Skip to content

Allow FOPs universe file generation when missing underlying data #23

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
jhonabreul merged 4 commits into from
Jan 21, 2025
Merged

Allow FOPs universe file generation when missing underlying data #23

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
4 commits
Select commit Hold shift + click to select a range
f8f59c7
Allow FOPs universe file generation when missing underlying data
jhonabreul Jan 20, 2025
ac95a90
Introduce abstract method to decide whether to skip entries when miss…
jhonabreul Jan 20, 2025
20d5985
Minor abstraction changes
jhonabreul Jan 20, 2025
2bb7d9c
Minor fix
jhonabreul Jan 21, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
27 changes: 17 additions & 10 deletions Lean.DataSource.DerivativeUniverseGenerator/DerivativeUniverseGenerator.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -158,17 +158,17 @@ private bool GenerateUniverses(Dictionary<Symbol, List<Symbol>> symbols)

if (underlyingSymbol is not null)
{
var underlyingEntryGenerated = TryGenerateAndWriteUnderlyingLine(underlyingSymbol, underlyingMarketHoursEntry, writer,
var underlyingEntryGenerated = TryGenerateAndWriteUnderlyingLine(underlyingSymbol, underlyingMarketHoursEntry, writer,
out underlyingEntry, out underlyingHistory);
// Underlying not mapped or missing data, so just skip them
if (!underlyingEntryGenerated)
{
Interlocked.Increment(ref underlyingsWithMissingData);
Log.Error($"DerivativeUniverseGenerator.GenerateUniverses(): " +
$"Underlying data missing for {underlyingSymbol} on {_processingDate:yyyy/MM/dd}, universe file will not be generated.");
UpdateEta(ref symbolCounter, totalContracts, start, contractsSymbols.Count);
return;
}
// Underlying not mapped or missing data, so just skip them. Unless FOPs which don't have greeks, don't need the underlying data
if (!underlyingEntryGenerated && NeedsUnderlyingData())
{
Interlocked.Increment(ref underlyingsWithMissingData);
Log.Error($"DerivativeUniverseGenerator.GenerateUniverses(): " +
$"Underlying data missing for {underlyingSymbol} on {_processingDate:yyyy/MM/dd}, universe file will not be generated.");
UpdateEta(ref symbolCounter, totalContracts, start, contractsSymbols.Count);
return;
}
}

var derivativeEntries = GenerateDerivativeEntries(canonicalSymbol, contractsSymbols, derivativeMarketHoursEntry,
Expand Down Expand Up @@ -389,5 +389,12 @@ protected virtual IDerivativeUniverseFileEntry GenerateDerivativeEntry(Symbol sy
/// Factory method to create an instance of <see cref="IDerivativeUniverseFileEntry"/> for the given <paramref name="symbol"/>
/// </summary>
protected abstract IDerivativeUniverseFileEntry CreateUniverseEntry(Symbol symbol);

/// <summary>
/// Whether the derivative lines generation requires underlying data.
/// If true and the underlying entry has no market data, the derivative entries will be skipped.
/// </summary>
/// <returns></returns>
protected abstract bool NeedsUnderlyingData();
}
}
5 changes: 5 additions & 0 deletions Lean.DataSource.FuturesUniverseGenerator/FuturesUniverseGenerator.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -52,5 +52,10 @@ protected override Dictionary<Symbol, List<Symbol>> GetSymbols()
var symbolChainProvider = new FutureChainSymbolProvider(_dataCacheProvider, _processingDate, _securityType, _market, _dataFolderRoot);
return symbolChainProvider.GetSymbols();
}

protected override bool NeedsUnderlyingData()
{
return false;
}
}
}
6 changes: 3 additions & 3 deletions Lean.DataSource.OptionsUniverseGenerator/OptionUniverseEntry.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -46,7 +46,7 @@ public OptionUniverseEntry(Symbol symbol)
{
// Options universes contain a line for the underlying: we don't need greeks for it.
// Future options don't have greeks either.
if (HasGreeks(symbol))
if (HasGreeks(symbol.SecurityType))
{
var mirrorOptionSymbol = OptionsUniverseGeneratorUtils.GetMirrorOptionSymbol(symbol);
_greeksIndicators = new GreeksIndicators(symbol, mirrorOptionSymbol);
Expand Down Expand Up @@ -104,9 +104,9 @@ public void SetGreeksIndicators(GreeksIndicators greeksIndicators)
/// <summary>
/// Returns true if the symbol has greeks.
/// </summary>
public static bool HasGreeks(Symbol symbol)
public static bool HasGreeks(SecurityType securityType)
{
return symbol.SecurityType.IsOption() && symbol.SecurityType != SecurityType.FutureOption;
return securityType.IsOption() && securityType != SecurityType.FutureOption;
}
}
}
8 changes: 7 additions & 1 deletion Lean.DataSource.OptionsUniverseGenerator/OptionsUniverseGenerator.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -58,6 +58,12 @@ protected override IDerivativeUniverseFileEntry CreateUniverseEntry(Symbol symbo
return new OptionUniverseEntry(symbol);
}

protected override bool NeedsUnderlyingData()
{
// We don't need underlying data for future options, since they don't have greeks, so no need for underlying data for calculation
return OptionUniverseEntry.HasGreeks(_securityType);
}

/// <summary>
/// Adds a request for the mirror option symbol to the base list of requests.
/// </summary>
Expand All @@ -79,7 +85,7 @@ protected override IEnumerable<IDerivativeUniverseFileEntry> GenerateDerivativeE
{
var generatedEntries = base.GenerateDerivativeEntries(canonicalSymbol, symbols, marketHoursEntry, underlyingHistory, underlyingEntry);

if (!OptionUniverseEntry.HasGreeks(canonicalSymbol))
if (!OptionUniverseEntry.HasGreeks(canonicalSymbol.SecurityType))
{
return generatedEntries;
}
Expand Down
Loading