Jared Broad
106 lines
4.6 KiB
C#
106 lines
4.6 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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm checks if all the option chain data coming to the algo is consistent with current securities manager state
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/// </summary>
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="filter selection" />
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public class OptionChainConsistencyRegressionAlgorithm : QCAlgorithm
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{
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private const string UnderlyingTicker = "GOOG";
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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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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(10000);
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var equity = AddEquity(UnderlyingTicker);
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var option = AddOption(UnderlyingTicker);
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// set our strike/expiry filter for this option chain
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option.SetFilter(u => u.IncludeWeeklys()
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.Strikes(-2, +2)
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.Expiration(TimeSpan.Zero, TimeSpan.FromDays(10)));
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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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OptionChain chain;
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if (slice.OptionChains.TryGetValue(OptionSymbol, out chain))
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{
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// check if data is consistent
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foreach (var o in chain)
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{
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if (!Securities.ContainsKey(o.Symbol))
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{
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// inconsistency found: option chains contains contract information that is not available in securities manager and not available for trading
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throw new Exception(string.Format("inconsistency found: option chains contains contract {0} that is not available in securities manager and not available for trading", o.Symbol.Value));
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}
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}
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// trade
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var contract = (
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from optionContract in chain.OrderByDescending(x => x.Strike)
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where optionContract.Right == OptionRight.Call
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where optionContract.Expiry == Time.Date
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where optionContract.Strike < chain.Underlying.Price
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select optionContract
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).Skip(2).FirstOrDefault();
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if (contract != null)
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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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/// <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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Log(orderEvent.ToString());
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}
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}
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}
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