| Overall Statistics |
|
Total Trades 206 Average Win 8.43% Average Loss -0.59% Compounding Annual Return 12.693% Drawdown 33.400% Expectancy 1.910 Net Profit 407.685% Sharpe Ratio 0.774 Probabilistic Sharpe Ratio 15.121% Loss Rate 81% Win Rate 19% Profit-Loss Ratio 14.28 Alpha 0.062 Beta 0.784 Annual Standard Deviation 0.19 Annual Variance 0.036 Information Ratio 0.352 Tracking Error 0.111 Treynor Ratio 0.188 Total Fees $26756.87 |
import matplotlib.pyplot as plt
from matplotlib.ticker import PercentFormatter
import pandas as pd
def AddDrawdownInformation(df):
# convert to cumulative return series
cumRetSeries = df.add(1).cumprod()
# initialize variables
lastPeak = cumRetSeries.iloc[0][0]
cumRetSeries['drawdown'] = 1
cumRetSeries['ddGroup'] = 0
# loop through the series and calculate drawdown
count = 0
for i in range(len(cumRetSeries)):
if cumRetSeries.iloc[i, 0] < lastPeak:
cumRetSeries.iloc[i, 1] = cumRetSeries.iloc[i, 0] / lastPeak
cumRetSeries.iloc[i, 2] = count
else:
lastPeak = cumRetSeries.iloc[i, 0]
cumRetSeries.iloc[i, 2] = count
count += 1
cumRetSeries['drawdown'] = cumRetSeries['drawdown'] - 1
# get the max drawdown per group
maxDrawdown = cumRetSeries.groupby('ddGroup', as_index = False)['drawdown'].min()
maxDrawdown = maxDrawdown['drawdown']
maxDrawdown = maxDrawdown.to_frame()
maxDrawdown.columns = ['maxDrawdown']
# get the start of the drawdown for each group
startDrawdown = {key: value[0].date() for key, value in cumRetSeries.groupby('ddGroup').groups.items()}
startDrawdown = pd.DataFrame.from_dict(startDrawdown, orient = 'index')
startDrawdown.columns = ['startDrawdown']
# get the end of the drawdown for each group
endDrawdown = {key: value[-1].date() for key, value in cumRetSeries.groupby('ddGroup').groups.items()}
endDrawdown = pd.DataFrame.from_dict(endDrawdown, orient = 'index')
endDrawdown.columns = ['endDrawdown']
# get the bottom of the drawdown for each group
bottomDrawdown = cumRetSeries.groupby('ddGroup', as_index = False)['drawdown'].idxmin()
bottomDrawdown = bottomDrawdown.to_frame()
bottomDrawdown.columns = ['bottomDrawdown']
infoDrawdown = pd.concat([startDrawdown, bottomDrawdown, endDrawdown, maxDrawdown], axis = 1)
finalDf = pd.merge(cumRetSeries, infoDrawdown, how = 'inner', left_on = 'ddGroup', right_index = True)
return finalDf
def AddDrawupInformation(drawdownDf, minimumDrawdownBetweenDrawups = 0.02):
# initialize variables
df = drawdownDf.copy()
df['drawup'] = 1
df['duGroup'] = 0
# loop through the dataframe and calculate drawup
count = 0
newDrawdown = False
for i in range(len(df)):
# check if we started a new drawdown
if df.iloc[i].name == df.iloc[i, 3] and df.iloc[i, 6] < minimumDrawdownBetweenDrawups * -1:
newDrawdown = True
if df.iloc[i].name == df.iloc[i, 4] and df.iloc[i, 6] < minimumDrawdownBetweenDrawups * -1:
lastBottom = df.iloc[i, 0]
newDrawdown = False
count += 1
if not newDrawdown and count > 0:
df.iloc[i, 7] = df.iloc[i, 0] / lastBottom
df.iloc[i, 8] = count
df['drawup'] = df['drawup'] - 1
# get the max drawup per group
maxDrawup = df.groupby('duGroup')['drawup'].max()
maxDrawup = maxDrawup.to_frame()
maxDrawup.columns = ['maxDrawup']
finalDf = pd.merge(df, maxDrawup, how = 'left', left_on = 'duGroup', right_index = True)
return finalDf
def PlotDrawdownSeries(df, maxDays = 100, minimumMaxDrawdown = 0.1):
filteredDf = df[(df['maxDrawdown'] <= minimumMaxDrawdown * -1) & (df.index >= df['startDrawdown']) & (df.index <= df['bottomDrawdown'])]
grouped = filteredDf.groupby('ddGroup')
plt.figure(figsize = (10, 10))
for name, group in grouped:
y = [0] + group['drawdown'].values[:maxDays].tolist()
y = [i * 100 for i in y]
x = [i for i in range(len(y))]
fromDate = group['startDrawdown'][0].strftime('%Y-%m-%d')
toDate = group['bottomDrawdown'][0].strftime('%Y-%m-%d')
duration = (group.index[-1] - group.index[0]).days
maxDD = group['maxDrawdown'][0]
plt.plot(x, y, label = fromDate + '/' + toDate + '; ' + str(duration) + ' days ; ' + '{:.0%}'.format(maxDD), linewidth = 1)
plt.title('Historical Drawdown Series With Max DD Above ' + '{:.0%}'.format(abs(minimumMaxDrawdown))
+ '\n First ' + str(maxDays) + ' Trading Days')
plt.gca().yaxis.set_major_formatter(PercentFormatter(decimals = 0))
plt.gca().spines['right'].set_visible(False)
plt.gca().spines['top'].set_visible(False)
plt.gca().xaxis.set_ticks_position('none')
plt.gca().yaxis.set_ticks_position('none')
plt.axhline(y = 0, color = 'black', linestyle = '-', linewidth = 1)
plt.legend(loc = 'right', bbox_to_anchor = (1.5, 0.5), ncol = 1, frameon = False)
plt.show()
def PlotDrawupSeries(df, maxDays = 100, minimumMaxDrawup = 0.1):
filteredDf = df[(df['duGroup'] != 0) & (df['maxDrawup'] > minimumMaxDrawup)]
grouped = filteredDf.groupby('duGroup')
plt.figure(figsize = (10, 10))
for name, group in grouped:
y = [0] + group['drawup'].values[:maxDays].tolist()
y = [i * 100 for i in y]
x = [i for i in range(len(y))]
fromDate = group.index[0].strftime('%Y-%m-%d')
toDate = group.index[-1].strftime('%Y-%m-%d')
duration = (group.index[-1] - group.index[0]).days
maxDU = group['maxDrawup'][0]
plt.plot(x, y, label = fromDate + '/' + toDate + '; ' + str(duration) + ' days ; ' + '{:.0%}'.format(maxDU), linewidth = 1)
plt.title('Historical Drawdup Series With Max DU Above ' + '{:.0%}'.format(abs(minimumMaxDrawup))
+ '\n First ' + str(maxDays) + ' Trading Days')
plt.gca().yaxis.set_major_formatter(PercentFormatter(decimals = 0))
plt.gca().spines['right'].set_visible(False)
plt.gca().spines['top'].set_visible(False)
plt.gca().xaxis.set_ticks_position('none')
plt.gca().yaxis.set_ticks_position('none')
plt.axhline(y = 0, color = 'black', linestyle = '-', linewidth = 1)
plt.legend(loc = 'right', bbox_to_anchor = (1.5, 0.5), ncol = 1, frameon = False)
plt.show()from QuantConnect.Securities.Option import *
from datetime import timedelta
import math
def RebalanceUnderlying(self, shares = None):
''' Rebalance holdings for the underlying asset '''
if self.tradingLogs:
self.Log('information before rebalancing underlying'
+ '; MarginRemaining: ' + str(self.Portfolio.MarginRemaining)
+ '; TotalPortfolioValue: ' + str(self.Portfolio.TotalPortfolioValue)
+ '; Underlying HoldingsValue: ' + str(self.Portfolio[self.underlyingSymbol].HoldingsValue)
+ '; Cash: ' + str(self.Portfolio.Cash))
# calculate the new target percent for the underlying
if shares is None:
shares = int(self.Portfolio.Cash / self.Securities[self.underlyingSymbol].Price)
self.MarketOrder(self.underlyingSymbol, shares, False, str('Rebalancing Underlying ' + self.specialTag))
else:
self.MarketOrder(self.underlyingSymbol, shares, False, str('Rebalancing Underlying ' + self.specialTag))
self.specialTag = ''
if self.tradingLogs:
self.Log('information after rebalancing underlying'
+ '; MarginRemaining: ' + str(self.Portfolio.MarginRemaining)
+ '; TotalPortfolioValue: ' + str(self.Portfolio.TotalPortfolioValue)
+ '; Underlying HoldingsValue: ' + str(self.Portfolio[self.underlyingSymbol].HoldingsValue)
+ '; Cash: ' + str(self.Portfolio.Cash))
def EnterOptionContracts(self, expiryGroup, expiryGroupSymbol, calendarType, positionSizing, maxExpiryDays, daysToRollBeforeExpiration,
dictCalls, dictPuts, daysToExpiration = None, remainingContractsValue = None):
''' Enter option contracts '''
if self.checkNextDay:
return False
# get only the valid calls/puts for which we actually want to trade
dictValidCalls = {key: value for key, value in dictCalls.items() if value[1] is not None and value[1] != 0}
dictValidPuts = {key: value for key, value in dictPuts.items() if value[1] is not None and value[1] != 0}
# get dictionaries with relevant contracts for calls and puts
try:
dictContracts = GetTradingContracts(self, expiryGroupSymbol, calendarType, maxExpiryDays, daysToRollBeforeExpiration, dictValidCalls, dictValidPuts)
except BaseException as e:
if self.tradingLogs:
self.Log('GetTradingContracts function failed due to: ' + str(e))
dictContracts = {'calls': {}, 'puts': {}}
# create a list with all the contracts for calls and puts to added and traded
listContracts = list(dictContracts['calls'].values()) + list(dictContracts['puts'].values())
if len(listContracts) == 0:
return False
# loop through filtered contracts and add them to get data
for contract in listContracts:
option = self.AddOptionContract(contract, Resolution.Minute)
option.PriceModel = OptionPriceModels.CrankNicolsonFD() # apply options pricing model
CustomSecurityInitializer(self, self.Securities[contract])
# check the validity of the contracts
validContracts = CheckContractValidity(self, listContracts, expiryGroup)
if not validContracts:
return False
# separate long/short calls/puts
dictLongs, dictShorts = {}, {}
dictLongs['calls'] = {key: value for key, value in dictValidCalls.items() if value[1] > 0}
dictLongs['puts'] = {key: value for key, value in dictValidPuts.items() if value[1] > 0}
dictShorts['calls'] = {key: value for key, value in dictValidCalls.items() if value[1] < 0}
dictShorts['puts'] = {key: value for key, value in dictValidPuts.items() if value[1] < 0}
# entering legs ------------------------------------------------------------
# get adjusted budget
adjustedAnnualBudget = CalculateAdjustedAnnualBudget(self, daysToRollBeforeExpiration, daysToExpiration)
# apply multiplier budget for position sizing -----------
if positionSizing == 'multiplier':
# calculate the budget for options
budgetOptions = CalculateBudgetOptions(self, expiryGroupSymbol, adjustedAnnualBudget, 1, remainingContractsValue)
# calculate sum product of option prices for the entire expiry group
sumProdOptionPrices = CalculateSumProdOptionPrices(self, dictContracts, dictLongs, dictShorts)
# calculate the number of contracts to trade
numberOfContracts = (budgetOptions / 100) / sumProdOptionPrices
# check notional ratio
notionalRatio = 0
notionalCoverage = numberOfContracts * 100
if expiryGroupSymbol in self.Portfolio.Keys:
underlyingShares = self.Portfolio[expiryGroupSymbol].Quantity
else:
underlyingShares = 0
if underlyingShares > 0:
notionalRatio = notionalCoverage / underlyingShares
self.Plot('Chart Notional', str(maxExpiryDays) + 'x' + str(daysToRollBeforeExpiration) + ' notionalRatio (%)', round(notionalRatio * 100, 0))
if abs(numberOfContracts) < 1:
self.specialTag = '(' + expiryGroup + ' trades missing since numberOfContracts < 1 on ' + str(self.Time.date()) + ')'
if self.tradingLogs:
self.Log(expiryGroup + ': numberOfContracts to trade < 1')
# -------------------------------------------------------
# start with short positions to get the premium
shortContractsValue = 0
for optionSide, strikeGroups in dictShorts.items():
for strikeGroup, value in strikeGroups.items():
if positionSizing == 'dollar':
# calculate the number of option contracts to trade
annualBudgetPercent = value[1]
optionPrice = self.Securities[dictContracts[optionSide][strikeGroup]].BidPrice
budgetOptions = CalculateBudgetOptions(self, expiryGroupSymbol, adjustedAnnualBudget, annualBudgetPercent, remainingContractsValue)
shortContractsValue += budgetOptions
shortNumberOfContracts = (budgetOptions / 100) / optionPrice
notionalRatio = CalculateNotionalRatio(self, shortNumberOfContracts, expiryGroupSymbol)
self.Plot('Chart Notional', str(maxExpiryDays) + 'x' + str(daysToRollBeforeExpiration) + ' notionalRatio (%)', round(notionalRatio * 100, 0))
if abs(shortNumberOfContracts) < 1:
self.specialTag = '(' + expiryGroup + '/' + strikeGroup + ' short trade missing since < 1 contract on ' + str(self.Time.date()) + ')'
if self.tradingLogs:
self.Log(expiryGroup + '/' + strikeGroup + ': numberOfContracts to short is less than 1')
return False
else:
multiplier = value[1]
shortContractsValue += budgetOptions * multiplier
shortNumberOfContracts = numberOfContracts * multiplier
self.MarketOrder(dictContracts[optionSide][strikeGroup], shortNumberOfContracts, False,
expiryGroup + '; short ' + optionSide + '; strike ' + '{:.0%}'.format(value[0])
+ ' vs atm; notional ratio ' + '{:.0%}'.format(notionalRatio))
# long positions
longContractsValue = 0
for optionSide, strikeGroups in dictLongs.items():
for strikeGroup, value in strikeGroups.items():
if positionSizing == 'dollar':
# calculate the number of option contracts to trade
annualBudgetPercent = value[1]
optionPrice = self.Securities[dictContracts[optionSide][strikeGroup]].AskPrice
budgetOptions = CalculateBudgetOptions(self, expiryGroupSymbol, adjustedAnnualBudget, annualBudgetPercent, remainingContractsValue)
longContractsValue += budgetOptions
longNumberOfContracts = (budgetOptions / 100) / optionPrice
notionalRatio = CalculateNotionalRatio(self, longNumberOfContracts, expiryGroupSymbol)
self.Plot('Chart Notional', str(maxExpiryDays) + 'x' + str(daysToRollBeforeExpiration) + ' notionalRatio (%)', round(notionalRatio * 100, 0))
if longNumberOfContracts < 1:
self.specialTag = '(' + expiryGroup + '/' + strikeGroup + ' long trade missing since < 1 contract on ' + str(self.Time.date()) + ')'
if self.tradingLogs:
self.Log(expiryGroup + '/' + strikeGroup + ': numberOfContracts to long is less than 1')
return False
else:
multiplier = value[1]
longContractsValue += budgetOptions * multiplier
longNumberOfContracts = numberOfContracts * multiplier
self.MarketOrder(dictContracts[optionSide][strikeGroup], longNumberOfContracts, False,
expiryGroup + '; long ' + optionSide + '; strike ' + '{:.0%}'.format(value[0])
+ ' vs atm; notional ratio ' + '{:.0%}'.format(notionalRatio))
# information for allContractsByExpiryGroup --------------------------------
# save the date when we enter the positions
entryDate = self.Time
# get the next expiry date
nextExpiryDate = listContracts[0].ID.Date
# check if we have calls/puts or bo
if dictValidCalls and dictValidPuts:
legs = 'both'
elif dictValidCalls and not dictValidPuts:
legs = 'calls'
elif not dictValidCalls and dictValidPuts:
legs = 'puts'
else:
legs = 'calls'
# save the underlying price at entry
underlyingPriceAtEntry = self.Securities[expiryGroupSymbol].Price
# initial contracts value
initialContractsValue = shortContractsValue + longContractsValue
# portfolio value at purchase
portfolioValueAtPurchase = self.Portfolio.TotalPortfolioValue
# save relevant information in the dictionary allContractsByExpiryGroup
self.allContractsByExpiryGroup[expiryGroup] = [entryDate, nextExpiryDate, legs, underlyingPriceAtEntry,
listContracts, initialContractsValue, portfolioValueAtPurchase]
if self.tradingLogs:
self.Log(expiryGroup + ': entering new option contracts for next period; nextExpiryDate: ' + str(nextExpiryDate))
return True
def CalculateAdjustedAnnualBudget(self, daysToRollBeforeExpiration, daysToExpiration):
''' Get adjusted annual budget (for rolling days and early rebalancing) for entire expiry group '''
rollAdjustment = 365 / (self.expiryDays - daysToRollBeforeExpiration)
if daysToExpiration is not None:
earlyRebalancingAdjustment = 1 - ((math.ceil(daysToExpiration) - daysToRollBeforeExpiration) / self.expiryDays)
if earlyRebalancingAdjustment < 0:
earlyRebalancingAdjustment = 1
else:
earlyRebalancingAdjustment = 1
adjustedAnnualBudget = (self.annualBudget / rollAdjustment) * earlyRebalancingAdjustment
self.Log('adjustedAnnualBudget: ' + str(adjustedAnnualBudget))
return adjustedAnnualBudget
def CalculateBudgetOptions(self, expiryGroupSymbol, adjustedAnnualBudget, annualBudgetPercent, remainingContractsValue):
''' Calculate the budget for options '''
budgetOptions = adjustedAnnualBudget * annualBudgetPercent * (self.Portfolio[expiryGroupSymbol].HoldingsValue + self.Portfolio.Cash)
self.Log('underlyingHoldingsValue + Cash: ' + str(self.Portfolio[expiryGroupSymbol].HoldingsValue + self.Portfolio.Cash))
self.Log('budgetOptions: ' + str(budgetOptions))
if remainingContractsValue is not None:
budgetOptions = budgetOptions + remainingContractsValue
self.Log('remainingContractsValue: ' + str(remainingContractsValue))
self.Log('final budgetOptions: ' + str(budgetOptions))
self.Log('end of early rebalancing ----------')
# rebalancing underlying to make sure cash and underlying holdings are well balanced
if self.Portfolio[expiryGroupSymbol].HoldingsValue > 0:
cashImbalance = self.Portfolio.Cash - budgetOptions
if cashImbalance < 0:
shares = round(cashImbalance / self.Securities[expiryGroupSymbol].Price) - 1
else:
shares = int(cashImbalance / self.Securities[expiryGroupSymbol].Price)
if self.tradingLogs:
self.Log('rebalancing underlying due to cash imbalance'
+ '; budgetOptions: ' + str(budgetOptions)
+ '; Cash: ' + str(self.Portfolio.Cash)
+ '; cashImbalance: ' + str(cashImbalance)
+ '; shares: ' + str(shares))
RebalanceUnderlying(self, shares)
self.Plot('Chart Budget', 'budgetOptions (%)', round(budgetOptions / self.Portfolio.TotalPortfolioValue, 4) * 100)
return budgetOptions
def CalculateSumProdOptionPrices(self, dictContracts, dictLongs, dictShorts):
''' calculate the sum product of option prices needed for position sizing system based on number of contracts '''
# sum product of multipliers and prices (we split into longs/shorts to correctly apply AskPrice/BidPrice)
sumProdLongCalls = sum([value[1] * self.Securities[dictContracts['calls'][key]].AskPrice for key, value in dictLongs['calls'].items()])
sumProdLongPuts = sum([value[1] * self.Securities[dictContracts['puts'][key]].AskPrice for key, value in dictLongs['puts'].items()])
sumProdShortCalls = sum([value[1] * self.Securities[dictContracts['calls'][key]].BidPrice for key, value in dictShorts['calls'].items()])
sumProdShortPuts = sum([value[1] * self.Securities[dictContracts['puts'][key]].BidPrice for key, value in dictShorts['puts'].items()])
sumProdOptionPrices = sumProdLongCalls + sumProdLongPuts + sumProdShortCalls + sumProdShortPuts
return sumProdOptionPrices
def CalculateNotionalRatio(self, numberOfContracts, expiryGroupSymbol):
''' Calculate notional ratio coverage '''
notionalRatio = 0
notionalCoverage = numberOfContracts * 100
if expiryGroupSymbol in self.Portfolio.Keys:
underlyingShares = self.Portfolio[expiryGroupSymbol].Quantity
else:
underlyingShares = 0
if underlyingShares > 0:
notionalRatio = notionalCoverage / underlyingShares
return notionalRatio
def LiquidateOptionContracts(self, expiryGroup, openContracts, tag = 'no message'):
''' Liquidate any open option contracts '''
# check the validity of the contracts
validContracts = CheckContractValidity(self, openContracts, expiryGroup)
if not validContracts:
return False
if self.tradingLogs:
openOptionContracts = GetOpenOptionContracts(self)
self.Log('open option contracts and HoldingsValue before liquidating: '
+ str({self.Securities[contract].Symbol.Value: self.Portfolio[contract].HoldingsValue for contract in openOptionContracts}))
for contract in openContracts:
if self.Securities[contract].Invested:
self.Liquidate(contract, 'Liquidated - ' + expiryGroup + ' ' + tag)
self.RemoveSecurity(contract)
self.lastMinutePricesDict.pop(contract, None)
if self.tradingLogs:
self.Log(expiryGroup + '/' + str(contract) + ': liquidating due to ' + tag)
return True
def CheckContractValidity(self, contracts, expiryGroup):
''' Check the validity of the contracts '''
for contract in contracts:
contractId = str(self.Securities[contract].Symbol).replace(' ', '')
# this is to remove specific option contracts above a certain price
if (contractId in self.avoidContractsWithPrice
and (self.Securities[contract].AskPrice > self.avoidContractsWithPrice[contractId]
or self.Securities[contract].BidPrice > self.avoidContractsWithPrice[contractId])):
if contractId not in self.dataChecksDict['contractAboveLimitPrice']:
self.dataChecksDict['contractAboveLimitPrice'].update({contractId: [self.Time]})
else:
self.dataChecksDict['contractAboveLimitPrice'][contractId].append(self.Time)
return False
elif self.Securities[contract].AskPrice == 0 or self.Securities[contract].BidPrice == 0:
if contractId not in self.dataChecksDict['contractPriceZero']:
self.dataChecksDict['contractPriceZero'].update({contractId: [self.Time]})
else:
self.dataChecksDict['contractPriceZero'][contractId].append(self.Time)
self.Plot('Chart Data Checks', 'contractPriceZero', 0)
return False
return True
def GetOpenOptionContracts(self):
''' Get any open option contracts '''
return [x.Symbol for x in self.ActiveSecurities.Values if x.Invested and x.Type == SecurityType.Option]
def GetTradingContracts(self, expiryGroupSymbol, calendarType, maxExpiryDays, daysToRollBeforeExpiration, dictCalls, dictPuts):
''' Get the final option contracts to trade '''
# get a list with the option chain for the underlying symbol and the current date
optionContracts = self.OptionChainProvider.GetOptionContractList(expiryGroupSymbol, self.Time.date())
if len(optionContracts) == 0:
if self.Time.date() not in self.dataChecksDict['emptyOptionContracts']:
self.dataChecksDict['emptyOptionContracts'].update({self.Time.date(): 'emptyOptionContracts'})
self.Plot('Chart Data Checks', 'emptyOptionContracts', 0)
return {'calls': {}, 'puts': {}}
strikePercentsForCalls = {key: value[0] for key, value in dictCalls.items()}
strikePercentsForPuts = {key: value[0] for key, value in dictPuts.items()}
# get calls and puts contracts after filtering for expiry date and strike prices
calls = FilterOptionContracts(self, optionSide = 'calls', symbol = expiryGroupSymbol, contracts = optionContracts,
strikePercents = strikePercentsForCalls, calendarType = calendarType, maxExpiryDays = maxExpiryDays,
daysToRollBeforeExpiration = daysToRollBeforeExpiration)
puts = FilterOptionContracts(self, optionSide = 'puts', symbol = expiryGroupSymbol, contracts = optionContracts,
strikePercents = strikePercentsForPuts, calendarType = calendarType, maxExpiryDays = maxExpiryDays,
daysToRollBeforeExpiration = daysToRollBeforeExpiration)
dictContracts = {'calls': calls, 'puts': puts}
return dictContracts
def FilterOptionContracts(self, optionSide, symbol, contracts, strikePercents, calendarType, maxExpiryDays, daysToRollBeforeExpiration):
'''
Description:
Filter a list of option contracts using the below arguments
Args:
optionSide: Puts/Calls
symbol: Relevant symbol
contracts: List of option contracts
strikePercents: Dictionary with strike percents
calendarType: monthlies, weeklies or any
maxExpiryDays: Number of days to find the expiration date of the contracts
Return:
A dictionary with the option contract for each strike percent
'''
if optionSide == 'calls':
side = 0
elif optionSide == 'puts':
side = 1
else:
raise ValueError('optionSide parameter has to be either calls or puts!')
# avoid specific contracts before filtering
contracts = [x for x in contracts if x.Value.replace(' ', '') not in self.avoidContracts
and x.Value.replace(' ', '')[:7] not in self.avoidContracts
and x.Value.replace(' ', '')[:9] not in self.avoidContracts
and x.Value.replace(' ', '')[:10] not in self.avoidContracts
and x.ID.OptionRight == side]
# fitler the contracts with expiry date below maxExpiryDays
if calendarType == 'monthlies':
contractList = [i for i in contracts if (OptionSymbol.IsStandardContract(i) and (i.ID.Date.date() - self.Time.date()).days <= maxExpiryDays
and (i.ID.Date.date() - self.Time.date()).days > daysToRollBeforeExpiration)]
elif calendarType == 'weeklies':
contractList = [i for i in contracts if (OptionSymbol.IsWeekly(i) and (i.ID.Date.date() - self.Time.date()).days <= maxExpiryDays
and (i.ID.Date.date() - self.Time.date()).days > daysToRollBeforeExpiration)]
elif calendarType == 'any':
contractList = [i for i in contracts if (i.ID.Date.date() - self.Time.date()).days <= maxExpiryDays]
else:
raise ValueError('calendarType must be either monthlies, weeklies or any')
# get the furthest expiration contracts
furthestExpiryDate = max([i.ID.Date for i in contractList])
furthestContracts = [i for i in contractList if i.ID.Date == furthestExpiryDate]
# find the strike price for ATM options
atmStrike = sorted(furthestContracts, key = lambda x: abs(x.ID.StrikePrice - self.Securities[symbol].Price))[0].ID.StrikePrice
# create a list of all possible strike prices
strikesList = sorted(set([i.ID.StrikePrice for i in furthestContracts]))
# find strikes
strikePrices = {}
# loop through strikePercents and create a new dictionary strikePrices with the strikeGroup and the strikePrice
for strikeGroup, strikePercent in strikePercents.items():
objectiveStrike = atmStrike * (1 + strikePercent)
if strikePercent <= 0:
strikePrices[strikeGroup] = min([x for x in strikesList if x >= objectiveStrike and x <= atmStrike])
else:
strikePrices[strikeGroup] = max([x for x in strikesList if x >= atmStrike and x <= objectiveStrike])
# find the contracts
strikeContracts = {}
# loop through strikePrices and create a new dictionary strikeContracts with the strikeGroup and the strikeContract
for strikeGroup, strikePrice in strikePrices.items():
strikeContracts[strikeGroup] = [i for i in furthestContracts if i.ID.StrikePrice == strikePrice][0]
# check if the final strike deviates too much from our strikePriceTarget
contractId = strikeContracts[strikeGroup].Value.replace(' ', '')
strikePriceTarget = atmStrike * (1 + strikePercents[strikeGroup])
if contractId not in self.dataChecksDict['strikePriceTargetDeviation']:
strikePriceTargetDeviation = abs((strikePrice / strikePriceTarget) - 1) * 100
if strikePriceTargetDeviation > self.strikePriceTargetDeviationCheck:
self.dataChecksDict['strikePriceTargetDeviation'].update({contractId: [strikePriceTarget, strikePrice]})
#self.Plot('Chart Data Checks', str(maxExpiryDays) + 'x' + str(daysToRollBeforeExpiration) + ' strikePriceTargetDeviation (%)', strikePriceTargetDeviation)
# check if the final expiry days deviates too much from our expiryDaysTarget
if contractId not in self.dataChecksDict['expiryDaysTargetDeviation']:
base = 30
expiryDaysTarget = base * round(maxExpiryDays / base)
expiryDays = (strikeContracts[strikeGroup].ID.Date.date() - self.Time.date()).days
expiryDaysTargetDeviation = abs(expiryDaysTarget - expiryDays)
if expiryDaysTargetDeviation > self.expiryDaysTargetDeviationCheck:
self.dataChecksDict['expiryDaysTargetDeviation'].update({contractId: [expiryDaysTarget, expiryDays]})
#self.Plot('Chart Data Checks', str(maxExpiryDays) + 'x' + str(daysToRollBeforeExpiration) + ' expiryDaysTargetDeviation (Days)', expiryDaysTargetDeviation)
if strikeContracts:
self.expiryDays = (furthestExpiryDate.date() - self.Time.date()).days
return strikeContracts
def UpdateBenchmarkValue(self):
''' Simulate buy and hold the Benchmark '''
if self.initBenchmarkPrice == 0:
self.initBenchmarkCash = self.Portfolio.Cash
self.initBenchmarkPrice = self.Benchmark.Evaluate(self.Time)
self.benchmarkValue = self.initBenchmarkCash
else:
currentBenchmarkPrice = self.Benchmark.Evaluate(self.Time)
self.benchmarkValue = (currentBenchmarkPrice / self.initBenchmarkPrice) * self.initBenchmarkCash
def UpdatePortfolioGreeks(self, slice):
''' Calculate the Greeks per contract and return the current Portfolio Greeks '''
portfolioGreeks = {}
# loop through the option chains
for i in slice.OptionChains:
chain = i.Value
contracts = [x for x in chain]
if len(contracts) == 0:
continue
# get the portfolio greeks
portfolioDelta = sum(x.Greeks.Delta * self.Portfolio[x.Symbol].Quantity for x in contracts) * 100
portfoliGamma = sum(x.Greeks.Gamma * self.Portfolio[x.Symbol].Quantity for x in contracts) * 100
portfolioVega = sum(x.Greeks.Vega * self.Portfolio[x.Symbol].Quantity for x in contracts) * 100
portfolioRho = sum(x.Greeks.Rho * self.Portfolio[x.Symbol].Quantity for x in contracts) * 100
portfolioTheta = sum(x.Greeks.Theta * self.Portfolio[x.Symbol].Quantity for x in contracts) * 100
portfolioGreeks = {'Delta': portfolioDelta, 'Gamma': portfoliGamma,
'Vega': portfolioVega, 'Rho': portfolioRho, 'Theta': portfolioTheta}
return portfolioGreeks
def CheckData(self, contracts):
''' Check for erroneous data '''
for contract in contracts:
# get current bid and ask prices
currentPrice = self.Securities[contract].Price
currentVolume = self.Securities[contract].Volume
currentBidPrice = self.Securities[contract].BidPrice
currentAskPrice = self.Securities[contract].AskPrice
# add bid and ask prices or retrieve the last ones if we already have them
if contract not in self.lastMinutePricesDict:
self.lastMinutePricesDict[contract] = [currentPrice, currentBidPrice, currentAskPrice]
continue
else:
lastPrice = self.lastMinutePricesDict[contract][0]
lastBidPrice = self.lastMinutePricesDict[contract][1]
lastAskPrice = self.lastMinutePricesDict[contract][2]
# update prices
self.lastMinutePricesDict[contract] = [currentPrice, currentBidPrice, currentAskPrice]
# get the percent change for both bid and ask prices
pctChangeBid = ((currentBidPrice / lastBidPrice) - 1) * 100
pctChangeAsk = ((currentAskPrice / lastAskPrice) - 1) * 100
# store extreme price changes
if abs(pctChangeBid) > self.extremePriceChangeCheck or abs(pctChangeAsk) > self.extremePriceChangeCheck:
contractId = str(self.Securities[contract].Symbol).replace(' ', '')
self.Log('contractId: ' + str(contractId)
+ '; currentPrice: ' + str(currentPrice) + '; lastPrice: ' + str(lastPrice) + '; currentVolume: ' + str(currentVolume)
+ '; currentBidPrice: ' + str(currentBidPrice) + '; lastBidPrice: ' + str(lastBidPrice)
+ '; currentAskPrice: ' + str(currentAskPrice) + '; lastAskPrice: ' + str(lastAskPrice))
if contractId not in self.dataChecksDict['extremePriceChange']:
self.dataChecksDict['extremePriceChange'].update({contractId: [self.Time]})
else:
self.dataChecksDict['extremePriceChange'][contractId].append(self.Time)
maxPctChange = pctChangeBid if abs(pctChangeBid) > abs(pctChangeAsk) else pctChangeAsk
self.Plot('Chart Data Checks', 'extremePriceChange (%)', maxPctChange)
def CustomSecurityInitializer(self, security):
'''
Description:
Initialize the security with different models
Args:
security: Security which characteristics we want to change'''
security.SetMarketPrice(self.GetLastKnownPrice(security))
security.SetDataNormalizationMode(DataNormalizationMode.Raw)
security.SetLeverage(self.leverage)
if security.Type == SecurityType.Equity:
if self.constantFeeEquities is not None:
# constant fee model that takes a dollar amount parameter to apply to each order
security.SetFeeModel(CustomFeeModel(self.constantFeeEquities))
if self.constantSlippagePercentEquities is not None:
# constant slippage model that takes a percentage parameter to apply to each order value
security.SetSlippageModel(CustomSlippageModel(self.constantSlippagePercentEquities))
elif security.Type == SecurityType.Option:
if self.constantFeeOptions is not None:
# constant fee model that takes a dollar amount parameter to apply to each order
security.SetFeeModel(CustomFeeModel(self.constantFeeOptions))
if self.constantSlippagePercentOptions is not None:
# constant slippage model that takes a percentage parameter to apply to each order value
security.SetSlippageModel(CustomSlippageModel(self.constantSlippagePercentOptions))
class CustomFeeModel:
''' Custom implementation of the Fee Model '''
def __init__(self, multiple):
self.multiple = multiple
def GetOrderFee(self, parameters):
''' Get the fee for the order '''
absQuantity = parameters.Order.AbsoluteQuantity
fee = max(1, absQuantity * self.multiple)
return OrderFee(CashAmount(fee, 'USD'))
class CustomSlippageModel:
''' Custom implementation of the Slippage Model '''
def __init__(self, multiple):
self.multiple = multiple
def GetSlippageApproximation(self, asset, order):
''' Apply slippage calculation to order price '''
quantity = order.Quantity
price = [asset.AskPrice if quantity > 0 else asset.BidPrice][0]
slippage = price * self.multiple
return slippage### 2020_08_02 v36
### ----------------------------------------------------------------------------
# Added monetization mechanism using contractsValueChangeVsUnderlying
### ----------------------------------------------------------------------------
from datetime import timedelta
from HelperFunctions import *
import pandas as pd
from System.Drawing import Color
class OptionsStrategyTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
''' Initialization at beginning of backtest '''
### user-defined inputs ---------------------------------------------------------------------------------------------------
# didn't have full list of options available for spy before 7/1/10...verified EEM options available from 7/1/10 so ok there
# weeklies seem to start for SPY in 01/16
self.SetStartDate(2007, 1, 1) #20090301
# just comment out end date to run through today
self.SetEndDate(2020, 7, 31) #20100301
self.SetCash(1000000)
# select a ticker as benchmark (will plot Buy&Hold of this benchmark)
self.benchmarkTicker = 'SPY'
# select ticker for underlying asset (holdings of this asset will be 100% of remaining cash not used for options)
underlyingTicker = 'SPY'
# dictionary of dictionaries containing the different groups of option legs by expiry date
# the format of the strikes is [strike percent, annualBudgetPercent]
self.dictParameters = {'UnderlyingSynthetic': {'activate': False,
'ticker': 'SPY',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'multiplier', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 10,
'rollMaxExpiryDays': 10,
'daysToRollBeforeExpiration': 1,
'contractsValueChangeVsUnderlying': 0.3, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -0.9, # applied to calls
'underlyingPriceUpMoveLiquidate': 0.9, # applied to puts
'underlyingPriceLowerBoundSidewaysLiquidate': -0.01, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.01, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 5, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.01, -1], 'strikePercentB': [0.15, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.15, None], 'strikePercentB': [-0.01, 1]},
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'ExpiryGroupA': {'activate': False,
'ticker': 'SPY',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'dollar', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 460,
'rollMaxExpiryDays': 460,
'daysToRollBeforeExpiration': 1,
'contractsValueChangeVsUnderlying': 0.3, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -0.25, # applied to calls
'underlyingPriceUpMoveLiquidate': 0.9, # applied to puts (0.075)
'underlyingPriceLowerBoundSidewaysLiquidate': -0.9, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.05, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 12000000, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.2, 0.5], 'strikePercentB': [-0.1, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.3, None], 'strikePercentB': [-0.2, None],
'strikePercentC': [-0.225, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]}},
'ExpiryGroupB': {'activate': False,
'ticker': 'SPY',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'dollar', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 730,
'rollMaxExpiryDays': 730,
'daysToRollBeforeExpiration': 1,
'contractsValueChangeVsUnderlying': 0.3, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -0.25, # applied to calls
'underlyingPriceUpMoveLiquidate': 0.9, # applied to puts (0.075)
'underlyingPriceLowerBoundSidewaysLiquidate': -0.9, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.05, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 12000000, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.3, 1], 'strikePercentB': [-0.05, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.3, None], 'strikePercentB': [-0.3, None],
'strikePercentC': [-0.225, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]}},
'ExpiryGroupC': {'activate': True,
'ticker': 'SPY',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'dollar', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 130,
'rollMaxExpiryDays': 130,
'daysToRollBeforeExpiration': 30,
'contractsValueChangeVsUnderlying': 0.15, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -0.9, # applied to calls
'underlyingPriceUpMoveLiquidate': 0.9, # applied to puts
'underlyingPriceLowerBoundSidewaysLiquidate': 0, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.9, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 30000, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.15, None], 'strikePercentB': [0.15, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.5, 0.4], 'strikePercentB': [-0.45, None],
'strikePercentC': [-0.225, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]}},
'ExpiryGroupD': {'activate': True,
'ticker': 'SPY',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'dollar', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 400,
'rollMaxExpiryDays': 400,
'daysToRollBeforeExpiration': 30,
'contractsValueChangeVsUnderlying': 0.15, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -0.9, # applied to calls
'underlyingPriceUpMoveLiquidate': 0.9, # applied to puts
'underlyingPriceLowerBoundSidewaysLiquidate': -0.05, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.9, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 900000, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.15, None], 'strikePercentB': [0.15, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.5, 0.6], 'strikePercentB': [-0.45, None],
'strikePercentC': [-0.225, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]}},
'ExpiryGroupE': {'activate': False,
'ticker': 'SPY',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'dollar', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 370,
'rollMaxExpiryDays': 370,
'daysToRollBeforeExpiration': 30,
'contractsValueChangeVsUnderlying': 0.3, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -0.9, # applied to calls
'underlyingPriceUpMoveLiquidate': 0.9, # applied to puts
'underlyingPriceLowerBoundSidewaysLiquidate': -0.05, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.9, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 180, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.20, None], 'strikePercentB': [0.25, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.45, 1], 'strikePercentB': [0.15, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]}},
'ExpiryGroupF': {'activate': False,
'ticker': 'TSLA',
'calendarType': 'monthlies', # options are 'monthlies' (only), 'weeklies' (only) and 'any'
'positionSizing': 'multiplier', # options are 'multiplier' and 'dollar'
'maxExpiryDays': 190,
'rollMaxExpiryDays': 190,
'daysToRollBeforeExpiration': 1,
'contractsValueChangeVsUnderlying': 0.3, # contracts vs underlying change
'underlyingPriceDownMoveLiquidate': -100, # applied to calls
'underlyingPriceUpMoveLiquidate': 100, # applied to puts
'underlyingPriceLowerBoundSidewaysLiquidate': -0.03, # applied to calls/puts
'underlyingPriceUpperBoundSidewaysLiquidate': 0.03, # applied to calls/puts
'underlyingPriceDaysSidewaysLiquidate': 6000000, # number of days underlying price within lower/upper bound
'calls': {'strikePercentA': [0.2, None], 'strikePercentB': [0.15, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]},
'puts': {'strikePercentA': [-0.5, 1], 'strikePercentB': [0.15, None],
'strikePercentC': [0.05, None], 'strikePercentD': [0.15, None], 'strikePercentE': [0.15, None]}}}
# take annual budget and split it evenly between all expiry groups and spreads budget evenly across all contracts
# in a one year horizon (accounts for rollMaxExpiryDays in each group)...trades account for multipliers at end too
self.annualBudget = 0.02
# minimum notional ratio allowed to enter new contracts
self.minNotionalRatio = 0
# overwrite the default model for fees
# - Default: Set to None to use the default IB Tiered Model for both stocks and options from here https://www.interactivebrokers.com/en/index.php?f=1590&p=options1
# --- FYI for low number of stocks the default fee comes out to .005 (presumably dominated by the .0035 IB commission at low number of shares)
# --- FYI for low number of options contracts at hefty premiums the default fee comes out to .25...don't understand that yet since commission alone looks to be 0.65
# - Custom Constant Fee: Provide a dollar amount to apply to each order quantity ($ per share for stock and $ per contract for options)
self.constantFeeEquities = None
self.constantFeeOptions = None
# overwrite the default model for slippage
# - Default: Set to None to use the default slippage model which uses 0% slippage
# - Custom Constant Slippage: Provide a % (in the form of a decimal ranged 0 to 1) to apply to each order value
self.constantSlippagePercentEquities = None
self.constantSlippagePercentOptions = None
# data checks and logs:
# variable to turn on/off trading logs
self.tradingLogs = True
# variable to avoid specific option contracts whose price is above a certain level
self.avoidContractsWithPrice = {'SPY160916C00290000': 50, 'SPY170120C00290000': 50} # format: 'SPY150821P00181000': 55, 'SPY150918C00250000': 55, 'SPY150918P00130000': 55
# current put avoidance list: ['SPY1509', 'SPY1508', 'SPY1009']
self.avoidContracts = ['SPY151219P00105000', 'SPY1508', 'SPY1509', 'SPY101218C', 'SPY100918C','SPY110319C'] # formats: 'SPY150918C00240000', 'SPY1012', 'SPY100918', 'SPY100918C'
# check for extreme changes in minute price to report
self.extremePriceChangeCheck = 50000 # percentage (e.g. 10 for 10%)
# check for large deviations between our target strike price and final strike price selected
self.strikePriceTargetDeviationCheck = 10 # percentage (e.g. 10 for 10%)
# check for large deviations between our target expiry days and final expiry days selected
self.expiryDaysTargetDeviationCheck = 10 # difference in number of days between expiry days target and selected
# variable to enable/disable assignments before expiration
# when set to True, the order from assignments will be cancelled until intended liquidation date
# when set to False, the assignment is avoided and then all option contracts are immediately liquidated
self.avoidAssignment = True
# set leverage
self.leverage = 1000000
### -------------------------------------------------------------------------------------------------------------------------
# apply CustomSecurityInitializer
self.SetSecurityInitializer(lambda x: CustomSecurityInitializer(self, x))
# add benchmark
self.SetBenchmark(self.benchmarkTicker)
# add underlying asset
equity = self.AddEquity(underlyingTicker, Resolution.Minute)
equity.VolatilityModel = StandardDeviationOfReturnsVolatilityModel(30)
self.underlyingSymbol = equity.Symbol
# add more underlying assets if needed
self.expiryGroupSymbols = {}
for expiryGroup, parameters in self.dictParameters.items():
if parameters['activate']:
ticker = parameters['ticker']
if ticker != underlyingTicker:
self.expiryGroupSymbols[expiryGroup] = self.AddEquity(ticker, Resolution.Minute).Symbol
else:
self.expiryGroupSymbols[expiryGroup] = self.underlyingSymbol
# get numner of active expiry groups
self.numberOfActiveExpiryGroups = sum(parameters['activate'] for expiryGroup, parameters in self.dictParameters.items())
# create dictionary with expiry groups belonging to the same rollMaxExpiryDays
rollMaxExpiryDays = [parameters['rollMaxExpiryDays'] for expiryGroup, parameters in self.dictParameters.items() if parameters['activate']]
self.sameRollMaxExpiryDaysExpiryGroups = {str(elem): [] for elem in rollMaxExpiryDays}
for expiryGroup, parameters in self.dictParameters.items():
if parameters['activate']:
rollMaxExpiryDays = parameters['rollMaxExpiryDays']
self.sameRollMaxExpiryDaysExpiryGroups[str(rollMaxExpiryDays)].append(expiryGroup)
# plot the Portfolio Greeks
#portfolioGreeksPlot = Chart('Chart Portfolio Greeks')
#portfolioGreeksPlot.AddSeries(Series('Daily Portfolio Delta', SeriesType.Line, ''))
#portfolioGreeksPlot.AddSeries(Series('Daily Portfolio Gamma', SeriesType.Line, ''))
#portfolioGreeksPlot.AddSeries(Series('Daily Portfolio Vega', SeriesType.Line, ''))
#portfolioGreeksPlot.AddSeries(Series('Daily Portfolio Rho', SeriesType.Line, ''))
#portfolioGreeksPlot.AddSeries(Series('Daily Portfolio Theta', SeriesType.Line, ''))
#self.AddChart(portfolioGreeksPlot)
# plot data checks
dataChecksPlot = Chart('Chart Data Checks')
dataChecksPlot.AddSeries(Series('extremePriceChange (%)', SeriesType.Line, '%'))
dataChecksPlot.AddSeries(Series('contractPriceZero', SeriesType.Scatter))
dataChecksPlot.AddSeries(Series('emptyOptionContracts', SeriesType.Scatter))
self.AddChart(dataChecksPlot)
# plot budget
budgetPlot = Chart('Chart Budget')
budgetPlot.AddSeries(Series('budgetOptions (%)', SeriesType.Line, '%'))
self.AddChart(budgetPlot)
# plot notional
notionalPlot = Chart('Chart Notional')
self.AddChart(notionalPlot)
self.SetWarmup(30, Resolution.Daily)
self.allContractsByExpiryGroup = {}
self.dailyPortfolioGreeksDict = {}
self.lastMinutePricesDict = {}
self.dataChecksDict = {'extremePriceChange': {}, 'strikePriceTargetDeviation': {},
'expiryDaysTargetDeviation': {}, 'contractAboveLimitPrice': {},
'contractPriceZero': {}, 'emptyOptionContracts': {}}
self.expiryGroupsToRestartDict = {} # empty dict to store expiry groups to restart due to underlying price move
self.dataCheckPrinted = False
self.assignedOption = False
self.initBenchmarkPrice = 0
self.rebalanceUnderlying = False
self.specialTag = ''
self.day = 0
def OnData(self, data):
''' Event triggering every time there is new data '''
# print data checks at the end of the backtest
if self.Time.date() >= (self.EndDate.date() - timedelta(2)) and not self.dataCheckPrinted:
self.Log(self.dataChecksDict)
self.dataCheckPrinted = True
if self.Time.day != self.day:
self.checkNextDay = False
# simulate buy and hold the benchmark and plot its daily value --------------------------------------
UpdateBenchmarkValue(self)
self.Plot('Strategy Equity', self.benchmarkTicker, self.benchmarkValue)
# update the Portfolio Greeks dictionary ------------------------------------------------------------
#todayPortfolioGreeks = UpdatePortfolioGreeks(self, data)
#if todayPortfolioGreeks:
# for greek, value in todayPortfolioGreeks.items():
# self.Plot('Chart Portfolio Greeks', 'Daily Portfolio ' + greek, value)
self.day = self.Time.day
# check if we got assigned and liquidate all remaining legs --------------------------------------------
if self.assignedOption:
# close all option contracts at once
openOptionContracts = GetOpenOptionContracts(self)
for contract in openOptionContracts:
self.Liquidate(contract, 'Liquidated - option assignment')
self.RemoveSecurity(contract)
self.assignedOption = False
# get a list with open option contracts ------------------------------------------------------------------
openOptionContracts = GetOpenOptionContracts(self)
# check on strange data ----------------------------------------------------------------------------------
try:
CheckData(self, openOptionContracts)
except BaseException as e:
if self.tradingLogs:
self.Log('CheckData function failed due to: ' + str(e))
# run below code only during this hour (halved bt time from 16 mins to 8 mins) ---------------------------
if not self.Time.hour == 9:
return
# enter first contracts -----------------------------------------------------------------------------------
for expiryGroup, parameters in self.dictParameters.items():
if expiryGroup not in self.allContractsByExpiryGroup.keys() and parameters['activate']:
enterContractsWorked = EnterOptionContracts(self, expiryGroup, self.expiryGroupSymbols[expiryGroup],
parameters['calendarType'], parameters['positionSizing'],
parameters['maxExpiryDays'], parameters['daysToRollBeforeExpiration'],
parameters['calls'], parameters['puts'])
if not enterContractsWorked:
continue
self.rebalanceUnderlying = True
# rebalance holdings of underlying asset ------------------------------------------------------------------
if self.rebalanceUnderlying and not self.dictParameters['UnderlyingSynthetic']['activate']:
RebalanceUnderlying(self)
self.rebalanceUnderlying = False
# liquidate contracts about to expire/due to underlying price move ----------------------------------------
for expiryGroup, parameters in self.allContractsByExpiryGroup.items():
# skip expiryGroup that is already in expiryGroupsToRestartDict
if expiryGroup in self.expiryGroupsToRestartDict:
continue
# get inputs --------------------
entryDate = parameters[0]
nextExpiryDate = parameters[1]
daysToExpiration = (nextExpiryDate - self.Time).days
daysToRollBeforeExpiration = self.dictParameters[expiryGroup]['daysToRollBeforeExpiration']
legs = parameters[2]
underlyingPriceAtEntry = parameters[3]
contracts = parameters[4]
underlyingSymbol = self.expiryGroupSymbols[expiryGroup]
underlyingPriceLowerBoundSidewaysLiquidate = self.dictParameters[expiryGroup]['underlyingPriceLowerBoundSidewaysLiquidate']
underlyingPriceUpperBoundSidewaysLiquidate = self.dictParameters[expiryGroup]['underlyingPriceUpperBoundSidewaysLiquidate']
underlyingPriceDaysSidewaysLiquidate = self.dictParameters[expiryGroup]['underlyingPriceDaysSidewaysLiquidate']
# check where underlying price vs underlyingPriceAtEntry
# and liquidate if beyond/within threshold ----------------------------
underlyingPriceMoveLiquidate = False
underlyingCurrentPrice = self.Securities[underlyingSymbol].Price
underlyingPriceMove = (underlyingCurrentPrice / underlyingPriceAtEntry) - 1
# calculate change in contracts value since purchase
try:
remainingContractsValue = sum([(self.Portfolio[contract].Quantity * 100 * self.Securities[contract].BidPrice) for contract in contracts])
except:
remainingContractsValue = 0
initialContractsValue = parameters[5]
contractsValueChange = remainingContractsValue - initialContractsValue
# portfolio value at purchase
portfolioValueAtPurchase = parameters[6]
if legs == 'calls':
if underlyingPriceMove < self.dictParameters[expiryGroup]['underlyingPriceDownMoveLiquidate']:
dynamicRule = 'underlyingPriceDownMoveLiquidate'
underlyingPriceMoveLiquidate = True
elif legs == 'puts':
if underlyingPriceMove > self.dictParameters[expiryGroup]['underlyingPriceUpMoveLiquidate']:
dynamicRule = 'underlyingPriceUpMoveLiquidate'
underlyingPriceMoveLiquidate = True
else:
if (underlyingPriceMove < self.dictParameters[expiryGroup]['underlyingPriceDownMoveLiquidate']
or underlyingPriceMove > self.dictParameters[expiryGroup]['underlyingPriceUpMoveLiquidate']):
dynamicRule = 'underlyingPriceDownMoveLiquidate/underlyingPriceUpMoveLiquidate'
underlyingPriceMoveLiquidate = True
if (self.Time - entryDate) >= timedelta(underlyingPriceDaysSidewaysLiquidate):
if underlyingPriceLowerBoundSidewaysLiquidate < underlyingPriceMove < underlyingPriceUpperBoundSidewaysLiquidate:
dynamicRule = 'underlyingPriceLowerBoundSidewaysLiquidate/underlyingPriceUpperBoundSidewaysLiquidate'
underlyingPriceMoveLiquidate = True
if (contractsValueChange / portfolioValueAtPurchase) > self.dictParameters[expiryGroup]['contractsValueChangeVsUnderlying']:
dynamicRule = 'contractsValueChangeVsUnderlying'
underlyingPriceMoveLiquidate = True
if underlyingPriceMoveLiquidate:
rollMaxExpiryDays = self.dictParameters[expiryGroup]['rollMaxExpiryDays']
for expiryGroup in self.sameRollMaxExpiryDaysExpiryGroups[str(rollMaxExpiryDays)]:
self.expiryGroupsToRestartDict[expiryGroup] = None
self.tag = ('(' + expiryGroup + ' underlyingPriceMoveLiquidate rule triggered; underlying price moved '
+ '{:.4%}'.format(underlyingPriceMove))
if self.tradingLogs:
self.Log(expiryGroup
+ ': liquidating all option contracts with the same rollMaxExpiryDays due to dynamic rule: ' + dynamicRule
+ '; underlyingPriceMove: ' + str(underlyingPriceMove) + '; contractsValueChange: ' + str(contractsValueChange)
+ '; portfolioValueAtPurchase: ' + str(portfolioValueAtPurchase)
+ '; contractsValueChange/portfolioValueAtPurchase: ' + str(contractsValueChange / portfolioValueAtPurchase))
# check for expiration ---------------------------------------------
if daysToExpiration < daysToRollBeforeExpiration:
# static rebalancing, we add the remaining contracts value to the budget
if remainingContractsValue > (initialContractsValue * 0.75):
remainingContractsValue = 0
# liquidating expired contracts ------------------------
liquidationWorked = LiquidateOptionContracts(self, expiryGroup, contracts, 'contract expiration')
if not liquidationWorked:
continue
# roll over expired contracts --------------------------
parameters = self.dictParameters[expiryGroup]
self.Log('start of static early rebalancing ----------')
for contract in contracts:
contractId = str(self.Securities[contract].Symbol).replace(' ', '')
lastPrice = self.Securities[contract].Price
bidPrice = self.Securities[contract].BidPrice
askPrice = self.Securities[contract].AskPrice
self.Log(str(contractId) + '; lastPrice: ' + str(lastPrice) + '; bidPrice: ' + str(bidPrice) + '; askPrice: ' + str(askPrice))
enterContractsWorked = EnterOptionContracts(self, expiryGroup, self.expiryGroupSymbols[expiryGroup],
parameters['calendarType'], parameters['positionSizing'],
parameters['rollMaxExpiryDays'], parameters['daysToRollBeforeExpiration'],
parameters['calls'], parameters['puts'], remainingContractsValue = remainingContractsValue)
if not enterContractsWorked:
continue
# restart the entire expiry group due to underlying price deviation ------------------------------------------
if len(list(self.expiryGroupsToRestartDict.keys())) > 0:
for expiryGroup, parameters in self.allContractsByExpiryGroup.items():
if (expiryGroup in self.expiryGroupsToRestartDict
and (self.expiryGroupsToRestartDict[expiryGroup] is None or self.Time > self.expiryGroupsToRestartDict[expiryGroup])):
nextExpiryDate = parameters[1]
daysToExpiration = (nextExpiryDate - self.Time).days
daysToRollBeforeExpiration = self.dictParameters[expiryGroup]['daysToRollBeforeExpiration']
if daysToExpiration < daysToRollBeforeExpiration:
self.expiryGroupsToRestartDict.pop(expiryGroup)
continue
# dynamic rebalancing, we add the remaining contracts value to the budget
contracts = parameters[4]
try:
remainingContractsValue = sum([(self.Portfolio[contract].Quantity * 100 * self.Securities[contract].BidPrice) for contract in contracts])
except:
remainingContractsValue = 0
initialContractsValue = parameters[5]
if remainingContractsValue > (initialContractsValue * 0.75):
remainingContractsValue = 0
self.Log('start of dynamic early rebalancing ----------')
for contract in contracts:
contractId = str(self.Securities[contract].Symbol).replace(' ', '')
lastPrice = self.Securities[contract].Price
bidPrice = self.Securities[contract].BidPrice
askPrice = self.Securities[contract].AskPrice
self.Log(str(contractId) + '; lastPrice: ' + str(lastPrice) + '; bidPrice: ' + str(bidPrice) + '; askPrice: ' + str(askPrice))
# liquidating expired contracts ----------------------------
liquidationWorked = LiquidateOptionContracts(self, expiryGroup, contracts, self.tag)
if not liquidationWorked:
continue
# roll over contracts -------------------------------------
parameters = self.dictParameters[expiryGroup]
enterContractsWorked = EnterOptionContracts(self, expiryGroup, self.expiryGroupSymbols[expiryGroup],
parameters['calendarType'], parameters['positionSizing'],
parameters['maxExpiryDays'], parameters['daysToRollBeforeExpiration'],
parameters['calls'], parameters['puts'], daysToExpiration, remainingContractsValue)
if not enterContractsWorked:
self.expiryGroupsToRestartDict[expiryGroup] = self.Time + timedelta(21)
continue
self.expiryGroupsToRestartDict.pop(expiryGroup)
def OnOrderEvent(self, orderEvent):
''' Check if the order is a Simulated Option Assignment Before Expiration and act accordingly '''
ticket = self.Transactions.GetOrderTicket(orderEvent.OrderId)
if ticket.OrderType == OrderType.OptionExercise:
if ticket.Tag == 'Simulated option assignment before expiration':
if self.avoidAssignment:
ticket.Cancel()
else:
# set assignedOption to True in order to trigger the OnData event to LiquidateOptionContracts
self.assignedOption = True
if ticket.Tag == 'Automatic option exercise on expiration - Adjusting(or removing) the exercised/assigned option':
self.assignedOption = True