/// <summary>
/// Creates a new <see cref="BacktestingBrokerage"/> instance
/// </summary>
/// <param name="algorithmNodePacket">Job packet</param>
/// <param name="uninitializedAlgorithm">The algorithm instance before Initialize has been called</param>
/// <param name="factory">The brokerage factory</param>
/// <returns>The brokerage instance, or throws if error creating instance</returns>
public IBrokerage CreateBrokerage(AlgorithmNodePacket algorithmNodePacket, IAlgorithm uninitializedAlgorithm, out IBrokerageFactory factory)
{
factory = new BacktestingBrokerageFactory();
var optionMarketSimulation = new BasicOptionAssignmentSimulation();
return(new BacktestingBrokerage(uninitializedAlgorithm, optionMarketSimulation));
}
public void GenerateSimulationDatesFromOptionExpirations()
{
var algorithm = new QCAlgorithm();
var sim = new BasicOptionAssignmentSimulation();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetCash(100000);
var securities = new SecurityManager(TimeKeeper);
algorithm.Securities = securities;
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.SPY), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.SPY].SetMarketPrice(new TradeBar {
Time = securities.UtcTime, Symbol = Symbols.SPY, Close = 195
});
var option1 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 192m, new DateTime(2016, 02, 16));
securities.Add(option1, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, option1), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var option2 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 193m, new DateTime(2016, 02, 19));
securities.Add(option2, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, option2), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var option3 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 190m, new DateTime(2016, 03, 18));
securities.Add(option3, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, option3), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
securities[option1].Holdings.SetHoldings(1, -100);
securities[option2].Holdings.SetHoldings(1, -100);
securities[option3].Holdings.SetHoldings(1, -100);
var startSim = new DateTime(2016, 01, 22);
var endSim = new DateTime(2016, 03, 19);
algorithm.SetDateTime(startSim);
// we run request for simulation every minute up to the expiration date of option2
// Option3 is too far in the future - we update dates list every month
int countSims = 0;
foreach (var count in Enumerable.Range(0, (int)(endSim - startSim).TotalMinutes))
{
algorithm.SetDateTime(startSim.AddMinutes(count));
countSims += sim.IsReadyToSimulate(algorithm)? 1 : 0;
}
// there should be 132 attempts to run simulation
Assert.AreEqual(132, countSims);
}
public void SimulatesAssignment()
{
var algorithm = new QCAlgorithm();
var sim = new BasicOptionAssignmentSimulation();
var securities = new SecurityManager(TimeKeeper);
var brokerage = new Mock <BacktestingBrokerage>(algorithm);
algorithm.Securities = securities;
// dictionaries with expected and actual results
var expected = new Dictionary <Option, bool>();
var actual = new Dictionary <Option, bool>();
brokerage.Setup(m => m.ActivateOptionAssignment(It.IsAny <Option>(), It.IsAny <int>()))
.Callback <Option, int>((option, quantity) => { actual[option] = true; });
// we build option chain at expiration
var expiration = new DateTime(2016, 02, 19);
var today = expiration.AddDays(-3);
algorithm.SetDateTime(today);
// we define option chain with expected results for each contract (if it is optimal to exercise it or not)
var optionChain = new[] { new { Right = OptionRight.Call, StrikePrice = 190.0m, BidPrice = 27.81m, AskPrice = 28.01m, Exercise = true },
new { Right = OptionRight.Call, StrikePrice = 193.0m, BidPrice = 24.87m, AskPrice = 24.99m, Exercise = true },
new { Right = OptionRight.Call, StrikePrice = 196.0m, BidPrice = 21.50m, AskPrice = 21.63m, Exercise = true },
new { Right = OptionRight.Call, StrikePrice = 198.0m, BidPrice = 18.79m, AskPrice = 18.96m, Exercise = true },
new { Right = OptionRight.Call, StrikePrice = 200.0m, BidPrice = 17.77m, AskPrice = 17.96m, Exercise = true },
new { Right = OptionRight.Call, StrikePrice = 202.0m, BidPrice = 15.31m, AskPrice = 15.47m, Exercise = true },
new { Right = OptionRight.Put, StrikePrice = 225.0m, BidPrice = 7.071m, AskPrice = 7.26m, Exercise = true },
new { Right = OptionRight.Put, StrikePrice = 226.0m, BidPrice = 8.07m, AskPrice = 8.24m, Exercise = true },
new { Right = OptionRight.Put, StrikePrice = 227.0m, BidPrice = 9.59m, AskPrice = 9.77m, Exercise = true },
new { Right = OptionRight.Put, StrikePrice = 230.0m, BidPrice = 12.01m, AskPrice = 12.34m, Exercise = true },
new { Right = OptionRight.Put, StrikePrice = 240.0m, BidPrice = 22.01m, AskPrice = 22.32m, Exercise = true } };
Func <OptionRight, decimal, decimal, decimal, Option> optionDef =
(right, strikePrice, bidPrice, askPrice) =>
{
var symbol = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, right, strikePrice, expiration);
var option = new Option(
SecurityExchangeHours,
CreateTradeBarDataConfig(SecurityType.Option, symbol),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance
);
securities.Add(symbol, option);
securities[symbol].Holdings.SetHoldings(1, -1000);
securities[symbol].SetMarketPrice(new Tick {
Symbol = symbol, AskPrice = askPrice, BidPrice = bidPrice, Value = (askPrice + bidPrice) / 2.0m, Time = today
});
return(option);
};
// setting up the underlying instrument
securities.Add(
Symbols.SPY,
new Security(
SecurityExchangeHours,
CreateTradeBarDataConfig(SecurityType.Equity, Symbols.SPY),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
)
);
securities[Symbols.SPY].SetMarketPrice(new Tick {
Symbol = Symbols.SPY, AskPrice = 217.94m, BidPrice = 217.86m, Value = 217.90m, Time = securities.UtcTime
});
foreach (var def in optionChain)
{
expected.Add(optionDef(def.Right, def.StrikePrice, def.BidPrice, def.AskPrice), def.Exercise);
}
// running the simulation
sim.SimulateMarketConditions(brokerage.Object, algorithm);
// checking results
foreach (var result in actual)
{
Assert.AreEqual(expected[result.Key], result.Value);
}
}