Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
79 lines
3.6 KiB
Python
79 lines
3.6 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 AlgorithmImports import *
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### <summary>
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### This regression algorithm tests In The Money (ITM) future option calls across different strike prices.
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### We expect 6 orders from the algorithm, which are:
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###
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### * (1) Initial entry, buy ES Call Option (ES19M20 expiring ITM)
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### * (2) Initial entry, sell ES Call Option at different strike (ES20H20 expiring ITM)
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### * [2] Option assignment, opens a position in the underlying (ES20H20, Qty: -1)
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### * [2] Future contract liquidation, due to impending expiry
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### * [1] Option exercise, receive 1 ES19M20 future contract
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### * [1] Liquidate ES19M20 contract, due to expiry
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###
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### Additionally, we test delistings for future 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 FutureOptionBuySellCallIntradayRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 6, 30)
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self.es20h20 = self.AddFutureContract(
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Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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datetime(2020, 3, 20)
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),
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Resolution.Minute).Symbol
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self.es19m20 = self.AddFutureContract(
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Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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datetime(2020, 6, 19)
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),
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Resolution.Minute).Symbol
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# Select a future option expiring ITM, and adds it to the algorithm.
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self.esOptions = [
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self.AddFutureOptionContract(i, Resolution.Minute).Symbol for i in (self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time) + self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time)) if i.ID.StrikePrice == 3200.0 and i.ID.OptionRight == OptionRight.Call
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]
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self.expectedContracts = [
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Symbol.CreateOption(self.es20h20, Market.CME, OptionStyle.American, OptionRight.Call, 3200.0, datetime(2020, 3, 20)),
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Symbol.CreateOption(self.es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200.0, datetime(2020, 6, 19))
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]
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for esOption in self.esOptions:
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if esOption not in self.expectedContracts:
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raise AssertionError(f"Contract {esOption} was not found in the chain")
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.AfterMarketOpen(self.es19m20, 1), self.ScheduleCallbackBuy)
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.Noon, self.ScheduleCallbackLiquidate)
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def ScheduleCallbackBuy(self):
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self.MarketOrder(self.esOptions[0], 1)
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self.MarketOrder(self.esOptions[1], -1)
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def ScheduleCallbackLiquidate(self):
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self.Liquidate()
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.ID) for i in self.Portfolio.Keys])}")
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