public void OnEndOfTimeStepDoesNotThrowWhenSeedsSameUnderlyingForTwoSecurities()
{
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
qcAlgorithm.SetLiveMode(true);
var testHistoryProvider = new TestHistoryProvider();
qcAlgorithm.HistoryProvider = testHistoryProvider;
var option = qcAlgorithm.AddOption(testHistoryProvider.underlyingSymbol);
var symbol = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
OptionRight.Call, 1, new DateTime(2015, 12, 24));
var symbol2 = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
OptionRight.Put, 1, new DateTime(2015, 12, 24));
var optionContract = qcAlgorithm.AddOptionContract(symbol, Resolution.Daily);
var optionContract2 = qcAlgorithm.AddOptionContract(symbol2, Resolution.Minute);
qcAlgorithm.OnEndOfTimeStep();
var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData();
Assert.AreEqual(testHistoryProvider.LastResolutionRequest, Resolution.Minute);
Assert.IsNotNull(data);
Assert.AreEqual(data.Price, 2);
}
private static Security InitAndGetSecurity(QCAlgorithm algo, decimal fee, SecurityType securityType = SecurityType.Equity, string symbol = "SPY", DateTime?time = null)
{
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
Security security;
if (securityType == SecurityType.Equity)
{
security = algo.AddEquity(symbol);
_symbol = security.Symbol;
}
else if (securityType == SecurityType.Option)
{
security = algo.AddOption(symbol);
_symbol = security.Symbol;
}
else if (securityType == SecurityType.Future)
{
security = algo.AddFuture(symbol == "SPY" ? "ES" : symbol);
_symbol = security.Symbol;
}
else
{
throw new Exception("SecurityType not implemented");
}
security.FeeModel = new ConstantFeeModel(fee);
Update(security, 25, time);
return(security);
}
private static Security InitAndGetSecurity(QCAlgorithm algo, decimal fee, SecurityType securityType = SecurityType.Equity, string symbol = "SPY")
{
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
Security security;
if (securityType == SecurityType.Equity)
{
security = algo.AddEquity(symbol);
_symbol = security.Symbol;
}
else if (securityType == SecurityType.Option)
{
security = algo.AddOption(symbol);
_symbol = security.Symbol;
}
else if (securityType == SecurityType.Future)
{
security = algo.AddFuture(symbol);
_symbol = security.Symbol;
}
else
{
throw new Exception("SecurityType not implemented");
}
security.TransactionModel = new ConstantFeeTransactionModel(fee);
Update(algo.Portfolio.CashBook, security, 25);
return(security);
}
public void AddDataOptionsTickerHasNoChainedUnderlyingSymbols(string ticker, Type customDataType)
{
SymbolCache.Clear();
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
var asset = qcAlgorithm.AddOption(ticker);
// Dummy here is meant to try to corrupt the SymbolCache. Ideally, SymbolCache should return non-custom data types with higher priority
// in case we want to add two custom data types, but still have them associated with the equity from the cache if we're using it.
// This covers the case where two idential data subscriptions are created.
var dummy = qcAlgorithm.AddData(customDataType, ticker, Resolution.Daily, qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == SecurityType.Option).Single().DataTimeZone);
var customData = qcAlgorithm.AddData(customDataType, ticker, Resolution.Daily, qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == SecurityType.Option).Single().DataTimeZone);
// Check to see if we have an underlying symbol when we shouldn't
Assert.IsFalse(customData.Symbol.HasUnderlying, $"{customDataType.Name} has an underlying Symbol");
var assetSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == SecurityType.Option).Single();
var customDataSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == SecurityType.Base).Single();
Assert.IsTrue(assetSubscription.TickerShouldBeMapped());
Assert.IsFalse(customDataSubscription.TickerShouldBeMapped());
//Assert.AreNotEqual(assetSubscription.MappedSymbol, customDataSubscription.MappedSymbol);
}
public void DefaultBrokerageModel_IsUSA_ForOption()
{
var option = _algo.AddOption(Sym);
Assert.IsTrue(option.Symbol.ID.Market == Market.USA);
Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(DefaultBrokerageModel));
}
public void Setup()
{
var algo = new QCAlgorithm();
var settings = new UniverseSettings(Resolution.Second, 1, true, false, TimeSpan.Zero);
var timeKeeper = new TimeKeeper(new DateTime(2015, 12, 07));
var subscriptionManager = new SubscriptionManager(timeKeeper);
var securityInitializer = SecurityInitializer.Null;
_canonicalSecurity = algo.AddOption("SPY");
_optionsChainUniverse = new OptionChainUniverse(_canonicalSecurity, settings, subscriptionManager, securityInitializer);
}
public void NonAccountCurrency_GetBuyingPower(decimal nonAccountCurrencyCash)
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.Portfolio.SetAccountCurrency("EUR");
algorithm.Portfolio.SetCash(10000);
algorithm.Portfolio.SetCash(Currencies.USD, nonAccountCurrencyCash, 0.88m);
var option = algorithm.AddOption("SPY");
var buyingPowerModel = new OptionMarginModel();
var quantity = buyingPowerModel.GetBuyingPower(new BuyingPowerParameters(
algorithm.Portfolio, option, OrderDirection.Buy));
Assert.AreEqual(10000m + algorithm.Portfolio.CashBook[Currencies.USD].ValueInAccountCurrency,
quantity.Value);
}
public void AddOptionWithUnderlyingFuture()
{
// Adds an option containing a Future as its underlying Symbol.
// This is an essential step in enabling custom derivatives
// based on any asset class provided to Option. This test
// checks the ability to create Future Options.
var algo = new QCAlgorithm();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
var underlying = algo.AddFuture("ES", Resolution.Minute, Market.CME);
underlying.SetFilter(0, 365);
var futureOption = algo.AddOption(underlying.Symbol, Resolution.Minute);
Assert.IsTrue(futureOption.Symbol.HasUnderlying);
Assert.AreEqual(underlying.Symbol, futureOption.Symbol.Underlying);
}
public void PythonFilterFunctionReturnsUniverse()
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var spyOption = algorithm.AddOption("SPY");
using (Py.GIL())
{
//Filter function that returns a OptionFilterUniverse
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"def filter(universe):\n" +
" universe = universe.WeeklysOnly().Expiration(0, 5)\n" +
" return universe"
);
var filterFunction = module.GetAttr("filter");
Assert.DoesNotThrow(() => spyOption.SetFilter(filterFunction));
}
}
public void PythonFilterFunctionReturnsList()
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var spyOption = algorithm.AddOption("SPY");
using (Py.GIL())
{
//Filter function that returns a list of symbols
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"def filter(universe):\n" +
" universe = universe.WeeklysOnly().Expiration(0, 10)\n" +
" return [symbol for symbol in universe\n" +
" if symbol.ID.OptionRight != OptionRight.Put\n" +
" and universe.Underlying.Price - symbol.ID.StrikePrice < 10]\n"
);
var filterFunction = module.GetAttr("filter");
Assert.DoesNotThrow(() => spyOption.SetFilter(filterFunction));
}
}
/// <summary>
/// Creates and adds a new equity <see cref="Option"/> security to the algorithm
/// </summary>
/// <param name="underlying">The underlying equity symbol</param>
/// <param name="resolution">The <see cref="Resolution"/> of market data, Tick, Second, Minute, Hour, or Daily. Default is <see cref="Resolution.Minute"/></param>
/// <param name="market">The equity's market, <seealso cref="Market"/>. Default is value null and looked up using BrokerageModel.DefaultMarkets in <see cref="AddSecurity{T}"/></param>
/// <param name="fillDataForward">If true, returns the last available data even if none in that timeslice. Default is <value>true</value></param>
/// <param name="leverage">The requested leverage for this equity. Default is set by <see cref="SecurityInitializer"/></param>
/// <returns>The new <see cref="Option"/> security</returns>
public Option AddOption(string underlying, Resolution resolution = Resolution.Minute, string market = null, bool fillDataForward = true, decimal leverage = 0m)
{
return(_algorithm.AddOption(underlying, resolution, market, fillDataForward, leverage));
}
