quant1729
102 lines
4.3 KiB
C#
102 lines
4.3 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.Option;
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using QuantConnect.Brokerages;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This is an option split regression algorithm
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/// </summary>
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public class OptionOpenInterestRegressionAlgorithm : QCAlgorithm
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{
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private const string UnderlyingTicker = "twx";
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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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public override void Initialize()
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{
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// this test opens position in the first day of trading, lives through stock split (7 for 1), and closes adjusted position on the second day
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SetStartDate(2014, 06, 05);
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SetEndDate(2014, 06, 06);
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SetCash(1000000);
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var equity = AddEquity(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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equity.SetDataNormalizationMode(DataNormalizationMode.Raw);
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option.SetFilter(-10, +10, TimeSpan.Zero, TimeSpan.FromDays(365 * 2));
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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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/// <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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foreach (var chain in slice.OptionChains)
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{
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foreach (var contract in chain.Value)
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{
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if (contract.Symbol.ID.StrikePrice == 72.5m &&
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contract.Symbol.ID.OptionRight == OptionRight.Call &&
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contract.Symbol.ID.Date == new DateTime(2016, 01, 15))
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{
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if (slice.Time.Date == new DateTime(2014, 06, 05) && contract.OpenInterest != 50)
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{
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throw new Exception("Regression test failed: current open interest was not correctly loaded and is not equal to 50");
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}
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if (slice.Time.Date == new DateTime(2014, 06, 06) && contract.OpenInterest != 70)
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{
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throw new Exception("Regression test failed: current open interest was not correctly loaded and is not equal to 70");
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}
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if (slice.Time.Date == new DateTime(2014, 06, 06))
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{
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MarketOrder(contract.Symbol, 1);
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MarketOnCloseOrder(contract.Symbol, -1);
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}
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}
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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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}
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}
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}
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