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Martin-MolineroMartin-Molinero
authoredFeb 8, 2023
Fix SPXW option strategies (QuantConnect#6939)
- Fix SPXW option strategies. Adding regression algorithm
1 parent d427970 commit f4cf7b6

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‎Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs

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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{

‎Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs

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/*
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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.Linq;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Securities.Option;
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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This example demonstrates how to add and trade SPX index weekly option strategy
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="indexes" />
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public class BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _spxOption;
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/// <summary>
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/// Initialize your algorithm and add desired assets.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2021, 1, 4);
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SetEndDate(2021, 1, 10);
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SetCash(1000000);
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var spx = AddIndex("SPX").Symbol;
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// weekly option SPX contracts
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var spxw = AddIndexOption(spx, "SPXW");
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spxw.SetFilter(u => u.Strikes(0, 1)
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// single week ahead since there are many SPXW contracts and we want to preserve performance
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.Expiration(0, 7)
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.IncludeWeeklys());
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_spxOption = spxw.Symbol;
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}
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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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return;
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}
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(_spxOption, out chain))
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{
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// we find the first expiration group of call options and order them in ascending strike
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var contracts = chain
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.Where(x => x.Right == OptionRight.Call)
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.OrderBy(x => x.Expiry)
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.GroupBy(x => x.Expiry)
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.First()
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.OrderBy(x => x.Strike)
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.ToList();
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if (contracts.Count > 1)
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{
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var smallerStrike = contracts[0];
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var higherStrike = contracts[1];
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// if found, buy until it expires
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var optionStrategy = OptionStrategies.BearCallSpread(_spxOption, smallerStrike.Strike, higherStrike.Strike, smallerStrike.Expiry);
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Buy(optionStrategy, 1);
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug(orderEvent.ToString());
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if (orderEvent.Symbol.ID.Symbol != "SPXW")
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{
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throw new Exception("Unexpected order event symbol!");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public virtual bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public virtual Language[] Languages { get; } = { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public virtual long DataPoints => 35611;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public virtual int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "4"},
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{"Average Win", "0.46%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "42.201%"},
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{"Drawdown", "0.100%"},
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{"Expectancy", "115.281"},
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{"Net Profit", "0.452%"},
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{"Sharpe Ratio", "7.967"},
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{"Probabilistic Sharpe Ratio", "95.977%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "231.56"},
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{"Alpha", "0.029"},
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{"Beta", "-0.003"},
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{"Annual Standard Deviation", "0.001"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-102.62"},
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{"Tracking Error", "0.07"},
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{"Treynor Ratio", "-2.462"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$4100000.00"},
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{"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
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{"Fitness Score", "0.001"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0.001"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "4b25b40cc766201845f66b3b613d1444"}
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};
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}
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}

‎Algorithm/QCAlgorithm.Trading.cs

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@@ -714,6 +714,10 @@ public List<OrderTicket> ComboLimitOrder(List<Leg> legs, int quantity, decimal l
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private IEnumerable<OrderTicket> GenerateOptionStrategyOrders(OptionStrategy strategy, int strategyQuantity, bool asynchronous, string tag, IOrderProperties orderProperties)
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{
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// if the option strategy canonical is set let's use it to make sure we target the right option, for example SPXW for SPX underlying,
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// it could be null if the user created the option strategy manually and just set the underlying, in which case we use the default option target by using 'null'
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var targetOption = strategy.CanonicalOption != null ? strategy.CanonicalOption.Canonical.ID.Symbol : null;
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// setting up the tag text for all orders of one strategy
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tag ??= $"{strategy.Name} ({strategyQuantity.ToStringInvariant()})";
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// search for both american/european style -- much better than looping through all securities
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foreach (var optionStyle in new[] { OptionStyle.American, OptionStyle.European })
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{
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var option = QuantConnect.Symbol.CreateOption(strategy.Underlying, strategy.Underlying.ID.Market, optionStyle, optionLeg.Right, optionLeg.Strike, optionLeg.Expiration);
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var option = QuantConnect.Symbol.CreateOption(strategy.Underlying, targetOption, strategy.Underlying.ID.Market, optionStyle, optionLeg.Right, optionLeg.Strike, optionLeg.Expiration);
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if (Securities.ContainsKey(option))
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{
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// we found it, we add it a break/stop searching

‎Common/Securities/Option/OptionStrategies.cs

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@@ -66,6 +66,7 @@ DateTime expiration
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{
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Name = OptionStrategyDefinitions.BearCallSpread.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.BearPutSpread.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.BullCallSpread.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.BullPutSpread.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.Straddle.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.Strangle.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.ButterflyCall.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.ButterflyPut.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.CallCalendarSpread.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData
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{
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Name = OptionStrategyDefinitions.PutCalendarSpread.Name,
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Underlying = canonicalOption.Underlying,
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CanonicalOption = canonicalOption,
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OptionLegs = new List<OptionStrategy.OptionLegData>
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{
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new OptionStrategy.OptionLegData

‎Common/Securities/Option/OptionStrategy.cs

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/// </summary>
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public string Name { get; set; }
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/// <summary>
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/// The canonical Option symbol of the strategy
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/// </summary>
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public Symbol CanonicalOption { get; set; }
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/// <summary>
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/// Underlying symbol of the strategy
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/// </summary>

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