public void FiltersStrikeRangeWithPositiveMinStrikeOutOfRange(decimal underlyingPrice)
{
var expiry = new DateTime(2016, 03, 04);
var underlying = new Tick {
Value = underlyingPrice, Time = new DateTime(2016, 02, 26)
};
Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe
.Strikes(1, 3)
.Expiration(TimeSpan.Zero, TimeSpan.MaxValue);
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func =
universe => universeFunc(universe as OptionFilterUniverse);
var filter = new FuncSecurityDerivativeFilter(func);
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 15, expiry), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 20, expiry), // 1
};
var filterUniverse = new OptionFilterUniverse(symbols, underlying);
var filtered = filter.Filter(filterUniverse).ToList();
Assert.AreEqual(0, filtered.Count);
Assert.AreEqual(true, filterUniverse.IsDynamic);
}
/// <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="start">The history request start time</param>
/// <param name="end">The history request end time. Defaults to 1 day if null</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 start, DateTime?end = null, Resolution?resolution = null)
{
if (!end.HasValue || end.Value == start)
{
end = start.AddDays(1);
}
// Load a canonical option Symbol if the user provides us with an underlying Symbol
if (symbol.SecurityType != SecurityType.Option && symbol.SecurityType != SecurityType.FutureOption)
{
symbol = AddOption(symbol, resolution, symbol.ID.Market).Symbol;
}
IEnumerable <Symbol> symbols;
if (symbol.IsCanonical())
{
// canonical symbol, lets find the contracts
var option = Securities[symbol] as Option;
var resolutionToUseForUnderlying = resolution ?? SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(symbol)
.GetHighestResolution();
if (!Securities.ContainsKey(symbol.Underlying))
{
// only add underlying if not present
AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
}
var allSymbols = new List <Symbol>();
for (var date = start; date < end; date = date.AddDays(1))
{
if (option.Exchange.DateIsOpen(date))
{
allSymbols.AddRange(OptionChainProvider.GetOptionContractList(symbol.Underlying, date));
}
}
var optionFilterUniverse = new OptionFilterUniverse();
var distinctSymbols = allSymbols.Distinct();
symbols = base.History(symbol.Underlying, start, end.Value, resolution)
.SelectMany(x =>
{
// the option chain symbols wont change so we can set 'exchangeDateChange' to false always
optionFilterUniverse.Refresh(distinctSymbols, x, exchangeDateChange: false);
return(option.ContractFilter.Filter(optionFilterUniverse));
})
.Distinct().Concat(new[] { symbol.Underlying });
}
else
{
// the symbol is a contract
symbols = new List <Symbol> {
symbol
};
}
return(new OptionHistory(History(symbols, start, end.Value, resolution)));
}
/// <summary>
/// Defines the option chain universe filter
/// </summary>
protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
{
return(filter
.Strikes(+1, +1)
.Expiration(TimeSpan.Zero, TimeSpan.FromDays(7))
.WeeklysOnly()
.PutsOnly()
.OnlyApplyFilterAtMarketOpen());
}
/// <summary>
/// Defines the option chain universe filter
/// </summary>
protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
{
return(filter
.Strikes(-20, +20)
.Expiration(TimeSpan.Zero, TimeSpan.FromDays(60)));
//.WeeklysOnly()
//.PutsOnly()
//.OnlyApplyFilterAtMarketOpen();
}
/// <summary>
/// Defines the option chain universe filter
/// </summary>
protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
{
return(filter
.Strikes(+1, +1)
.Expiration(TimeSpan.Zero, TimeSpan.FromDays(7))
.WeeklysOnly()
.Contracts(contracts => contracts.Where(x => x.ID.OptionRight == OptionRight.Put))
.OnlyApplyFilterAtMarketOpen());
}
/// <summary>
/// Initializes a new instance of the <see cref="OptionChainUniverse"/> class
/// </summary>
/// <param name="option">The canonical option chain security</param>
/// <param name="universeSettings">The universe settings to be used for new subscriptions</param>
/// <param name="liveMode">True if we're running in live mode, false for backtest mode</param>
public OptionChainUniverse(Option option,
UniverseSettings universeSettings,
bool liveMode)
: base(option.SubscriptionDataConfig)
{
Option = option;
_underlyingSymbol = new[] { Option.Symbol.Underlying };
_universeSettings = universeSettings;
_liveMode = liveMode;
_optionFilterUniverse = new OptionFilterUniverse();
}
/// <summary>
/// Defines the option chain universe filter
/// </summary>
protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
{
return(filter
.Strikes(+1, +1)
// Expiration method accepts TimeSpan objects or integer for days.
// The following statements yield the same filtering criteria
.Expiration(0, 7)
//.Expiration(TimeSpan.Zero, TimeSpan.FromDays(7))
.WeeklysOnly()
.PutsOnly()
.OnlyApplyFilterAtMarketOpen());
}
public OptionChainUniverse(Option option,
UniverseSettings universeSettings,
ISecurityInitializer securityInitializer,
bool liveMode)
: base(option.SubscriptionDataConfig, securityInitializer)
{
Option = option;
_underlyingSymbol = new[] { Option.Symbol.Underlying };
_universeSettings = new UniverseSettings(universeSettings)
{
DataNormalizationMode = DataNormalizationMode.Raw
};
_liveMode = liveMode;
_optionFilterUniverse = new OptionFilterUniverse();
}
public void FiltersStrikeRange(decimal underlyingPrice)
{
var expiry = new DateTime(2016, 03, 04);
var underlying = new Tick {
Value = underlyingPrice, Time = new DateTime(2016, 02, 26)
};
Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe
.Strikes(-2, 3)
.Expiration(TimeSpan.Zero, TimeSpan.MaxValue);
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func =
universe => universeFunc(universe as OptionFilterUniverse);
var filter = new FuncSecurityDerivativeFilter(func);
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 2, expiry), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 5, expiry), // 1
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 7, expiry), // 2
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 8, expiry), // 3
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 9, expiry), // 4
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, expiry), // 5
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 11, expiry), // 6
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 12, expiry), // 7
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 15, expiry), // 8
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 20, expiry), // 9
};
var filterUniverse = new OptionFilterUniverse(symbols, underlying);
var filtered = filter.Filter(filterUniverse).ToList();
Assert.AreEqual(underlyingPrice == 10 ? 6 : 5, filtered.Count);
Assert.AreEqual(symbols[3], filtered[0]);
Assert.AreEqual(symbols[4], filtered[1]);
Assert.AreEqual(symbols[5], filtered[2]);
Assert.AreEqual(symbols[6], filtered[3]);
Assert.AreEqual(symbols[7], filtered[4]);
if (underlyingPrice == 10)
{
Assert.AreEqual(symbols[8], filtered[5]);
}
Assert.AreEqual(true, filterUniverse.IsDynamic);
}
public void FiltersStrikeRangeWhenEmpty()
{
var underlying = new Tick {
Value = 7.5m, Time = new DateTime(2016, 02, 26)
};
Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe
.Strikes(-2, 2)
.Expiration(TimeSpan.Zero, TimeSpan.MaxValue);
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func =
universe => universeFunc(universe as OptionFilterUniverse);
var filter = new FuncSecurityDerivativeFilter(func);
var symbols = new Symbol[] { };
var filterUniverse = new OptionFilterUniverse(symbols, underlying);
var filtered = filter.Filter(filterUniverse).ToList();
Assert.AreEqual(0, filtered.Count);
Assert.AreEqual(true, filterUniverse.IsDynamic);
}
public void LinqExpressionsImmediatelyMakeUniverseDynamic()
{
var expiry1 = new DateTime(2016, 12, 02);
var expiry2 = new DateTime(2016, 12, 09);
var expiry3 = new DateTime(2016, 12, 16); // standard
var expiry4 = new DateTime(2016, 12, 23);
var underlying = new Tick {
Value = 10m, Time = new DateTime(2016, 02, 26)
};
Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => from x in universe
where x.ID.Date > new DateTime(2016, 12, 15)
select x;
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func =
universe => universeFunc(universe as OptionFilterUniverse);
var filter = new FuncSecurityDerivativeFilter(func);
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 2, expiry1), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 5, expiry1), // 1
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 7, expiry1), // 2
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 8, expiry1), // 3
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 9, expiry2), // 4
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, expiry2), // 5
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 11, expiry2), // 6
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 12, expiry3), // 7
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 15, expiry4), // 8
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 20, expiry4), // 9
};
var u = new OptionFilterUniverse(symbols, underlying);
var filtered = filter.Filter(u).ToList();
Assert.AreEqual(3, filtered.Count);
Assert.AreEqual(true, u.IsDynamic);
}
public void FiltersExpiryRange()
{
var time = new DateTime(2016, 02, 26);
var underlying = new Tick {
Value = 10m, Time = time
};
Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe
.Strikes(-10, 10)
.Expiration(TimeSpan.FromDays(3), TimeSpan.FromDays(7));
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func =
universe => universeFunc(universe as OptionFilterUniverse);
var filter = new FuncSecurityDerivativeFilter(func);
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(0)), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(1)), // 1
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(2)), // 2
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(3)), // 3
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(4)), // 4
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(5)), // 5
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(6)), // 6
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(7)), // 7
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(8)), // 8
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(9)), // 9
};
var filterUniverse = new OptionFilterUniverse(symbols, underlying);
var filtered = filter.Filter(filterUniverse).ToList();
Assert.AreEqual(5, filtered.Count);
Assert.AreEqual(symbols[3], filtered[0]);
Assert.AreEqual(symbols[4], filtered[1]);
Assert.AreEqual(symbols[5], filtered[2]);
Assert.AreEqual(symbols[6], filtered[3]);
Assert.AreEqual(symbols[7], filtered[4]);
Assert.AreEqual(true, filterUniverse.IsDynamic);
}
public void FiltersBackMonth()
{
var expiry1 = new DateTime(2016, 12, 02);
var expiry2 = new DateTime(2016, 12, 09);
var expiry3 = new DateTime(2016, 12, 16); // standard
var expiry4 = new DateTime(2016, 12, 23);
var underlying = new Tick {
Value = 10m, Time = new DateTime(2016, 02, 26)
};
Func <OptionFilterUniverse, OptionFilterUniverse> universeFunc = universe => universe.BackMonth();
Func <IDerivativeSecurityFilterUniverse, IDerivativeSecurityFilterUniverse> func =
universe => universeFunc(universe as OptionFilterUniverse);
var filter = new FuncSecurityDerivativeFilter(func);
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 2, expiry1), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 5, expiry1), // 1
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 7, expiry1), // 2
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 8, expiry1), // 3
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 9, expiry2), // 4
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, expiry2), // 5
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 11, expiry2), // 6
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 12, expiry3), // 7
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 15, expiry4), // 8
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 20, expiry4), // 9
};
var filterUniverse = new OptionFilterUniverse(symbols, underlying);
var filtered = filter.Filter(filterUniverse).ToList();
Assert.AreEqual(3, filtered.Count);
Assert.AreEqual(false, filterUniverse.IsDynamic);
}
/// <summary>
/// Defines the option chain universe filter
/// </summary>
protected virtual OptionFilterUniverse Filter(OptionFilterUniverse filter)
{
// NOP
return(filter);
}
/// <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="start">The history request start time</param>
/// <param name="end">The history request end time. Defaults to 1 day if null</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 start, DateTime?end = null, Resolution?resolution = null)
{
if (!end.HasValue || end.Value == start)
{
end = start.AddDays(1);
}
// Load a canonical option Symbol if the user provides us with an underlying Symbol
if (!symbol.SecurityType.IsOption())
{
var option = AddOption(symbol, resolution, symbol.ID.Market);
// Allow 20 strikes from the money for futures. No expiry filter is applied
// so that any future contract provided will have data returned.
if (symbol.SecurityType == SecurityType.Future && symbol.IsCanonical())
{
throw new ArgumentException("The Future Symbol provided is a canonical Symbol (i.e. a Symbol representing all Futures), which is not supported at this time. " +
"If you are using the Symbol accessible from `AddFuture(...)`, use the Symbol from `AddFutureContract(...)` instead. " +
"You can use `qb.FutureOptionChainProvider(canonicalFuture, datetime)` to get a list of futures contracts for a given date, and add them to your algorithm with `AddFutureContract(symbol, Resolution)`.");
}
if (symbol.SecurityType == SecurityType.Future && !symbol.IsCanonical())
{
option.SetFilter(universe => universe.Strikes(-10, +10));
}
symbol = option.Symbol;
}
IEnumerable <Symbol> symbols;
if (symbol.IsCanonical())
{
// canonical symbol, lets find the contracts
var option = Securities[symbol] as Option;
var resolutionToUseForUnderlying = resolution ?? SubscriptionManager.SubscriptionDataConfigService
.GetSubscriptionDataConfigs(symbol)
.GetHighestResolution();
if (!Securities.ContainsKey(symbol.Underlying))
{
if (symbol.Underlying.SecurityType == SecurityType.Equity)
{
// only add underlying if not present
AddEquity(symbol.Underlying.Value, resolutionToUseForUnderlying);
}
if (symbol.Underlying.SecurityType == SecurityType.Future && symbol.Underlying.IsCanonical())
{
AddFuture(symbol.Underlying.ID.Symbol, resolutionToUseForUnderlying);
}
else if (symbol.Underlying.SecurityType == SecurityType.Future)
{
AddFutureContract(symbol.Underlying, resolutionToUseForUnderlying);
}
}
var allSymbols = new List <Symbol>();
for (var date = start; date < end; date = date.AddDays(1))
{
if (option.Exchange.DateIsOpen(date))
{
allSymbols.AddRange(OptionChainProvider.GetOptionContractList(symbol.Underlying, date));
}
}
var optionFilterUniverse = new OptionFilterUniverse();
var distinctSymbols = allSymbols.Distinct();
symbols = base.History(symbol.Underlying, start, end.Value, resolution)
.SelectMany(x =>
{
// the option chain symbols wont change so we can set 'exchangeDateChange' to false always
optionFilterUniverse.Refresh(distinctSymbols, x, exchangeDateChange: false);
return(option.ContractFilter.Filter(optionFilterUniverse));
})
.Distinct().Concat(new[] { symbol.Underlying });
}
else
{
// the symbol is a contract
symbols = new List <Symbol> {
symbol
};
}
return(new OptionHistory(History(symbols, start, end.Value, resolution)));
}
public OptionFilterUniverse UniverseFunc(OptionFilterUniverse universe)
{
return(universe.IncludeWeeklys().Strikes(-this._no_K, this._no_K).Expiration(Util.timedelta(1), Util.timedelta(this.MAX_EXPIRY)));
}
protected override OptionFilterUniverse Filter(OptionFilterUniverse filter)
{
return(filter.BackMonth().Contracts(filter.Take(15)));
}
