quantconnect--lean/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
*/

using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This example demonstrates how to add options for a given underlying equity security.
    /// It also shows how you can prefilter contracts easily based on strikes and expirations, and how you
    /// can inspect the option chain to pick a specific option contract to trade.
    /// </summary>
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="options" />
    /// <meta name="tag" content="filter selection" />
    public class BasicTemplateOptionsHourlyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private const string UnderlyingTicker = "AAPL";
        public Symbol OptionSymbol;

        public override void Initialize()
        {
            SetStartDate(2014, 6, 6);
            SetEndDate(2014, 6, 9);
            SetCash(100000);

            var equity = AddEquity(UnderlyingTicker, Resolution.Hour);
            var option = AddOption(UnderlyingTicker, Resolution.Hour);
            OptionSymbol = option.Symbol;

            // set our strike/expiry filter for this option chain
            option.SetFilter(u => u.Strikes(-2, +2)
                                   // Expiration method accepts TimeSpan objects or integer for days.
                                   // The following statements yield the same filtering criteria
                                   .Expiration(0, 180));
            // .Expiration(TimeSpan.Zero, TimeSpan.FromDays(180)));

            // use the underlying equity as the benchmark
            SetBenchmark(equity.Symbol);
        }

        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
            if (!Portfolio.Invested && IsMarketOpen(OptionSymbol))
            {
                OptionChain chain;
                if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
                {
                    // we find at the money (ATM) put contract with farthest expiration
                    var atmContract = chain
                        .OrderByDescending(x => x.Expiry)
                        .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
                        .ThenByDescending(x => x.Right)
                        .FirstOrDefault();

                    if (atmContract != null && IsMarketOpen(atmContract.Symbol))
                    {
                        // if found, trade it
                        MarketOrder(atmContract.Symbol, 1);
                        MarketOnCloseOrder(atmContract.Symbol, -1);
                    }
                }
            }
        }

        /// <summary>
        /// Order fill event handler. On an order fill update the resulting information is passed to this method.
        /// </summary>
        /// <param name="orderEvent">Order event details containing details of the events</param>
        /// <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>
        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            Log(orderEvent.ToString());
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public Language[] Languages { get; } = { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 32351;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "5"},
            {"Average Win", "0%"},
            {"Average Loss", "-0.07%"},
            {"Compounding Annual Return", "-12.496%"},
            {"Drawdown", "0.200%"},
            {"Expectancy", "-1"},
            {"Start Equity", "100000"},
            {"End Equity", "99866"},
            {"Net Profit", "-0.134%"},
            {"Sharpe Ratio", "-9.78"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "100%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0.075"},
            {"Beta", "-0.054"},
            {"Annual Standard Deviation", "0.008"},
            {"Annual Variance", "0"},
            {"Information Ratio", "-18.699"},
            {"Tracking Error", "0.155"},
            {"Treynor Ratio", "1.434"},
            {"Total Fees", "$4.00"},
            {"Estimated Strategy Capacity", "$1000.00"},
            {"Lowest Capacity Asset", "AAPL 2ZTXYMUAHCIAU|AAPL R735QTJ8XC9X"},
            {"Portfolio Turnover", "2.28%"},
            {"OrderListHash", "7804b3dcf20d3096a2265a289fa81cd3"}
        };
    }
}