Martin-Molinero
81a334c525
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- Add Leg.Create method for sugar syntax, specially for python
380 lines
14 KiB
C#
380 lines
14 KiB
C#
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/*
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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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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using System.Linq;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm for testing submit/update/cancel for combo orders
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/// </summary>
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public class ComboOrderTicketDemoAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private readonly List<OrderTicket> _openMarketOrders = new();
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private readonly List<OrderTicket> _openLegLimitOrders = new();
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private readonly List<OrderTicket> _openLimitOrders = new();
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private Symbol _optionSymbol;
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private List<Leg> _orderLegs;
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(100000);
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var equity = AddEquity("GOOG", leverage: 4, fillDataForward: true);
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var option = AddOption(equity.Symbol, fillDataForward: true);
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_optionSymbol = option.Symbol;
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option.SetFilter(u => u.Strikes(-2, +2)
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.Expiration(0, 180));
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}
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public override void OnData(Slice data)
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{
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if (_orderLegs == null)
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{
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OptionChain chain;
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if (IsMarketOpen(_optionSymbol) && data.OptionChains.TryGetValue(_optionSymbol, out chain))
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{
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var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
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.GroupBy(x => x.Expiry)
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.OrderBy(grouping => grouping.Key)
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.First()
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.OrderBy(x => x.Strike)
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.ToList();
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// Let's wait until we have at least three contracts
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if (callContracts.Count < 3)
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{
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return;
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}
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_orderLegs = new List<Leg>()
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{
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Leg.Create(callContracts[0].Symbol, 1),
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Leg.Create(callContracts[1].Symbol, -2),
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Leg.Create(callContracts[2].Symbol, 1),
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};
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}
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}
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else
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{
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// COMBO MARKET ORDERS
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ComboMarketOrders();
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// COMBO LIMIT ORDERS
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ComboLimitOrders();
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// COMBO LEG LIMIT ORDERS
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ComboLegLimitOrders();
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}
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}
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private void ComboMarketOrders()
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{
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if (_openMarketOrders.Count != 0 || _orderLegs == null)
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{
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return;
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}
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Log("Submitting combo market orders");
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var tickets = ComboMarketOrder(_orderLegs, 2, asynchronous: false);
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_openMarketOrders.AddRange(tickets);
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tickets = ComboMarketOrder(_orderLegs, 2, asynchronous: true);
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_openMarketOrders.AddRange(tickets);
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foreach (var ticket in tickets)
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{
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var response = ticket.Cancel("Attempt to cancel combo market order");
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if (response.IsSuccess)
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{
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throw new Exception("Combo market orders should fill instantly, they should not be cancelable in backtest mode: " + response.OrderId);
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}
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}
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}
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private void ComboLimitOrders()
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{
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if (_openLimitOrders.Count == 0)
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{
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Log("Submitting ComboLimitOrder");
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var closeSum = 0m;
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foreach (var leg in _orderLegs)
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{
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closeSum += Securities[leg.Symbol].Close;
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}
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var tickets = ComboLimitOrder(_orderLegs, 2, closeSum * 0.95m);
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_openLimitOrders.AddRange(tickets);
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// These won't fill, we will test cancel with this
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tickets = ComboLimitOrder(_orderLegs, -2, closeSum * 1.1m);
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_openLimitOrders.AddRange(tickets);
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}
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else
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{
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var combo1 = _openLimitOrders.Take(_orderLegs.Count).ToList();
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var combo2 = _openLimitOrders.Skip(_orderLegs.Count).Take(_orderLegs.Count).ToList();
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// check if either is filled and cancel the other
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if (CheckGroupOrdersForFills(combo1, combo2))
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{
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return;
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}
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// if neither order has filled, bring in the limits by a penny
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var ticket = combo1[0];
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var newLimit = Math.Round(ticket.Get(OrderField.LimitPrice) + 0.05m, 2);
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Debug($"Updating limits - Combo 1 {ticket.OrderId}: {newLimit.ToStringInvariant("0.00")}");
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ticket.Update(new UpdateOrderFields
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{
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LimitPrice = newLimit,
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Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
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});
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ticket = combo2[0];
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newLimit = Math.Round(ticket.Get(OrderField.LimitPrice) - 0.01m, 2);
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Debug($"Updating limits - Combo 2 {ticket.OrderId}: {newLimit.ToStringInvariant("0.00")}");
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ticket.Update(new UpdateOrderFields
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{
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LimitPrice = newLimit,
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Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
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});
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}
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}
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private void ComboLegLimitOrders()
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{
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if (_openLegLimitOrders.Count == 0)
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{
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Log("Submitting ComboLegLimitOrder");
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// submit a limit order to buy 2 shares at .1% below the bar's close
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foreach (var leg in _orderLegs)
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{
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var close = Securities[leg.Symbol].Close;
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leg.OrderPrice = close * .999m;
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}
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var tickets = ComboLegLimitOrder(_orderLegs, quantity: 2);
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_openLegLimitOrders.AddRange(tickets);
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// submit another limit order to sell 2 shares at .1% above the bar's close
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foreach (var leg in _orderLegs)
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{
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var close = Securities[leg.Symbol].Close;
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leg.OrderPrice = close * 1.001m;
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}
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tickets = ComboLegLimitOrder(_orderLegs, -2);
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_openLegLimitOrders.AddRange(tickets);
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}
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else
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{
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var combo1 = _openLegLimitOrders.Take(_orderLegs.Count).ToList();
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var combo2 = _openLegLimitOrders.Skip(_orderLegs.Count).Take(_orderLegs.Count).ToList();
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// check if either is filled and cancel the other
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if (CheckGroupOrdersForFills(combo1, combo2))
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{
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return;
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}
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// if neither order has filled, bring in the limits by a penny
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foreach (var ticket in combo1)
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{
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var newLimit = ticket.Get(OrderField.LimitPrice) + (ticket.Quantity > 0 ? 1m : -1m) * 0.01m;
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Debug($"Updating limits - Combo #1: {newLimit.ToStringInvariant("0.00")}");
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ticket.Update(new UpdateOrderFields
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{
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LimitPrice = newLimit,
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Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
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});
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}
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foreach (var ticket in combo2)
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{
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var newLimit = ticket.Get(OrderField.LimitPrice) + (ticket.Quantity > 0 ? 1m : -1m) * 0.01m;
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Debug($"Updating limits - Combo #2: {newLimit.ToStringInvariant("0.00")}");
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ticket.Update(new UpdateOrderFields
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{
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LimitPrice = newLimit,
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Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
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});
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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var order = Transactions.GetOrderById(orderEvent.OrderId);
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if (orderEvent.Quantity == 0)
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{
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throw new Exception("OrderEvent quantity is Not expected to be 0, it should hold the current order Quantity");
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}
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if (orderEvent.Quantity != order.Quantity)
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{
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throw new Exception("OrderEvent quantity should hold the current order Quantity");
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}
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if (order is ComboLegLimitOrder && orderEvent.LimitPrice == 0)
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{
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throw new Exception("OrderEvent.LimitPrice is not expected to be 0 for ComboLegLimitOrder");
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}
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}
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private bool CheckGroupOrdersForFills(List<OrderTicket> combo1, List<OrderTicket> combo2)
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{
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if (combo1.All(x => x.Status == OrderStatus.Filled))
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{
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if (combo2.Any(x => x.Status.IsOpen()))
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{
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Log(combo1[0].OrderType + ": Canceling combo #2, combo #1 is filled.");
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combo2.ForEach(x => x.Cancel("Combo #1 filled."));
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}
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return true;
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}
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if (combo2.All(x => x.Status == OrderStatus.Filled))
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{
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if (combo1.Any(x => x.Status.IsOpen()))
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{
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Log(combo1[0].OrderType + ": Canceling combo #1, combo #2 is filled.");
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combo1.ForEach(x => x.Cancel("Combo #2 filled."));
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}
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return true;
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}
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return false;
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}
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public override void OnEndOfAlgorithm()
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{
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var filledOrders = Transactions.GetOrders(x => x.Status == OrderStatus.Filled).ToList();
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var orderTickets = Transactions.GetOrderTickets().ToList();
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var openOrders = Transactions.GetOpenOrders();
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var openOrderTickets = Transactions.GetOpenOrderTickets().ToList();
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var remainingOpenOrders = Transactions.GetOpenOrdersRemainingQuantity();
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// We expect 3 of the limit orders to be canceled
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var expectedOrdersCount = 18;
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var expectedFillsCount = 15;
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if (filledOrders.Count != expectedFillsCount || orderTickets.Count != expectedOrdersCount)
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{
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throw new Exception($"There were expected {expectedFillsCount} filled orders and {expectedOrdersCount} order tickets, but there were {filledOrders.Count} filled orders and {orderTickets.Count} order tickets");
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}
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if (openOrders.Count != 0 || openOrderTickets.Count != 0)
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{
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throw new Exception($"No open orders or tickets were expected");
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}
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if (remainingOpenOrders != 0m)
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{
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throw new Exception($"No remaining quantity to be filled from open orders was expected");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 884208;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "15"},
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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", "$15.00"},
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{"Estimated Strategy Capacity", "$4000.00"},
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{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "0"},
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{"Return Over Maximum Drawdown", "0"},
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{"Portfolio Turnover", "0"},
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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", "cc3f54877875310985d6131c1cf7be53"}
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};
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}
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}
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