quantconnect--lean/Algorithm.CSharp/FutureOptionCallOTMExpiryRegressionAlgorithm.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 System.Reflection;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This regression algorithm tests Out of The Money (OTM) future option expiry for calls.
    /// We expect 2 orders from the algorithm, which are:
    ///
    ///   * Initial entry, buy ES Call Option (expiring OTM)
    ///     - contract expires worthless, not exercised, so never opened a position in the underlying
    ///
    ///   * Liquidation of worthless ES call option (expiring OTM)
    ///
    /// Additionally, we test delistings for future options and assert that our
    /// portfolio holdings reflect the orders the algorithm has submitted.
    /// </summary>
    /// <remarks>
    /// Total Trades in regression algorithm should be 1, but expiration is counted as a trade.
    /// See related issue: https://github.com/QuantConnect/Lean/issues/4854
    /// </remarks>
    public class FutureOptionCallOTMExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Symbol _es19m20;
        private Symbol _esOption;
        private Symbol _expectedContract;

        public override void Initialize()
        {
            SetStartDate(2020, 1, 5);
            SetEndDate(2020, 6, 30);

            _es19m20 = AddFutureContract(
                QuantConnect.Symbol.CreateFuture(
                    Futures.Indices.SP500EMini,
                    Market.CME,
                    new DateTime(2020, 6, 19)),
                Resolution.Minute).Symbol;

            // Select a future option call expiring OTM, and adds it to the algorithm.
            _esOption = AddFutureOptionContract(OptionChainProvider.GetOptionContractList(_es19m20, Time)
                .Where(x => x.ID.StrikePrice >= 3300m && x.ID.OptionRight == OptionRight.Call)
                .OrderBy(x => x.ID.StrikePrice)
                .Take(1)
                .Single(), Resolution.Minute).Symbol;

            _expectedContract = QuantConnect.Symbol.CreateOption(_es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3300m, new DateTime(2020, 6, 19));
            if (_esOption != _expectedContract)
            {
                throw new Exception($"Contract {_expectedContract} was not found in the chain");
            }

            Schedule.On(DateRules.Tomorrow, TimeRules.AfterMarketOpen(_es19m20, 1), () =>
            {
                MarketOrder(_esOption, 1);
            });
        }

        public override void OnData(Slice data)
        {
            // Assert delistings, so that we can make sure that we receive the delisting warnings at
            // the expected time. These assertions detect bug #4872
            foreach (var delisting in data.Delistings.Values)
            {
                if (delisting.Type == DelistingType.Warning)
                {
                    if (delisting.Time != new DateTime(2020, 6, 19))
                    {
                        throw new Exception($"Delisting warning issued at unexpected date: {delisting.Time}");
                    }
                }
                if (delisting.Type == DelistingType.Delisted)
                {
                    if (delisting.Time != new DateTime(2020, 6, 20))
                    {
                        throw new Exception($"Delisting happened at unexpected date: {delisting.Time}");
                    }
                }
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (orderEvent.Status != OrderStatus.Filled)
            {
                // There's lots of noise with OnOrderEvent, but we're only interested in fills.
                return;
            }

            if (!Securities.ContainsKey(orderEvent.Symbol))
            {
                throw new Exception($"Order event Symbol not found in Securities collection: {orderEvent.Symbol}");
            }

            var security = Securities[orderEvent.Symbol];
            if (security.Symbol == _es19m20)
            {
                throw new Exception("Invalid state: did not expect a position for the underlying to be opened, since this contract expires OTM");
            }
            if (security.Symbol == _expectedContract)
            {
                AssertFutureOptionContractOrder(orderEvent, security);
            }
            else
            {
                throw new Exception($"Received order event for unknown Symbol: {orderEvent.Symbol}");
            }

            Log($"{orderEvent}");
        }

        private void AssertFutureOptionContractOrder(OrderEvent orderEvent, Security option)
        {
            if (orderEvent.Direction == OrderDirection.Buy && option.Holdings.Quantity != 1)
            {
                throw new Exception($"No holdings were created for option contract {option.Symbol}");
            }
            if (orderEvent.Direction == OrderDirection.Sell && option.Holdings.Quantity != 0)
            {
                throw new Exception("Holdings were found after a filled option exercise");
            }
            if (orderEvent.Direction == OrderDirection.Sell && !orderEvent.Message.Contains("OTM"))
            {
                throw new Exception("Contract did not expire OTM");
            }
            if (orderEvent.Message.Contains("Exercise"))
            {
                throw new Exception("Exercised option, even though it expires OTM");
            }
        }

        /// <summary>
        /// Ran at the end of the algorithm to ensure the algorithm has no holdings
        /// </summary>
        /// <exception cref="Exception">The algorithm has holdings</exception>
        public override void OnEndOfAlgorithm()
        {
            if (Portfolio.Invested)
            {
                throw new Exception($"Expected no holdings at end of algorithm, but are invested in: {string.Join(", ", Portfolio.Keys)}");
            }
        }

        /// <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>
        /// 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 Trades", "2"},
            {"Average Win", "0%"},
            {"Average Loss", "-4.03%"},
            {"Compounding Annual Return", "-8.103%"},
            {"Drawdown", "4.000%"},
            {"Expectancy", "-1"},
            {"Net Profit", "-4.029%"},
            {"Sharpe Ratio", "-1.266"},
            {"Probabilistic Sharpe Ratio", "0.015%"},
            {"Loss Rate", "100%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "-0.065"},
            {"Beta", "0.002"},
            {"Annual Standard Deviation", "0.051"},
            {"Annual Variance", "0.003"},
            {"Information Ratio", "-0.222"},
            {"Tracking Error", "0.408"},
            {"Treynor Ratio", "-27.32"},
            {"Total Fees", "$3.70"},
            {"Estimated Strategy Capacity", "$200000000.00"},
            {"Lowest Capacity Asset", "ES XFH59UPHGV9G|ES XFH59UK0MYO1"},
            {"Fitness Score", "0"},
            {"Kelly Criterion Estimate", "0"},
            {"Kelly Criterion Probability Value", "0"},
            {"Sortino Ratio", "-0.184"},
            {"Return Over Maximum Drawdown", "-2.013"},
            {"Portfolio Turnover", "0"},
            {"Total Insights Generated", "0"},
            {"Total Insights Closed", "0"},
            {"Total Insights Analysis Completed", "0"},
            {"Long Insight Count", "0"},
            {"Short Insight Count", "0"},
            {"Long/Short Ratio", "100%"},
            {"Estimated Monthly Alpha Value", "$0"},
            {"Total Accumulated Estimated Alpha Value", "$0"},
            {"Mean Population Estimated Insight Value", "$0"},
            {"Mean Population Direction", "0%"},
            {"Mean Population Magnitude", "0%"},
            {"Rolling Averaged Population Direction", "0%"},
            {"Rolling Averaged Population Magnitude", "0%"},
            {"OrderListHash", "5dc2591837f882d173d2d4852b3b0626"}
        };
    }
}