/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
var symbol = kvp.Key;
OptionChain chain;
if (!TryGetOptionChain(algorithm, symbol, out chain))
{
return(insights);
}
//compute IV from some ATM options
decimal iv = 0;
var options = chain.Where((o) => o.UnderlyingLastPrice > o.Strike - STRIKE_SPREAD && o.UnderlyingLastPrice < o.Strike + STRIKE_SPREAD);
if (options.Count() < 2)
{
algorithm.Log("No options available to compute IV!");
return(insights);
}
iv = AverageIV(algorithm, options);
kvp.Value.Update(data.Time, iv);
var std = kvp.Value.STD;
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(std, out mag);
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
case State.TrippedLow:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
var symbol = kvp.Key;
OptionChain chain;
if (!TryGetOptionChain(algorithm, symbol, out chain))
{
return(insights);
}
decimal max_pain_strike = FindMaxPain(algorithm, chain);
if (max_pain_strike <= 0)
{
algorithm.Log("Insufficient data to compute max pain!");
return(insights);
}
//find the distance of price to the current max pain strike
decimal max_pain_distance = chain.Underlying.Price - max_pain_strike;
kvp.Value.Update(data.Time, max_pain_strike, max_pain_distance);
var std = kvp.Value.STD;
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(std, max_pain_distance, out mag); //get the STD (magnitude)
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh: //bullish
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
case State.TrippedLow: //bearish
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
var symbol = kvp.Key;
try
{
var frontOptions = OptionTools.GetOptionsForExpiry(algorithm, symbol, 0);
var backOptions = OptionTools.GetOptionsForExpiry(algorithm, symbol, 1);
var frontiv = AverageIV(algorithm, frontOptions);
var backiv = AverageIV(algorithm, backOptions);
kvp.Value.Update(data.Time, frontiv, backiv);
} catch (Exception ex)
{
algorithm.Log("Failed to compute IV!");
continue;
}
var std = kvp.Value.STD;
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(std, out mag);
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
case State.TrippedLow:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
if (!data.ContainsKey(kvp.Key) || data[kvp.Key] == null)
{
continue;
}
var symbol = kvp.Key;
kvp.Value.Update(data[kvp.Key]);
var std = kvp.Value.STD;
if (!std.IsReady)
{
continue;
}
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(kvp.Value.Indicator.Current.Value, std, out mag);
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
case State.TrippedLow:
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithm algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var symbolData in _symbolDataBySymbol.Values)
{
if (symbolData.Fast.IsReady && symbolData.Slow.IsReady)
{
var ratio1 = (double)symbolData.Slow.Current.Value / (double)symbolData.Fast.Current.Value;
var ratio2 = (double)symbolData.Fast.Current.Value / (double)symbolData.Slow.Current.Value;
var insightPeriod = _resolution.ToTimeSpan().Multiply(_predictionInterval);
if (symbolData.FastIsOverSlow)
{
if (ratio1 > 1.0005)
{
insights.Add(Insight.Price(
symbolData.Symbol,
_resolution,
_predictionInterval,
InsightDirection.Down,
null, null, null,
ratio1
));
}
}
else if (symbolData.SlowIsOverFast)
{
if (ratio2 > 1.0005)
{
insights.Add(Insight.Price(
symbolData.Symbol,
_resolution,
_predictionInterval,
InsightDirection.Up,
null, null, null,
ratio2
));
}
}
}
symbolData.FastIsOverSlow = symbolData.Fast > symbolData.Slow;
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
if (data == null || data.OptionChains == null || data.OptionChains.Count() < 1)
{
return(new List <Insight>());
}
var chainItem = data.OptionChains.First();
var symbol = chainItem.Key.Underlying;
var options = OptionTools.GetOptionsForExpiry(algorithm, symbol, 0);
var count = options.Where((o) =>
(o.Expiry - data.Time).TotalDays <= _daysOpenBegin &&
(o.Expiry - data.Time).TotalDays >= _daysOpenEnd)
.Count();
if (count > 0)
{
return(new List <Insight>()
{
Insight.Price(chainItem.Key.Underlying, TimeSpan.FromDays(1), InsightDirection.Up)
});
}
count = options.Where((o) =>
Math.Abs((o.Expiry - data.Time).TotalDays) <= _daysCloseBegin &&
Math.Abs((o.Expiry - data.Time).TotalDays) >= _daysCloseEnd)
.Count();
if (count > 0)
{
return(new List <Insight>()
{
Insight.Price(chainItem.Key.Underlying, TimeSpan.FromDays(1), InsightDirection.Down)
});
}
return(new List <Insight>());
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithm algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var symbolData in _symbolDataBySymbol.Values)
{
if (symbolData.CanEmit())
{
var direction = InsightDirection.Flat;
var magnitude = (double)symbolData.ROC.Current.Value;
if (magnitude > 0)
{
direction = InsightDirection.Up;
}
if (magnitude < 0)
{
direction = InsightDirection.Down;
}
insights.Add(Insight.Price(symbolData.Security.Symbol, _predictionInterval, direction, magnitude, null));
}
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public virtual IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
if (_mean?.IsReady != true)
{
return(Enumerable.Empty <Insight>());
}
// don't re-emit the same direction
if (_state != State.LongRatio && _ratio > _upperThreshold)
{
_state = State.LongRatio;
// asset1/asset2 is more than 2 std away from mean, short asset1, long asset2
var shortAsset1 = Insight.Price(_asset1, TimeSpan.FromMinutes(15), InsightDirection.Down);
var longAsset2 = Insight.Price(_asset2, TimeSpan.FromMinutes(15), InsightDirection.Up);
// creates a group id and set the GroupId property on each insight object
Insight.Group(shortAsset1, longAsset2);
return(new[] { shortAsset1, longAsset2 });
}
// don't re-emit the same direction
if (_state != State.ShortRatio && _ratio < _lowerThreshold)
{
_state = State.ShortRatio;
// asset1/asset2 is less than 2 std away from mean, long asset1, short asset2
var longAsset1 = Insight.Price(_asset1, TimeSpan.FromMinutes(15), InsightDirection.Up);
var shortAsset2 = Insight.Price(_asset2, TimeSpan.FromMinutes(15), InsightDirection.Down);
// creates a group id and set the GroupId property on each insight object
Insight.Group(longAsset1, shortAsset2);
return(new[] { longAsset1, shortAsset2 });
}
return(Enumerable.Empty <Insight>());
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var symbolData in _symbolDataBySymbol.Values)
{
if (data.ContainsKey(symbolData.Symbol) && symbolData.BB.IsReady)
{
var bar = ((TradeBar)data[symbolData.Symbol]);
if (bar == null)
{
return(insights);
}
symbolData.Update(bar);
var price = bar.Price;
var insightPeriod = _resolution.ToTimeSpan().Multiply(_period);
InsightDirection?direction = null;
if (price <= symbolData.BB.LowerBand.Current.Price)
{
direction = InsightDirection.Down;
}
else if (price >= symbolData.BB.UpperBand.Current.Price)
{
direction = InsightDirection.Up;
}
else
{
if (symbolData.LastDirection == InsightDirection.Up)
{
if (price <= symbolData.BB.MiddleBand.Current.Price)
{
direction = InsightDirection.Flat;
}
}
if (symbolData.LastDirection == InsightDirection.Down)
{
if (price >= symbolData.BB.MiddleBand.Current.Price)
{
direction = InsightDirection.Flat;
}
}
}
if (direction != null && direction != symbolData.LastDirection)
{
symbolData.LastDirection = (InsightDirection)direction;
if (direction == InsightDirection.Down)
{
insights.Add(Insight.Price(symbolData.Symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up));
}
else if (direction == InsightDirection.Up)
{
insights.Add(Insight.Price(symbolData.Symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down));
}
else
{
insights.Add(Insight.Price(symbolData.Symbol, insightPeriod, InsightDirection.Flat));
}
}
}
}
return(insights);
}
/// <summary>
/// Updates this alpha model with the latest data from the algorithm.
/// This is called each time the algorithm receives data for subscribed securities
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="data">The new data available</param>
/// <returns>The new insights generated</returns>
public override IEnumerable <Insight> Update(QCAlgorithmFramework algorithm, Slice data)
{
var insights = new List <Insight>();
foreach (var kvp in _symbolDataBySymbol)
{
var symbol = kvp.Key;
OptionChain chain;
if (!TryGetOptionChain(algorithm, symbol, out chain))
{
return(insights);
}
decimal calls_iv = 0;
decimal puts_iv = 0;
//compute IV for all reasonable OTM calls
var options = chain.Where((o) => o.Right == OptionRight.Call && o.UnderlyingLastPrice <o.Strike && o.AskPrice> .15m);
calls_iv = AverageIV(algorithm, options);
//compute IV for all reasonable OTM puts
options = chain.Where((o) => o.Right == OptionRight.Put && o.UnderlyingLastPrice > o.Strike && o.AskPrice > .15m);
puts_iv = AverageIV(algorithm, options);
if (calls_iv <= 0 || puts_iv <= 0)
{
algorithm.Log("Insufficient data to compute skew!");
return(insights);
}
//calls - puts => ratio, +skew bullish, -skew bearish
decimal iv_ratio = calls_iv - puts_iv;
kvp.Value.Update(data.Time, iv_ratio); //get the STD (magnitude) of skew
var std = kvp.Value.STD;
var previousState = kvp.Value.State;
var previousMag = kvp.Value.Mag;
double mag;
var state = GetState(std, iv_ratio, out mag);
if ((state != previousState || mag > previousMag) && std.IsReady)
{
var insightPeriod = _resolution.Multiply(_period);
switch (state)
{
case State.Neutral:
insights.Add(Insight.Price(symbol, insightPeriod, InsightDirection.Flat));
break;
case State.TrippedHigh: //bullish
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Down : InsightDirection.Up, mag));
break;
case State.TrippedLow: //bearish
insights.Add(Insight.Price(symbol, insightPeriod, _inverted ? InsightDirection.Up : InsightDirection.Down, mag));
break;
}
kvp.Value.State = state;
kvp.Value.Mag = mag;
}
}
return(insights);
}
/// <summary>
/// Generates a new insight for a given <see cref="OrderEvent"/>.
/// </summary>
/// <param name="orderEvent">The <see cref="OrderEvent"/> to create a new
/// <see cref="Insight"/> from</param>
/// <param name="securityHolding">The <see cref="SecurityHolding"/> of the
/// related <see cref="OrderEvent.Symbol"/></param>
/// <returns></returns>
public Insight GenerateInsightFromFill(OrderEvent orderEvent,
SecurityHolding securityHolding)
{
var desiredFinalQuantity = orderEvent.FillQuantity + securityHolding.Quantity;
Insight existingInsight;
_insights.TryGetValue(orderEvent.Symbol, out existingInsight);
double?confidence;
if (// new position
securityHolding.Quantity == 0
// closing the entire position
|| desiredFinalQuantity == 0
// changing market sides
|| Math.Sign(desiredFinalQuantity) != Math.Sign(securityHolding.Quantity)
// increasing the position
|| Math.Sign(orderEvent.FillQuantity) == Math.Sign(securityHolding.Quantity))
{
confidence = 1;
}
else
{
// we are reducing the position, so set the confidence based on the original position
confidence = (double)(securityHolding.AbsoluteQuantity - orderEvent.AbsoluteFillQuantity)
/ (double)securityHolding.AbsoluteQuantity;
if (existingInsight != null)
{
// we have to adjust new confidence based on previous
confidence = confidence * existingInsight.Confidence;
}
}
var insightDirection = desiredFinalQuantity > 0
? InsightDirection.Up : desiredFinalQuantity == 0
? InsightDirection.Flat : InsightDirection.Down;
var insight = Insight.Price(orderEvent.Symbol,
Time.EndOfTime,
insightDirection,
null,
confidence,
AutoGeneratedSourceModel);
insight.GeneratedTimeUtc = orderEvent.UtcTime;
// When a new insight is generated, will update the <see cref="Insight.CloseTimeUtc"/>
// of the previous insight for the same <see cref="Symbol"/>.
if (existingInsight != null)
{
// close the previous insight
existingInsight.CloseTimeUtc = insight.GeneratedTimeUtc;
_insights.Remove(insight.Symbol);
}
_insights.Add(insight.Symbol, insight);
insight.SetPeriodAndCloseTime(null);
return(insight);
}