Example of doing backtest on future options

To help you get started with backtesting future options in C#, here's a step-by-step guide using the information from the documentation and API references:

1. Initialize the Algorithm: Set up your algorithm by specifying the start and end dates, initial cash, and the future contracts you want to trade.

2. Add Future Contracts: Use the AddFuture method to add the desired future contracts, such as ZC (Corn) from the CBOT market, and set appropriate filters for the contract months.

3. Add Future Options: Utilize the AddFutureOption method to add options on the future contracts, applying filters to narrow down the option chain to your requirements.

4. Access Option Chains: In the OnData method, access the option chains using the OptionChains property from the Slice object to retrieve available contracts.

5. Select Contracts: Implement logic to select specific option contracts based on criteria such as strike price, expiry date, and option type (e.g., call or put).

6. Place Orders: Use methods like MarketOrder to execute trades on the selected option contracts based on your trading strategy.

7. Handle Order Events: Implement the OnOrderEvent method to handle order events and log or debug information about executed trades.

Here's a basic example of how you might set up a C# algorithm to backtest future options:

using QuantConnect.Algorithm;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Securities;
using System;
using System.Linq;

public class FutureOptionAlgorithm : QCAlgorithm
{
    private QuantConnect.Symbol _futureSymbol;
    private QuantConnect.Symbol _optionSymbol;

    public override void Initialize()
    {
        SetStartDate(2024, 12, 1);
        SetEndDate(2025, 3, 31);
        SetCash(100000);

        // Add the future contract
        var future = AddFuture(QuantConnect.Securities.Futures.Grains.Corn, QuantConnect.Resolution.Minute, QuantConnect.Market.CBOT);
        future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(180));

        // Add future options
        AddFutureOption(future.Symbol, optionFilter => optionFilter.Strikes(-5, +5).CallsOnly().FrontMonth());
    }

    public override void OnData(Slice slice)
    {
        if (Portfolio.Invested) return;

        foreach (var chain in slice.OptionChains)
        {
            var contracts = chain.Value
                .Where(contract => contract.Expiry > Time && contract.Right == QuantConnect.OptionRight.Call)
                .OrderByDescending(contract => contract.Expiry)
                .ThenBy(contract => Math.Abs(contract.Strike - chain.Value.Underlying.Price));

            var contract = contracts.FirstOrDefault();
            if (contract != null)
            {
                _optionSymbol = contract.Symbol;
                MarketOrder(_optionSymbol, 1);
            }
        }
    }

    public override void OnOrderEvent(OrderEvent orderEvent)
    {
        Debug($"{Time} {orderEvent}");
    }
}

This example sets up a basic framework for trading future options on the Corn futures contract. You can modify the selection criteria and trading logic to suit your specific strategy.

Sources: Basic Template Future Option Algorithm, US Future Options - QuantConnect.com, Future Options - QuantConnect.com, Individual Contracts - QuantConnect.com, Futures Fast Trend Following, with Trend Strength