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OptionChain and OptionContract improvements (QuantConnect#4804)
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* OptionChain and OptionContract improvements

- QCAlgorithm.AddUniverse will return the added Universe instance.
- Adding new OptionChainedUniverseSelectionModel will monitor a Universe changes
  and will spwan new OptionChainUniverse from it's selections. Adding
  regression test Py/C#.
- Adding new OptionContractUniverse that will own option contracts and
  their underlying symbol. Adding regression test
- Fix double notification for security changes, bug seen in updated
  UniverseSelectionRegressionAlgorithm
- Remove UniverseSelection special handling for Option and Future chains
- Fix DataManager not removing SubscriptionDataConfigs for Subscriptions
  which finished before being removed from the universe
- Refactor detection of user added Universe so that they do not get
  removed after calling the UniverseSelectionModel

* Add check for option underlying price is set

* Address reviews

- Adding python regression algorithm for
  `AddOptionContractFromUniverseRegressionAlgorithm`
  and `AddOptionContractExpiresRegressionAlgorithm`
- Rename QCAlgorithm new api method to `AddChainedOptionUniverse`

* Fix universe refresh bug

- Fix bug where a universe selection refresh would cause option or
  future chain universes from being removed. Adding regression algorithm
  reproducing the issue.

* Rename new option universe Algorithm API method

- Rename new option universe Algorith API method from
  AddChainedOptionUniverse to AddUniverseOptions
- Rebase and update regression test order hash because of
  option expiration message changed
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@Martin-Molinero @reginaldlouis
Martin-Molinero authored and reginaldlouis committed Oct 16, 2020
1 parent 58241bd commit c058c5d
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164 changes: 164 additions & 0 deletions Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs
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/*
* 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.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using System.Collections.Generic;

namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// We add an option contract using <see cref="QCAlgorithm.AddOptionContract"/> and place a trade and wait till it expires
/// later will liquidate the resulting equity position and assert both option and underlying get removed
/// </summary>
public class AddOptionContractExpiresRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
private DateTime _expiration = new DateTime(2014, 06, 21);
private Symbol _option;
private Symbol _twx;
private bool _traded;

public override void Initialize()
{
SetStartDate(2014, 06, 05);
SetEndDate(2014, 06, 30);

_twx = QuantConnect.Symbol.Create("TWX", SecurityType.Equity, Market.USA);

AddUniverse("my-daily-universe-name", time => new List<string> { "AAPL" });
}

public override void OnData(Slice data)
{
if (_option == null)
{
var option = OptionChainProvider.GetOptionContractList(_twx, Time)
.OrderBy(symbol => symbol.ID.Symbol)
.FirstOrDefault(optionContract => optionContract.ID.Date == _expiration
&& optionContract.ID.OptionRight == OptionRight.Call
&& optionContract.ID.OptionStyle == OptionStyle.American);
if (option != null)
{
_option = AddOptionContract(option).Symbol;
}
}

if (_option != null && Securities[_option].Price != 0 && !_traded)
{
_traded = true;
Buy(_option, 1);

foreach (var symbol in new [] { _option, _option.Underlying })
{
var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();

if (!config.Any())
{
throw new Exception($"Was expecting configurations for {symbol}");
}
if (config.Any(dataConfig => dataConfig.DataNormalizationMode != DataNormalizationMode.Raw))
{
throw new Exception($"Was expecting DataNormalizationMode.Raw configurations for {symbol}");
}
}
}

if (Time.Date > _expiration)
{
if (SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_option).Any())
{
throw new Exception($"Unexpected configurations for {_option} after it has been delisted");
}

if (Securities[_twx].Invested)
{
if (!SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_twx).Any())
{
throw new Exception($"Was expecting configurations for {_twx}");
}

// first we liquidate the option exercised position
Liquidate(_twx);
}
}
else if (Time.Date > _expiration && !Securities[_twx].Invested)
{
if (SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_twx).Any())
{
throw new Exception($"Unexpected configurations for {_twx} after it has been liquidated");
}
}
}

/// <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", "3"},
{"Average Win", "2.94%"},
{"Average Loss", "-2.98%"},
{"Compounding Annual Return", "-1.749%"},
{"Drawdown", "0.200%"},
{"Expectancy", "-0.006"},
{"Net Profit", "-0.124%"},
{"Sharpe Ratio", "3.589"},
{"Probabilistic Sharpe Ratio", "90.473%"},
{"Loss Rate", "50%"},
{"Win Rate", "50%"},
{"Profit-Loss Ratio", "0.99"},
{"Alpha", "0.007"},
{"Beta", "-0.001"},
{"Annual Standard Deviation", "0.002"},
{"Annual Variance", "0"},
{"Information Ratio", "-2.913"},
{"Tracking Error", "0.057"},
{"Treynor Ratio", "-4.947"},
{"Total Fees", "$2.00"},
{"Fitness Score", "0.001"},
{"Kelly Criterion Estimate", "0"},
{"Kelly Criterion Probability Value", "0"},
{"Sortino Ratio", "-0.946"},
{"Return Over Maximum Drawdown", "-10.498"},
{"Portfolio Turnover", "0.007"},
{"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", "1123164511"}
};
}
}
216 changes: 216 additions & 0 deletions Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs
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/*
* 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.Data.UniverseSelection;
using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// We add an option contract using <see cref="QCAlgorithm.AddOptionContract"/> and place a trade, the underlying
/// gets deselected from the universe selection but should still be present since we manually added the option contract.
/// Later we call <see cref="QCAlgorithm.RemoveOptionContract"/> and expect both option and underlying to be removed.
/// </summary>
public class AddOptionContractFromUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
private DateTime _expiration = new DateTime(2014, 06, 21);
private SecurityChanges _securityChanges = SecurityChanges.None;
private Symbol _option;
private Symbol _aapl;
private Symbol _twx;
private bool _traded;

public override void Initialize()
{
_twx = QuantConnect.Symbol.Create("TWX", SecurityType.Equity, Market.USA);
_aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
UniverseSettings.Resolution = Resolution.Minute;
UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;

SetStartDate(2014, 06, 05);
SetEndDate(2014, 06, 09);

AddUniverse(enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl },
enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl });
}

public override void OnData(Slice data)
{
if (_option != null && Securities[_option].Price != 0 && !_traded)
{
_traded = true;
Buy(_option, 1);
}

if (Time.Date > new DateTime(2014, 6, 5))
{
if (Time < new DateTime(2014, 6, 6, 14, 0, 0))
{
var configs = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_twx);
// assert underlying still there after the universe selection removed it, still used by the manually added option contract
if (!configs.Any())
{
throw new Exception($"Was expecting configurations for {_twx}" +
$" even after it has been deselected from coarse universe because we still have the option contract.");
}
}
else if (Time == new DateTime(2014, 6, 6, 14, 0, 0))
{
// liquidate & remove the option
RemoveOptionContract(_option);
}
// assert underlying was finally removed
else if(Time > new DateTime(2014, 6, 6, 14, 0, 0))
{
foreach (var symbol in new[] { _option, _option.Underlying })
{
var configs = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol);
if (configs.Any())
{
throw new Exception($"Unexpected configuration for {symbol} after it has been deselected from coarse universe and option contract is removed.");
}
}
}
}
}

public override void OnSecuritiesChanged(SecurityChanges changes)
{
if (_securityChanges.RemovedSecurities.Intersect(changes.RemovedSecurities).Any())
{
throw new Exception($"SecurityChanges.RemovedSecurities intersect {changes.RemovedSecurities}. We expect no duplicate!");
}
if (_securityChanges.AddedSecurities.Intersect(changes.AddedSecurities).Any())
{
throw new Exception($"SecurityChanges.AddedSecurities intersect {changes.RemovedSecurities}. We expect no duplicate!");
}
// keep track of all removed and added securities
_securityChanges += changes;

if (changes.AddedSecurities.Any(security => security.Symbol.SecurityType == SecurityType.Option))
{
return;
}

foreach (var addedSecurity in changes.AddedSecurities)
{
var option = OptionChainProvider.GetOptionContractList(addedSecurity.Symbol, Time)
.OrderBy(symbol => symbol.ID.Symbol)
.First(optionContract => optionContract.ID.Date == _expiration
&& optionContract.ID.OptionRight == OptionRight.Call
&& optionContract.ID.OptionStyle == OptionStyle.American);
AddOptionContract(option);

foreach (var symbol in new[] { option, option.Underlying })
{
var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();

if (!config.Any())
{
throw new Exception($"Was expecting configurations for {symbol}");
}
if (config.Any(dataConfig => dataConfig.DataNormalizationMode != DataNormalizationMode.Raw))
{
throw new Exception($"Was expecting DataNormalizationMode.Raw configurations for {symbol}");
}
}

// just keep the first we got
if (_option == null)
{
_option = option;
}
}
}

public override void OnEndOfAlgorithm()
{
if (SubscriptionManager.Subscriptions.Any(dataConfig => dataConfig.Symbol == _twx || dataConfig.Symbol.Underlying == _twx))
{
throw new Exception($"Was NOT expecting any configurations for {_twx} or it's options, since we removed the contract");
}

if (SubscriptionManager.Subscriptions.All(dataConfig => dataConfig.Symbol != _aapl))
{
throw new Exception($"Was expecting configurations for {_aapl}");
}
if (SubscriptionManager.Subscriptions.All(dataConfig => dataConfig.Symbol.Underlying != _aapl))
{
throw new Exception($"Was expecting options configurations for {_aapl}");
}
}

/// <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", "-0.23%"},
{"Compounding Annual Return", "-15.596%"},
{"Drawdown", "0.200%"},
{"Expectancy", "-1"},
{"Net Profit", "-0.232%"},
{"Sharpe Ratio", "-7.739"},
{"Probabilistic Sharpe Ratio", "1.216%"},
{"Loss Rate", "100%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "0.027"},
{"Beta", "-0.174"},
{"Annual Standard Deviation", "0.006"},
{"Annual Variance", "0"},
{"Information Ratio", "-11.586"},
{"Tracking Error", "0.042"},
{"Treynor Ratio", "0.286"},
{"Total Fees", "$2.00"},
{"Fitness Score", "0"},
{"Kelly Criterion Estimate", "0"},
{"Kelly Criterion Probability Value", "0"},
{"Sortino Ratio", "-19.883"},
{"Return Over Maximum Drawdown", "-67.224"},
{"Portfolio Turnover", "0.014"},
{"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", "721476625"}
};
}
}
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