Add Protective Collar to Option Strategies (QuantConnect#8025)

* Add Protective Collar Option Strategy * Add buying power model for Protective Collar * Add unit test for Protective Collar * Add regression test for Protective Collar * Add unit test on position group buying power * allow same strike for later abstraction * minor bug fix * Set up conversion option strategy * add margin requirement * add unit tests * Add regression test * add reverse conversion definition * add reverse conversion and refactor conversion/collar margin model * added/modified unit tests for conversion/reverse conversion * minor bug fix on unit test, add regression test * Address peer review * update new set of IB testing data
ElDuderinoBerlin · Jun 3, 2024 · 39bfbcc · 39bfbcc
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diff --git a/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityConversionRegressionAlgorithm.cs
@@ -0,0 +1,122 @@
+/*
+ * 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.
+ *
+*/
+
+using System;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option.StrategyMatcher;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Conversion option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityConversionRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
+    {
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var contracts = chain
+                        .OrderByDescending(x => x.Expiry)
+                        .ThenBy(x => x.Strike)
+                        .ToList();
+
+                    var call = contracts.Last(contract => contract.Right == OptionRight.Call);
+                    var put = contracts.Single(contract => contract.Right == OptionRight.Put && contract.Expiry == call.Expiry
+                        && contract.Strike == call.Strike);
+                    var underlying = call.Symbol.Underlying;
+
+                    var initialMargin = Portfolio.MarginRemaining;
+                    MarketOrder(underlying, 100);
+                    MarketOrder(call.Symbol, -1);
+                    MarketOrder(put.Symbol, 1);
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.Conversion.Name, 1);
+
+                    var callInTheMoneyAmount = ((Option)Securities[call.Symbol]).GetIntrinsicValue(Securities[underlying].Price);
+                    var expectedMarginUsage = (callInTheMoneyAmount + 0.1m * call.Strike) * 100;
+
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new Exception("Unexpect margin used!");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceSpreadDifference = GetPriceSpreadDifference(call.Symbol, put.Symbol, underlying);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceSpreadDifference))
+                    {
+                        throw new Exception("Unexpect margin remaining!");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 471135;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "199859"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$3.00"},
+            {"Estimated Strategy Capacity", "$1600000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "38.88%"},
+            {"OrderListHash", "8d8b71fdb1faafde96e301b4b2f9ca7d"}
+        };
+    }
+}
diff --git a/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityProtectiveCollarRegressionAlgorithm.cs
@@ -0,0 +1,123 @@
+/*
+ * 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.
+ *
+*/
+
+using System;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Securities;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option.StrategyMatcher;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Protective Collar option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityProtectiveCollarRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
+    {
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var contracts = chain
+                        .OrderByDescending(x => x.Expiry)
+                        .ThenBy(x => x.Strike)
+                        .ToList();
+
+                    var call = contracts.Last(contract => contract.Right == OptionRight.Call);
+                    var put = contracts.First(contract => contract.Right == OptionRight.Put && contract.Expiry == call.Expiry
+                        && contract.Strike < call.Strike);
+                    var underlying = call.Symbol.Underlying;
+
+                    var initialMargin = Portfolio.MarginRemaining;
+                    MarketOrder(underlying, 100);
+                    MarketOrder(call.Symbol, -1);
+                    MarketOrder(put.Symbol, 1);
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ProtectiveCollar.Name, 1);
+
+                    var putOutOfTheMoneyAmount = ((Option)Securities[put.Symbol]).OutOfTheMoneyAmount(Securities[underlying].Price);
+                    var expectedMarginUsage = Math.Min(putOutOfTheMoneyAmount + 0.1m * put.Strike, 0.25m * call.Strike) * 100;
+
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new Exception("Unexpect margin used!");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceSpreadDifference = GetPriceSpreadDifference(call.Symbol, put.Symbol, underlying);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceSpreadDifference))
+                    {
+                        throw new Exception("Unexpect margin remaining!");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 471135;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "199859"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$3.00"},
+            {"Estimated Strategy Capacity", "$1600000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "38.71%"},
+            {"OrderListHash", "74791244fa3c7fbefd47dd99c3cd6fa7"}
+        };
+    }
+}
diff --git a/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityReverseConversionRegressionAlgorithm.cs
@@ -0,0 +1,122 @@
+/*
+ * 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.
+ *
+*/
+
+using System;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option.StrategyMatcher;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm exercising an equity Reverse Conversion option strategy and asserting it's being detected by Lean and works as expected
+    /// </summary>
+    public class OptionEquityReverseConversionRegressionAlgorithm : OptionEquityBaseStrategyRegressionAlgorithm
+    {
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var contracts = chain
+                        .OrderByDescending(x => x.Expiry)
+                        .ThenBy(x => x.Strike)
+                        .ToList();
+
+                    var call = contracts.Last(contract => contract.Right == OptionRight.Call);
+                    var put = contracts.Single(contract => contract.Right == OptionRight.Put && contract.Expiry == call.Expiry
+                        && contract.Strike == call.Strike);
+                    var underlying = call.Symbol.Underlying;
+
+                    var initialMargin = Portfolio.MarginRemaining;
+                    MarketOrder(underlying, -100);
+                    MarketOrder(call.Symbol, 1);
+                    MarketOrder(put.Symbol, -1);
+                    var freeMarginPostTrade = Portfolio.MarginRemaining;
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ReverseConversion.Name, 1);
+
+                    var putInTheMoneyAmount = ((Option)Securities[put.Symbol]).GetIntrinsicValue(Securities[underlying].Price);
+                    var expectedMarginUsage = (putInTheMoneyAmount + 0.1m * call.Strike) * 100;
+
+                    if (expectedMarginUsage != Portfolio.TotalMarginUsed)
+                    {
+                        throw new Exception("Unexpect margin used!");
+                    }
+
+                    // we payed the ask and value using the assets price
+                    var priceSpreadDifference = GetPriceSpreadDifference(call.Symbol, put.Symbol, underlying);
+                    if (initialMargin != (freeMarginPostTrade + expectedMarginUsage + _paidFees - priceSpreadDifference))
+                    {
+                        throw new Exception("Unexpect margin remaining!");
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 471135;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "199801"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$3.00"},
+            {"Estimated Strategy Capacity", "$7500000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "38.84%"},
+            {"OrderListHash", "722e8214812becc745646ff31fcbce1b"}
+        };
+    }
+}