public void BacktestingOptionChainProviderReturnsMultipleContractsForZipFileContainingMultipleContracts(
OptionRight right,
int strike,
int year,
int month,
int day)
{
var underlying = Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2020, 4, 28));
var expiry = new DateTime(year, month, day);
var expectedOption = Symbol.CreateOption(
underlying,
Market.COMEX,
OptionStyle.American,
right,
strike,
expiry);
var provider = new BacktestingOptionChainProvider();
var contracts = provider.GetOptionContractList(underlying, new DateTime(2020, 1, 5))
.ToHashSet();
Assert.IsTrue(
contracts.Contains(expectedOption),
$"Failed to find contract {expectedOption} in: [{string.Join(", ", contracts.Select(s => s.ToString()))}");
}
/// <summary>
/// Gets <see cref="OptionHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical option data for</param>
/// <param name="date">Date of the data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="OptionHistory"/> object that contains historical option data.</returns>
public OptionHistory GetOptionHistory(Symbol symbol, DateTime date, Resolution?resolution = null)
{
SetStartDate(date.AddDays(1));
var option = _algorithm.Securities[symbol] as Option;
var underlying = AddEquity(symbol.Underlying.Value, option.Resolution);
var provider = new BacktestingOptionChainProvider();
var allSymbols = provider.GetOptionContractList(symbol.Underlying, date);
var requests = _algorithm.History(symbol.Underlying, TimeSpan.FromDays(1), resolution)
.SelectMany(x => option.ContractFilter.Filter(new OptionFilterUniverse(allSymbols, x)))
.Distinct()
.Select(x =>
new HistoryRequest(date.AddDays(-1),
date,
typeof(QuoteBar),
x,
resolution ?? option.Resolution,
underlying.Exchange.Hours,
MarketHoursDatabase.FromDataFolder().GetDataTimeZone(underlying.Symbol.ID.Market, underlying.Symbol, underlying.Type),
Resolution.Minute,
underlying.IsExtendedMarketHours,
underlying.IsCustomData(),
DataNormalizationMode.Raw,
LeanData.GetCommonTickTypeForCommonDataTypes(typeof(QuoteBar), underlying.Type))
);
requests = requests.Union(new[] { new HistoryRequest(underlying.Subscriptions.FirstOrDefault(), underlying.Exchange.Hours, date.AddDays(-1), date) });
return(new OptionHistory(_algorithm.HistoryProvider.GetHistory(requests.OrderByDescending(x => x.Symbol.SecurityType), _algorithm.TimeZone).Memoize()));
}
/// <summary>
/// Gets <see cref="OptionHistory"/> object for a given symbol, date and resolution
/// </summary>
/// <param name="symbol">The symbol to retrieve historical option data for</param>
/// <param name="date">Date of the data</param>
/// <param name="resolution">The resolution to request</param>
/// <returns>A <see cref="OptionHistory"/> object that contains historical option data.</returns>
public OptionHistory GetOptionHistory(Symbol symbol, DateTime date, Resolution?resolution = null)
{
SetStartDate(date.AddDays(1));
var option = _algorithm.Securities[symbol] as Option;
var underlying = AddEquity(symbol.Underlying.Value, option.Resolution);
var provider = new BacktestingOptionChainProvider();
var allSymbols = provider.GetOptionContractList(symbol.Underlying, date);
var requests = _algorithm.History(symbol.Underlying, TimeSpan.FromDays(1), resolution)
.SelectMany(x => option.ContractFilter.Filter(new OptionFilterUniverse(allSymbols, x)))
.Distinct()
.Select(x =>
new HistoryRequest()
{
Symbol = x,
StartTimeUtc = date.AddDays(-1),
EndTimeUtc = date,
Resolution = resolution ?? option.Resolution,
DataType = typeof(QuoteBar)
}
);
requests = requests.Union(new[] { new HistoryRequest(underlying.Subscriptions.FirstOrDefault(), underlying.Exchange.Hours, date.AddDays(-1), date) });
return(new OptionHistory(_algorithm.HistoryProvider.GetHistory(requests.OrderByDescending(x => x.Symbol.SecurityType), _algorithm.TimeZone).Memoize()));
}
public void BacktestingOptionChainProviderLoadsEquityOptionChain()
{
var provider = new BacktestingOptionChainProvider();
var twxOptionChain = provider.GetOptionContractList(Symbol.Create("TWX", SecurityType.Equity, Market.USA), new DateTime(2014, 6, 5))
.ToList();
Assert.AreEqual(184, twxOptionChain.Count);
Assert.AreEqual(23m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
Assert.AreEqual(105m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
}
public void BacktestingOptionChainProviderLoadsFutureOptionChain()
{
var provider = new BacktestingOptionChainProvider();
var esOptionChain = provider.GetOptionContractList(
Symbol.CreateFuture(
QuantConnect.Securities.Futures.Indices.SP500EMini,
Market.CME,
new DateTime(2020, 6, 19)),
new DateTime(2020, 1, 5))
.ToList();
Assert.AreEqual(107, esOptionChain.Count);
Assert.AreEqual(2900m, esOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
Assert.AreEqual(3500m, esOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
}
public void BacktestingOptionChainProviderUsesPreviousTradableDateChain()
{
// the 7th is a saturday should fetch fridays data instead
var date = new DateTime(2014, 6, 7);
Assert.AreEqual(DayOfWeek.Saturday, date.DayOfWeek);
var provider = new BacktestingOptionChainProvider(TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider);
var twxOptionChain = provider.GetOptionContractList(Symbol.Create("TWX", SecurityType.Equity, Market.USA), date)
.ToList();
Assert.AreEqual(184, twxOptionChain.Count);
Assert.AreEqual(23m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
Assert.AreEqual(105m, twxOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
}
public void ValidateAAPLOptionChainSecurityIdentifiers()
{
var chainProvider = new BacktestingOptionChainProvider();
var aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
var chains = new HashSet <Symbol>();
var expectedChains = File.ReadAllLines("TestData/aapl_chain.csv")
.Where(x => !string.IsNullOrWhiteSpace(x))
.ToDictionary(x => x, _ => false);
Assert.AreNotEqual(0, expectedChains.Count);
var start = new DateTime(2020, 1, 1);
var end = new DateTime(2020, 7, 1);
foreach (var date in Time.EachDay(start, end))
{
if (USHoliday.Dates.Contains(date) || date.DayOfWeek == DayOfWeek.Saturday || date.DayOfWeek == DayOfWeek.Sunday)
{
continue;
}
foreach (var symbol in chainProvider.GetOptionContractList(aapl, date))
{
chains.Add(symbol);
}
}
var fails = new HashSet <Symbol>();
foreach (var chain in chains)
{
if (expectedChains.ContainsKey(chain.ID.ToString()))
{
expectedChains[chain.ID.ToString()] = true;
continue;
}
fails.Add(chain);
}
Assert.AreEqual(0, fails.Count, $"The following option Symbols were not found in the expected chain: \n{string.Join("\n", fails.Select(x => x.ID.ToString()))}");
Assert.IsTrue(expectedChains.All(kvp => kvp.Value), $"The following option Symbols were not loaded: \n{string.Join("\n", expectedChains.Where(kvp => !kvp.Value).Select(x => x.Key))}");
}
public void BacktestingOptionChainProviderResolvesSymbolMapping()
{
var ticker = "GOOCV"; // Old ticker, should resolve and fetch GOOG
var provider = new BacktestingOptionChainProvider(TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider);
var underlyingSymbol = QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA);
var alias = "?" + underlyingSymbol.Value;
var optionSymbol = Symbol.CreateOption(
underlyingSymbol,
underlyingSymbol.ID.Market,
Symbol.GetOptionTypeFromUnderlying(underlyingSymbol).DefaultOptionStyle(),
default(OptionRight),
0,
SecurityIdentifier.DefaultDate,
alias);
var googOptionChain = provider.GetOptionContractList(optionSymbol.Underlying, new DateTime(2015, 12, 23))
.ToList();
Assert.AreEqual(118, googOptionChain.Count);
Assert.AreEqual(600m, googOptionChain.OrderBy(s => s.ID.StrikePrice).First().ID.StrikePrice);
Assert.AreEqual(800m, googOptionChain.OrderBy(s => s.ID.StrikePrice).Last().ID.StrikePrice);
}