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
96 lines
4.2 KiB
Python
96 lines
4.2 KiB
Python
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 import *
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### <summary>
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### Tests delistings for Futures and Futures Options to ensure that they are delisted at the expected times.
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### </summary>
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class FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.invested = False
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self.liquidated = 0
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self.delistingsReceived = 0
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self.expectedExpiryWarningTime = datetime(2020, 6, 19)
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self.expectedExpiryDelistingTime = datetime(2020, 6, 20)
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self.expectedLiquidationTime = datetime(2020, 6, 19, 16, 0, 0)
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 12, 1)
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self.SetCash(100000)
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es = Symbol.CreateFuture(
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"ES",
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Market.CME,
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datetime(2020, 6, 19)
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)
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esOption = Symbol.CreateOption(
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es,
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Market.CME,
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OptionStyle.American,
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OptionRight.Put,
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3400.0,
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datetime(2020, 6, 19)
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)
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self.esFuture = self.AddFutureContract(es, Resolution.Minute).Symbol
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self.esFutureOption = self.AddFutureOptionContract(esOption, Resolution.Minute).Symbol
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def OnData(self, data: Slice):
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for delisting in data.Delistings.Values:
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self.delistingsReceived += 1
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if delisting.Type == DelistingType.Warning and delisting.Time != self.expectedExpiryWarningTime:
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raise AssertionError(f"Expiry warning with time {delisting.Time} but is expected to be {self.expectedExpiryWarningTime}")
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if delisting.Type == DelistingType.Warning and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
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raise AssertionError(f"Delisting warning received at an unexpected date: {self.Time} - expected {delisting.Time}")
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if delisting.Type == DelistingType.Delisted and delisting.Time != self.expectedExpiryDelistingTime:
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raise AssertionError(f"Delisting occurred at unexpected time: {delisting.Time} - expected: {self.expectedExpiryDelistingTime}")
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if delisting.Type == DelistingType.Delisted and delisting.Time != datetime(self.Time.year, self.Time.month, self.Time.day):
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raise AssertionError(f"Delisting notice received at an unexpected date: {self.Time} - expected {delisting.Time}")
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if not self.invested and \
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(self.esFuture in data.Bars or self.esFuture in data.QuoteBars) and \
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(self.esFutureOption in data.Bars or self.esFutureOption in data.QuoteBars):
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self.invested = True
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self.MarketOrder(self.esFuture, 1)
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self.MarketOrder(self.esFutureOption, 1)
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def OnOrderEvent(self, orderEvent: OrderEvent):
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if orderEvent.Direction != OrderDirection.Sell or orderEvent.Status != OrderStatus.Filled:
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return
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# * Future Liquidation
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# * Future Option Exercise
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# * We expect NO Underlying Future Liquidation because we already hold a Long future position so the FOP Put selling leaves us breakeven
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self.liquidated += 1
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if orderEvent.Symbol.SecurityType == SecurityType.FutureOption and self.expectedLiquidationTime != self.Time:
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raise AssertionError(f"Expected to liquidate option {orderEvent.Symbol} at {self.expectedLiquidationTime}, instead liquidated at {self.Time}")
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if orderEvent.Symbol.SecurityType == SecurityType.Future and \
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(self.expectedLiquidationTime - timedelta(minutes=1)) != self.Time and \
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self.expectedLiquidationTime != self.Time:
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raise AssertionError(f"Expected to liquidate future {orderEvent.Symbol} at {self.expectedLiquidationTime} (+1 minute), instead liquidated at {self.Time}")
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def OnEndOfAlgorithm(self):
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if not self.invested:
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raise AssertionError("Never invested in ES futures and FOPs")
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if self.delistingsReceived != 4:
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raise AssertionError(f"Expected 4 delisting events received, found: {self.delistingsReceived}")
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if self.liquidated != 2:
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raise AssertionError(f"Expected 3 liquidation events, found {self.liquidated}")
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