quant1729
c416df6241
1. Made sure we treat properly option expiration dates before Feb 2015 and after. Added tests. 2. Refactored expiration delisting, assignments/option exercise to happen in the end of the date, not MOC orders in the beginning of the day. Regression test. 3. Refactored option exercise model to generate proper fills on assignments/option. Those fills are reflected correctly in margins, in stats and correspond to IB model. Still need to run IB real-life live tests. 4. Refactored option symbol related functions into separate module (OptionSymbol.cs) 5. Made sure OnAssignmentEvent arrived to the user algo in regression test. Do we need OnExercise event? Not sure. 6. Tested end-to-end Ray's current code (covered call strat) to see short option legs expire worthless, and stats updated.
108 lines
4.4 KiB
C#
108 lines
4.4 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;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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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 tests option exercise and assignment functionality
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/// We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
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/// </summary>
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public class OptionExerciseAssignRegressionAlgorithm : QCAlgorithm
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{
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private const string UnderlyingTicker = "GOOG";
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public readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
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public readonly Symbol OptionSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
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private bool _assignedOption = false;
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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(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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// set our strike/expiry filter for this option chain
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option.SetFilter(u => u.IncludeWeeklys()
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.Strikes(-2, +2)
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.Expiration(TimeSpan.Zero, TimeSpan.FromDays(10)));
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// use the underlying equity as the benchmark
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SetBenchmark(equity.Symbol);
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}
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~OptionExerciseAssignRegressionAlgorithm()
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{
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if (!_assignedOption)
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{
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throw new Exception("In the end, short ITM option position was not assigned.");
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}
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
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{
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// find the second call strike under market price expiring today
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var contracts = (
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from optionContract in chain.OrderByDescending(x => x.Strike)
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where optionContract.Right == OptionRight.Call
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where optionContract.Expiry == Time.Date
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where optionContract.Strike < chain.Underlying.Price
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select optionContract
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).Take(2);
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if (contracts.Any())
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{
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MarketOrder(contracts.FirstOrDefault().Symbol, 1);
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MarketOrder(contracts.Skip(1).FirstOrDefault().Symbol, -1);
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}
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}
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the evemts</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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}
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public override void OnAssignmentOrderEvent(OrderEvent assignmentEvent)
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{
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Log(assignmentEvent.ToString());
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_assignedOption = true;
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}
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}
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}
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