FutureOptionCallITMExpiryRegressionAlgorithm.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 QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Orders;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This regression algorithm tests In The Money (ITM) future option expiry for calls.
    /// We expect 3 orders from the algorithm, which are:
    ///
    ///   * Initial entry, buy ES Call Option (expiring ITM)
    ///   * Option exercise, receiving ES future contracts
    ///   * Future contract liquidation, due to impending expiry
    ///
    /// Additionally, we test delistings for future options and assert that our
    /// portfolio holdings reflect the orders the algorithm has submitted.
    /// </summary>
    public class FutureOptionCallITMExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Symbol _es19m20;
        private Symbol _esOption;
        private Symbol _expectedOptionContract;

        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 expiring ITM, and adds it to the algorithm.
            _esOption = AddFutureOptionContract(OptionChain(_es19m20)
                .Where(x => x.ID.StrikePrice <= 3200m && x.ID.OptionRight == OptionRight.Call)
                .OrderByDescending(x => x.ID.StrikePrice)
                .Take(1)
                .Single(), Resolution.Minute).Symbol;

            _expectedOptionContract = QuantConnect.Symbol.CreateOption(_es19m20, Market.CME, OptionStyle.American, OptionRight.Call, 3200m, new DateTime(2020, 6, 19));
            if (_esOption != _expectedOptionContract)
            {
                throw new RegressionTestException($"Contract {_expectedOptionContract} was not found in the chain");
            }

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

        public override void OnData(Slice slice)
        {
            // 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 slice.Delistings.Values)
            {
                if (delisting.Type == DelistingType.Warning)
                {
                    if (delisting.Time != new DateTime(2020, 6, 19))
                    {
                        throw new RegressionTestException($"Delisting warning issued at unexpected date: {delisting.Time}");
                    }
                }
                if (delisting.Type == DelistingType.Delisted)
                {
                    if (delisting.Time != new DateTime(2020, 6, 20))
                    {
                        throw new RegressionTestException($"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 RegressionTestException($"Order event Symbol not found in Securities collection: {orderEvent.Symbol}");
            }

            var security = Securities[orderEvent.Symbol];
            if (security.Symbol == _es19m20)
            {
                AssertFutureOptionOrderExercise(orderEvent, security, Securities[_expectedOptionContract]);
            }
            else if (security.Symbol == _expectedOptionContract)
            {
                AssertFutureOptionContractOrder(orderEvent, security);
            }
            else
            {
                throw new RegressionTestException($"Received order event for unknown Symbol: {orderEvent.Symbol}");
            }

            Log($"{Time:yyyy-MM-dd HH:mm:ss} -- {orderEvent.Symbol} :: Price: {Securities[orderEvent.Symbol].Holdings.Price} Qty: {Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}");
        }

        private void AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
        {
            var expectedLiquidationTimeUtc = new DateTime(2020, 6, 20, 4, 0, 0);

            if (orderEvent.Direction == OrderDirection.Sell && future.Holdings.Quantity != 0)
            {
                // We expect the contract to have been liquidated immediately
                throw new RegressionTestException($"Did not liquidate existing holdings for Symbol {future.Symbol}");
            }
            if (orderEvent.Direction == OrderDirection.Sell && orderEvent.UtcTime != expectedLiquidationTimeUtc)
            {
                throw new RegressionTestException($"Liquidated future contract, but not at the expected time. Expected: {expectedLiquidationTimeUtc:yyyy-MM-dd HH:mm:ss} - found {orderEvent.UtcTime:yyyy-MM-dd HH:mm:ss}");
            }

            // No way to detect option exercise orders or any other kind of special orders
            // other than matching strings, for now.
            if (orderEvent.Message.Contains("Option Exercise"))
            {
                if (orderEvent.FillPrice != 3200m)
                {
                    throw new RegressionTestException("Option did not exercise at expected strike price (3200)");
                }
                if (future.Holdings.Quantity != 1)
                {
                    // Here, we expect to have some holdings in the underlying, but not in the future option anymore.
                    throw new RegressionTestException($"Exercised option contract, but we have no holdings for Future {future.Symbol}");
                }

                if (optionContract.Holdings.Quantity != 0)
                {
                    throw new RegressionTestException($"Exercised option contract, but we have holdings for Option contract {optionContract.Symbol}");
                }
            }
        }

        private void AssertFutureOptionContractOrder(OrderEvent orderEvent, Security option)
        {
            if (orderEvent.Direction == OrderDirection.Buy && option.Holdings.Quantity != 1)
            {
                throw new RegressionTestException($"No holdings were created for option contract {option.Symbol}");
            }
            if (orderEvent.Direction == OrderDirection.Sell && option.Holdings.Quantity != 0)
            {
                throw new RegressionTestException($"Holdings were found after a filled option exercise");
            }
            if (orderEvent.Message.Contains("Exercise") && option.Holdings.Quantity != 0)
            {
                throw new RegressionTestException($"Holdings were found after exercising option contract {option.Symbol}");
            }
        }

        /// <summary>
        /// Ran at the end of the algorithm to ensure the algorithm has no holdings
        /// </summary>
        /// <exception cref="RegressionTestException">The algorithm has holdings</exception>
        public override void OnEndOfAlgorithm()
        {
            if (Portfolio.Invested)
            {
                throw new RegressionTestException($"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 List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 212198;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 1;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <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 Orders", "3"},
            {"Average Win", "2.28%"},
            {"Average Loss", "-6.80%"},
            {"Compounding Annual Return", "-9.373%"},
            {"Drawdown", "5.500%"},
            {"Expectancy", "-0.332"},
            {"Start Equity", "100000"},
            {"End Equity", "95323.58"},
            {"Net Profit", "-4.676%"},
            {"Sharpe Ratio", "-1.163"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0.165%"},
            {"Loss Rate", "50%"},
            {"Win Rate", "50%"},
            {"Profit-Loss Ratio", "0.34"},
            {"Alpha", "-0.074"},
            {"Beta", "0.003"},
            {"Annual Standard Deviation", "0.064"},
            {"Annual Variance", "0.004"},
            {"Information Ratio", "-0.226"},
            {"Tracking Error", "0.378"},
            {"Treynor Ratio", "-21.841"},
            {"Total Fees", "$1.42"},
            {"Estimated Strategy Capacity", "$120000000.00"},
            {"Lowest Capacity Asset", "ES XFH59UPBMTJ8|ES XFH59UK0MYO1"},
            {"Portfolio Turnover", "1.94%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "a7d2aa89bb101a77fdbc04890235f83c"}
        };
    }
}