option exercise, receiving cash (sell, qty -1)
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###
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### Additionally, we test delistings for index 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 IndexOptionPutITMExpiryRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 31)
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self.spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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# Select a index option expiring ITM, and adds it to the algorithm.
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self.spxOption = list(self.OptionChainProvider.GetOptionContractList(self.spx, self.Time))
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self.spxOption = [i for i in self.spxOption if i.ID.StrikePrice >= 4200 and i.ID.OptionRight == OptionRight.Put and i.ID.Date.year == 2021 and i.ID.Date.month == 1]
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self.spxOption = list(sorted(self.spxOption, key=lambda x: x.ID.StrikePrice))[0]
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self.spxOption = self.AddIndexOptionContract(self.spxOption, Resolution.Minute).Symbol
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self.expectedContract = Symbol.CreateOption(self.spx, Market.USA, OptionStyle.European, OptionRight.Put, 4200, datetime(2021, 1, 15))
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if self.spxOption != self.expectedContract:
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raise Exception(f"Contract {self.expectedContract} was not found in the chain")
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.AfterMarketOpen(self.spx, 1), lambda: self.MarketOrder(self.spxOption, 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(2021, 1, 15):
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raise Exception(f"Delisting warning issued at unexpected date: {delisting.Time}")
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if delisting.Type == DelistingType.Delisted:
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if delisting.Time != datetime(2021, 1, 16):
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raise Exception(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 orderEvent.Symbol not in self.Securities:
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raise Exception(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.spx:
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self.AssertIndexOptionOrderExercise(orderEvent, security, self.Securities[self.expectedContract])
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elif security.Symbol == self.expectedContract:
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self.AssertIndexOptionContractOrder(orderEvent, security)
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else:
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raise Exception(f"Received order event for unknown Symbol: {orderEvent.Symbol}")
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def AssertIndexOptionOrderExercise(self, orderEvent: OrderEvent, index: Security, optionContract: Security):
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expectedLiquidationTimeUtc = datetime(2021, 1, 15)
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if orderEvent.Direction == OrderDirection.Buy and orderEvent.UtcTime != expectedLiquidationTimeUtc:
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raise Exception(f"Liquidated index option contract, but not at the expected time. Expected: {expectedLiquidationTimeUtc} - found {orderEvent.UtcTime}")
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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 != 3300:
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raise Exception("Option did not exercise at expected strike price (3300)")
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if optionContract.Holdings.Quantity != 0:
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raise Exception(f"Exercised option contract, but we have holdings for Option contract {optionContract.Symbol}")
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def AssertIndexOptionContractOrder(self, orderEvent: OrderEvent, option: Security):
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if orderEvent.Direction == OrderDirection.Buy and option.Holdings.Quantity != 1:
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raise Exception(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 Exception(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 Exception(f"Holdings were found after exercising option contract {option.Symbol}")
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### <summary>
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### Ran at the end of the algorithm to ensure the algorithm has no holdings
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### </summary>
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### <exception cref="Exception">The algorithm has holdings</exception>
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise Exception(f"Expected no holdings at end of algorithm, but are invested in: {', '.join(self.Portfolio.Keys)}") |