OptionChainConsistencyRegressionAlgorithm.py

# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from datetime import datetime, timedelta

### <summary>
### This regression algorithm checks if all the option chain data coming to the algo is consistent with current securities manager state
### </summary>
### <meta name="tag" content="regression test" />
### <meta name="tag" content="options" />
### <meta name="tag" content="using data" />
### <meta name="tag" content="filter selection" />
class OptionChainConsistencyRegressionAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetCash(10000)
        self.SetStartDate(2015,12,24)
        self.SetEndDate(2015,12,24)

        option = self.AddOption("GOOG")

        # set our strike/expiry filter for this option chain
        option.SetFilter(self.UniverseFunc)

        self.SetBenchmark("GOOG")

    def OnData(self, slice):
        if self.Portfolio.Invested: return
        for kvp in slice.OptionChains:
            chain = kvp.Value
            for o in chain:
                if not self.Securities.ContainsKey(o.Symbol):
                    self.Log("Inconsistency found: option chains contains contract {0} that is not available in securities manager and not available for trading".format(o.Symbol.Value))           

            contracts = filter(lambda x: x.Expiry.date() == self.Time.date() and
                                         x.Strike < chain.Underlying.Price and
                                         x.Right ==  OptionRight.Call, chain)

            sorted_contracts = sorted(contracts, key = lambda x: x.Strike, reverse = True)

            if len(sorted_contracts) > 2:
                self.MarketOrder(sorted_contracts[2].Symbol, 1)
                self.MarketOnCloseOrder(sorted_contracts[2].Symbol, -1)

    # set our strike/expiry filter for this option chain
    def UniverseFunc(self, universe):
        return universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(10))

    def OnOrderEvent(self, orderEvent):
        self.Log(str(orderEvent))