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
87 lines
3.7 KiB
Python
87 lines
3.7 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) index option calls across different strike prices.
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### We expect 4* orders from the algorithm, which are:
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###
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### * (1) Initial entry, buy SPX Call Option (SPXF21 expiring ITM)
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### * (2) Initial entry, sell SPX Call Option at different strike (SPXF21 expiring ITM)
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### * [2] Option assignment, settle into cash
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### * [1] Option exercise, settle into cash
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###
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### Additionally, we test delistings for index options and assert that our
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### portfolio holdings reflect the orders the algorithm has submitted.
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###
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### * Assignments are counted as orders
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### </summary>
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class IndexOptionBuySellCallIntradayRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 31)
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spx = self.AddIndex("SPX", Resolution.Minute).Symbol
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# Select a index option expiring ITM, and adds it to the algorithm.
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spxOptions = list(sorted([
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self.AddIndexOptionContract(i, Resolution.Minute).Symbol \
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for i in self.OptionChainProvider.GetOptionContractList(spx, self.Time)\
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if (i.ID.StrikePrice == 3700 or i.ID.StrikePrice == 3800) and i.ID.OptionRight == OptionRight.Call and i.ID.Date.year == 2021 and i.ID.Date.month == 1],
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key=lambda x: x.ID.StrikePrice
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))
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expectedContract3700 = Symbol.CreateOption(
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spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3700,
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datetime(2021, 1, 15)
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)
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expectedContract3800 = Symbol.CreateOption(
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spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3800,
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datetime(2021, 1, 15)
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)
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if len(spxOptions) != 2:
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raise Exception(f"Expected 2 index options symbols from chain provider, found {spxOptions.Count}")
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if spxOptions[0] != expectedContract3700:
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raise Exception(f"Contract {expectedContract3700} was not found in the chain, found instead: {spxOptions[0]}")
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if spxOptions[1] != expectedContract3800:
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raise Exception(f"Contract {expectedContract3800} was not found in the chain, found instead: {spxOptions[1]}")
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.AfterMarketOpen(spx, 1), lambda: self.AfterMarketOpenTrade(spxOptions))
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self.Schedule.On(self.DateRules.Tomorrow, self.TimeRules.Noon, lambda: self.Liquidate())
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def AfterMarketOpenTrade(self, spxOptions):
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self.MarketOrder(spxOptions[0], 1)
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self.MarketOrder(spxOptions[1], -1)
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### <summary>
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### Ran at the end of the algorithm to ensure the algorithm has no holdings
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### </summary>
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### <exception cref="Exception">The algorithm has holdings</exception>
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise Exception(f"Expected no holdings at end of algorithm, but are invested in: {', '.join(self.Portfolio.Keys)}")
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