Overall Statistics |
Total Trades 10 Average Win 0.16% Average Loss -0.01% Compounding Annual Return 0.140% Drawdown 0.000% Expectancy 1.580 Net Profit 0.105% Sharpe Ratio 2.017 Probabilistic Sharpe Ratio 85.851% Loss Rate 80% Win Rate 20% Profit-Loss Ratio 11.90 Alpha 0.001 Beta -0.001 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0.556 Tracking Error 0.209 Treynor Ratio -1.012 Total Fees $81.00 Estimated Strategy Capacity $12000000.00 Lowest Capacity Asset PTON Y05J8J3SQC5I|PTON X868WVVY7H45 Portfolio Turnover 0.00% |
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Drawing; using QuantConnect.Util; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Data.Consolidators; using QuantConnect.Orders; using QuantConnect.Securities; using QuantConnect.Securities.Option; using QuantConnect.Interfaces; #endregion namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { public class ColumnSD{ public SSQRColumn col; public SymbolData sd; public LookupData ld; public ColumnSD(SSQRColumn c, ref SymbolData s, LookupData l){ this.col = c; this.sd = s; this.ld = l; } } public class LookupData { // ********************** DividendRecord ************************************** // *** This structure contains the dividend information necessary to calculate trading // *** decision. It is used to build a List<DividendRecord> that can be searched to // *** produce the nextExDivDate and dividend amount along with VE data public struct DividendRecord { public DateTime VEDate; public string ticker; public decimal divAmt; public DateTime exDate; public string frequency; // public string MOS; public int VERating; public decimal marketPrice; public decimal momentum; public decimal oneMonthForecast; public decimal oneYearPriceTarget; public int momentumRank; } public List<SSQRColumn> SSQRMatrix = new List<SSQRColumn>(); public Symbol uSymbol; // underlying symbol in current processing public decimal stockPrice; public decimal unitRiskAmt; // amount of risk per unit public bool doTracing = false; public bool doDeepTracing = false; public bool haltProcessing = false; public decimal workingDays = 365M; public decimal thisFFRate = 0M; public decimal ibkrRateAdj = .006M; // IBKR adds 60bps to FFR (blended over $3,000,000) public int maxPutOTM = 0; // maximum Put OTM depth public int maxCallOTM = 0; // maximum Put OTM depth public int intTPRIndex = 0; public string VECase = ""; public int intType = 0; public DateTime lastUpdated; public List<DividendRecord> exDividendDates = new List<DividendRecord>(); public Dictionary<DateTime, decimal> fedFundsRates = new Dictionary<DateTime, decimal>(); public Dictionary<decimal, decimal> ibkrHairCuts = new Dictionary<decimal, decimal>(); public Dictionary<int, string> tickers = new Dictionary<int, string> (); public decimal divdndAmt = 0; public string divdnFrequency = ""; public DateTime exDivdnDate; public DateTime dtTst; // used for current date time in methods public int tprCounter = 0; public int daysRemainingDiv; // use vars for checking days before expiration public int daysRemainingC; // use vars for checking days before expiration public int daysRemainingP; public int daysRemaining2P; public int daysRemainingWC; public int intVERating; public decimal decMomentum; public decimal decOneMonthForecast; public decimal decOneYearPriceTarget; public int intMomentumRank; public DateTime initialTargetEndDate; public void InitializeData(QCAlgorithm algo) { this.exDividendDates = this.GetDividendDates(algo); if (exDividendDates == null) algo.Log("|||||||||||||||||| MISSING DIV DATES |||||||||||||||"); this.fedFundsRates = this.GetFedFundsRates(algo); if (fedFundsRates == null) algo.Log("|||||||||||||||||| MISSING FED FUNDS |||||||||||||||"); this.ibkrHairCuts = this.InitializeHaircuts(algo); //this.tickers = this.GetTickers(algo); //// //// //// REMOVED CODE FROM THIS VERSION OF THE CODE } // ********************** loadVEData ************************************** // *** Use this to find and return the current month's VE Ranking // *** and 1-Yr Price Target from using a Symbol and // *** the list exDividendDates given a Slice.DateTime. // *** Search for the nearest past VE record and retrieve the VE data // *********************************************************************************** public void loadVEData(QCAlgorithm algo) { //algo.Log(" ---- *^*^*^*^*^* loadVEData *^*^*^*^*^* ---- "); DateTime sliceTime = algo.CurrentSlice.Time; //DateTime sliceTime = algo.CurrentSlice.Time; string tickStr = this.uSymbol.Value; var biibDates = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.VEDate.Date)<=0 && d.ticker == tickStr) .OrderBy(d => d.VEDate); DividendRecord nextExDateRec = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.VEDate.Date)<=0 && d.ticker == tickStr) .OrderBy(d => d.VEDate) .FirstOrDefault(); /* foreach (var divRec in biibDates){ algo.Log($" {divRec.ticker} : {divRec.VEDate.ToShortDateString()} : {divRec.oneYearPriceTarget.ToString()}"); } */ /// if (nextExDateRec.ticker == "" ) { algo.Log(" ------------- MISSING TICKER IN VEData: " + tickStr); return; } //algo.Debug($" --- ---- ---- *^*^*^*^*^* Getting closest VE Entry for {this.uSymbol.Value} on {sliceTime.ToShortDateString()}, next VE-Date is {nextExDateRec.VEDate.ToShortDateString()}"); // this.exDivdnDate = default(DateTime); // this.divdndAmt = 0m; // this.divdnFrequency = nextExDateRec.frequency; this.intVERating = nextExDateRec.VERating; this.decMomentum = nextExDateRec.momentum; this.decOneMonthForecast = nextExDateRec.oneMonthForecast; this.decOneYearPriceTarget = nextExDateRec.oneYearPriceTarget; this.intMomentumRank = nextExDateRec.momentumRank; this.initialTargetEndDate = nextExDateRec.VEDate.AddMonths(9); return; } // ********************** clearLD ************************************** // *** Use this to find and return the current month's VE Ranking // *** and 1-Yr Price Target from using a Symbol and // *** the list exDividendDates given a Slice.DateTime. // *** Search for the nearest past VE record and retrieve the VE data // *********************************************************************************** public void clearLD(QCAlgorithm algo) { if (haltProcessing) { //algo.Log(" HALTED IN clearLD"); } this.uSymbol = null; this.intVERating = 0; this.decMomentum = 0; this.decOneMonthForecast = 0; this.decOneYearPriceTarget = 0; this.intMomentumRank = 0; this.initialTargetEndDate = default(DateTime); this.exDivdnDate = default(DateTime); /// this.divdndAmt = 0m; this.intType = 0; /// reset to 0 ... Stock //this.SSQRMatrix.Clear(); //this.divdnFrequency = nextExDateRec.frequency; } //DateTime sliceTime = algo.CurrentSlice.Time; // ********************** getNextExDate ************************************** // *** Use this to find and return the next ex-dividend date from // *** the list exDividendDates given a Slice.DateTime // *********************************************************************************** public DateTime getBNDNxtExDt(string tickStr, DateTime sliceTime, List<DividendRecord> exDivRecs) { // // /// /// NOTE: Adjusted this to .Compare(sliceTime, d.exDate <=0) to accommondate BND ex-dates on 1st of month // // /// /// NOTE: This should work because most stocks will be traded before progressing through the month to their ex-div dates // DividendRecord nextExDateRec = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 && // // // //// NOTE: The LINQ will return the next ExDate whenever that may be in the future. DividendRecord nextExDateRec = exDivRecs.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 && d.ticker == tickStr) .OrderBy(d => d.exDate) .FirstOrDefault(); // DateTime nextExDate = nextExDateRec.exDate; return nextExDateRec.exDate; } // ********************** GetFedFundsRates() ************************************** // *** This function downloads the DFF.csv file from Dropbox and loads it into // *** a Dictionary<DateTime, interest rate> for each day // *** this dictionary is used when making a trading decision to calculate the interest private Dictionary<DateTime, decimal> GetFedFundsRates(QCAlgorithm algo) { //var ffFile = algo.Download("https://www.dropbox.com/s/s25jzi5ng47wv4k/DFF.csv?dl=1"); var ffFile = algo.Download("https://hyperionhedgefundcom-my.sharepoint.com/:x:/g/personal/crmcwilliams_hldfund_com/EfUwqG_Y-etNpNTJCtvhW9QBv20Edx88CTUOUF57gAkPAw?e=cEAOvh&download=1"); if (ffFile == null) return null; Dictionary<DateTime, decimal> ffDict = new Dictionary<DateTime, decimal>(); string[] ffLines = ffFile.Split(new[] {Environment.NewLine}, StringSplitOptions.RemoveEmptyEntries); int h = 0; foreach (string ffLine in ffLines) { if(h==0) // discard header row { h++; continue; } var vals = ffLine.Split(','); ffDict.Add(DateTime.Parse(vals[0]), Convert.ToDecimal(vals[1])/100M); // convert percentage to decimal h++; } // these next 2 lines are for debugging only -- //DateTime testFind = DateTime.Parse("02/02/2015 16:30:00"); //var justDate = testFind.Date; return ffDict; } // ********************** GetDividendDates() ************************************** // *** This function downloads the DividendDates.csv file from Dropbox and loads it into // *** a List<DividendRecord>. The List is used to lookup the next ex-dividend date // *** this list is used when making a trading decision to calculate the dividend payout private List<DividendRecord> GetDividendDates(QCAlgorithm algo) { // 2020-9-25 9:24 https://www.dropbox.com/s/ap8s120gksb858h/DividendData.csv?dl=1 // 2020-09-25 8:11 https://www.dropbox.com/s/ap8s120gksb858h/DividendData.csv?dl=1 // 2020-09-25 8:09 https://www.dropbox.com/sh/05qjk3o3y53fp4i/AAA6fEJg8J50xMQWm5nlg7M4a?dl=1 -- zip file // 2021-01-14 8:33 var csvFile = Download("https://www.dropbox.com/s/ap8s120gksb858h/DividendData.csv?dl=1"); //var csvFile = algo.Download("https://www.dropbox.com/s/jv0aaajwsw8auwo/FiveYearDividends.csv?dl=1"); // 2022-11-13 : new ValueEngine/IEX MOS-linked fused Dividend-Price-Protections data // var csvFile = algo.Download("https://www.dropbox.com/s/2ywhdbptls0ifn3/Dividend_Price_Projections.csv?dl=1"); // 2023-01-26 : new IEX/ValuEngine MOS-Right JOIN fused Dividend-Price-Protections data //var csvFile = algo.Download("https://www.dropbox.com/s/9ruqvhxixps96nt/Dividend_Price_Projections_RightJoin.csv?dl=1"); // 2023-03-18 : IEX/ValuEngine joinder-Right Ourter JOIN //var csvFile = algo.Download("https://www.dropbox.com/sh/05qjk3o3y53fp4i/AAA6fEJg8J50xMQWm5nlg7M4a?dl=1"); ////zip file reached share limit //var csvFile = algo.Download("https://hyperionhedgefundcom-my.sharepoint.com/:x:/g/personal/crmcwilliams_hldfund_com/ES0OsoCYTuRIk5fwVmOzMdgBoUY4WoNV1NSo0JL-k46BqA?rtime=6XqlZEYo20g&download=1"); var csvFile = algo.Download("https://hyperionhedgefundcom-my.sharepoint.com/:x:/g/personal/crmcwilliams_hldfund_com/EX3jhEP57N1BkDmQwqwL1t0BcIBMDpbNu1uKxKTNNtUtTA?e=ge8rje&download=1"); //algo.Debug("theis"); if (csvFile == null) return null; decimal lastDiv = 0; bool parsed; decimal VERateResult; DateTime exDateResult; DateTime VEDateResult; List<DividendRecord> dividendDates = new List<DividendRecord>(); // want to use Microsoft.VisualBasic.FileIO csv parser but is not available // use the system's /cr /lf to parse the file string into lines string[] csvLines = csvFile.Split(new[] {Environment.NewLine}, StringSplitOptions.RemoveEmptyEntries); int i = 0; foreach (string csvLine in csvLines) { if (i == 0) { i++; continue; //discard the header row } var values = csvLine.Split(','); // this file is comma delimited DividendRecord divRec = new DividendRecord(); try{ parsed = DateTime.TryParse(values[0], out exDateResult); if (!parsed) { divRec.exDate = default(DateTime); // continue; } else { divRec.exDate = exDateResult; } parsed = DateTime.TryParse(values[1], out VEDateResult); if (!parsed) { continue; } else { divRec.VEDate = VEDateResult; } divRec.ticker = values[2]; if (values[3]=="Null" | values[3]=="") { divRec.divAmt = 0; } else { divRec.divAmt = Convert.ToDecimal(values[3]); } divRec.frequency = values[4]; if (values[6]=="Null" | values[6]=="") { divRec.VERating = 0; } else { divRec.VERating = Convert.ToInt32(values[6]); //divRec.VERating = Int32.TryParse(values[5], out VERateResult); } if (values[7]=="Null" | values[7]=="") { divRec.marketPrice = 0; } else { divRec.marketPrice = Convert.ToDecimal(values[7]); } if (values[8]=="Null" | values[8]=="") { divRec.momentum = 0; } else { parsed = Decimal.TryParse(values[8], out VERateResult); if (!parsed){ divRec.momentum = 0; } else { divRec.momentum = VERateResult; } } /*if (string.IsNullOrEmpty(values[8])) { divRec.oneMonthForecat = 0; } else { divRec.oneMonthForecat = Convert.ToDecimal(values[8]); } */ if (values[9]=="Null" | values[9]=="") { divRec.oneYearPriceTarget = 0; } else { divRec.oneYearPriceTarget = Convert.ToDecimal(values[9]); } if (values[10]=="Null" | values[10]=="") { divRec.momentumRank = 0; } else { divRec.momentumRank = Convert.ToInt32(values[10]); } dividendDates.Add(divRec); i++; //algo.Log("i: " + i.ToString()); } catch (Exception e){ algo.Debug($" --- ---- ERROR IN PARSING IEX-VE DATA FILE {e.Message}"); } } return dividendDates; } private Dictionary<decimal, decimal> InitializeHaircuts(QCAlgorithm algo) { Dictionary<decimal, decimal> ibkrHC = new Dictionary<decimal, decimal>(); ibkrHC.Add(0M, .75M); ibkrHC.Add(0.5M, .75M); ibkrHC.Add(1M, .75M); ibkrHC.Add(1.5M, .75M); ibkrHC.Add(2M, .75M); ibkrHC.Add(2.5M, .85M); ibkrHC.Add(3M, 1M); ibkrHC.Add(3.5M, 1.15M); ibkrHC.Add(4M, 1.3M); ibkrHC.Add(4.5M, 1.65M); ibkrHC.Add(5M, 2M); ibkrHC.Add(5.5M, 2.2M); ibkrHC.Add(6M, 2.4M); ibkrHC.Add(6.5M, 2.6M); ibkrHC.Add(7M, 2.8M); ibkrHC.Add(7.5M, 3M); ibkrHC.Add(8M, 3.5M); ibkrHC.Add(8.5M, 3.8M); ibkrHC.Add(9M, 4M); ibkrHC.Add(9.5M, 4.3M); ibkrHC.Add(10M, 4.5M); ibkrHC.Add(10.5M, 4.8M); ibkrHC.Add(11M, 5M); ibkrHC.Add(11.5M, 5.3M); ibkrHC.Add(12M, 5.5M); ibkrHC.Add(12.5M, 5.7M); ibkrHC.Add(13M, 6M); ibkrHC.Add(13.5M, 6.2M); ibkrHC.Add(14M, 6.6M); ibkrHC.Add(14.5M, 6.8M); ibkrHC.Add(15M, 7M); ibkrHC.Add(15.5M, 7.2M); ibkrHC.Add(16M, 7.4M); ibkrHC.Add(16.5M, 7.6M); ibkrHC.Add(17M, 7.8M); ibkrHC.Add(17.5M, 8.1M); ibkrHC.Add(18M, 8.2M); ibkrHC.Add(18.5M, 8.4M); ibkrHC.Add(19M, 8.6M); ibkrHC.Add(19.5M, 8.8M); ibkrHC.Add(20M, 9M); ibkrHC.Add(20.5M, 9.2M); ibkrHC.Add(21M, 9.4M); ibkrHC.Add(21.5M, 9.6M); ibkrHC.Add(22M, 9.8M); ibkrHC.Add(22.5M, 10.1M); ibkrHC.Add(23M, 10.4M); ibkrHC.Add(23.5M, 10.7M); ibkrHC.Add(24M, 11M); ibkrHC.Add(24.5M, 11.4M); ibkrHC.Add(25M, 11.8M); ibkrHC.Add(25.5M, 12.3M); ibkrHC.Add(26M, 12.8M); ibkrHC.Add(26.5M, 13.2M); ibkrHC.Add(27M, 13.7M); ibkrHC.Add(27.5M, 14.2M); ibkrHC.Add(28M, 14.7M); ibkrHC.Add(28.5M, 15.2M); ibkrHC.Add(29M, 15.6M); ibkrHC.Add(29.5M, 16.1M); ibkrHC.Add(30M, 16.6M); ibkrHC.Add(30.5M, 17M); ibkrHC.Add(31M, 17.4M); ibkrHC.Add(31.5M, 17.8M); ibkrHC.Add(32M, 13.4M); ibkrHC.Add(32.5M, 18.2M); ibkrHC.Add(33M, 18.6M); ibkrHC.Add(33.5M, 19M); ibkrHC.Add(34M, 19.4M); ibkrHC.Add(34.5M, 19.8M); ibkrHC.Add(35M, 20.2M); return ibkrHC; } // end initializeIBKR // ********************** getNextExDate ************************************** // *** Use this to find and return the next ex-dividend date from // *** the list exDividendDates given a Slice.DateTime // *********************************************************************************** public void GetNextExDate(QCAlgorithm algo) { // // /// /// NOTE: Adjusted this to .Compare(sliceTime, d.exDate <=0) to accommondate BND ex-dates on 1st of month // // /// /// NOTE: This should work because most stocks will be traded before progressing through the month to their ex-div dates if (haltProcessing) { algo.Log(" HALTED IN getNextExDate"); } DateTime sliceTime = algo.CurrentSlice.Time; string tickStr = this.uSymbol.Value; DividendRecord nextExDateRec = this.exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 && d.ticker == tickStr) .OrderBy(d => d.exDate) .FirstOrDefault(); //algo.Debug($" --- ---- ---- *^*^*^*^*^* Getting Next Ex-Date for {this.uSymbol.Value} on {sliceTime.ToShortDateString()}, next Ex-Date is {nextExDateRec.exDate.ToShortDateString()}"); if (nextExDateRec.ticker == "" ) { algo.Log(" ------------- MISSING DIVIDEND TICKER: " + tickStr); return; } this.exDivdnDate = nextExDateRec.exDate; this.divdndAmt = nextExDateRec.divAmt; this.divdnFrequency = nextExDateRec.frequency; // this.intVERating = nextExDateRec.VERating; // this.decMomentum = nextExDateRec.momentum; // this.decOneYearPriceTarget = nextExDateRec.oneYearPriceTarget; // this.intMomentumRank = nextExDateRec.momentumRank; return; } public void GetNextExDate(string tickStr, QCAlgorithm algo) { // // /// /// NOTE: Adjusted this to .Compare(sliceTime, d.exDate <=0) to accommondate BND ex-dates on 1st of month // // /// /// NOTE: This should work because most stocks will be traded before progressing through the month to their ex-div dates if (haltProcessing) { algo.Log(" HALTED IN getNextExDate"); } DateTime sliceTime = algo.CurrentSlice.Time; DividendRecord nextExDateRec = exDividendDates.Where(d => DateTime.Compare(sliceTime.Date, d.exDate.Date)<=0 && d.ticker == tickStr) .OrderBy(d => d.exDate) .FirstOrDefault(); if (nextExDateRec.ticker == "" ) { algo.Log(" ------------- MISSING DIVIDEND TICKER: " + tickStr); return; } this.exDivdnDate = nextExDateRec.exDate; this.divdndAmt = nextExDateRec.divAmt; this.divdnFrequency = nextExDateRec.frequency; //this.intVERating = nextExDateRec.VERating; //this.decMomentum = nextExDateRec.momentum; //this.decOneYearPriceTarget = nextExDateRec.oneYearPriceTarget; //this.intMomentumRank = nextExDateRec.momentumRank; return; } public decimal GetTotalGain(decimal mltplr, decimal stkPrce) { return (this.divdndAmt * mltplr) + stkPrce - this.decOneYearPriceTarget; /// formula for shorts } } /// end class lookupData public class SymbolData { public Symbol symbol; public Decimal lastEODPrice; private QCAlgorithm _algo; public MomentumPercent thisMOMP_1; public MomentumPercent thisMOMP_3; public MomentumPercent thisMOMP_6; public Beta thisBeta; public TradeBarConsolidator consolidator; private RollingWindow<TradeBar> _window; public decimal decMOMP; public bool isRollable; public bool currentPosition; public Symbol optSymbol; public int intTPRCntr = 0; public int intType = 0; /// 0=stock, 1=ETF, 2=Bond SybmDataBySymbol solely uses default. ETFDataBySymbol uses this differentially public bool openInterestCheck = false; //public List<Symbol> currentOptions = new List<Symbol>(); public int SSQRFailCnt = 0; public decimal divdndAmt = 0; public decimal decOneYearPriceTarget_Initial = 0; public decimal decOneYearPriceTarget_Current = 0; public decimal decOneMonthForecast = 0; public DateTime initialTargetEndDate; public string VECase = ""; public RollingWindow<decimal> closesWindow = new RollingWindow<decimal>(20); //public TradeBarConsolidator consolidator = new TradeBarConsolidator(390); //public Momentum thisMOM = new Momentum(20); //public Beta thisBeta; //public thisBeta = new sdbsBeta("WEE", 20, passedSymbol, "SPY"); public readonly RollingWindow<IBaseDataBar> Bars; public readonly TimeSpan barPeriod; public SymbolData(Symbol passedSymbol, bool rollable, bool position, Symbol symbOpt, Symbol spy) { symbol = passedSymbol; isRollable = rollable; currentPosition = position; optSymbol = symbOpt; intTPRCntr = 0; Bars = new RollingWindow<IBaseDataBar>(90); thisMOMP_1 = new MomentumPercent(21); thisMOMP_3 = new MomentumPercent(63); thisMOMP_6 = new MomentumPercent(126); thisBeta = new Beta("wee", 20, symbol, spy); consolidator = new TradeBarConsolidator(390); // 390 minutes per day _window = new RollingWindow<TradeBar>(30); //var historyBars = History<TradeBar>(passedSymbol, 90, Resolution.Daily); } public decimal GetAvgMomP(decimal stkPrc){ this.decMOMP = (this.thisMOMP_1.Current + this.thisMOMP_3.Current + this.thisMOMP_6.Current)/3m; this.decOneMonthForecast = this.decOneYearPriceTarget_Current = this.decOneYearPriceTarget_Initial = (1m + this.decMOMP/100m) * stkPrc; return this.decMOMP; } public void UpdateBeta(TradeBar symbolTradeBar, TradeBar spyTradeBar) { thisBeta.Update(symbolTradeBar); thisBeta.Update(spyTradeBar); //_window.Add(symbolTradeBar); } } // end class SymbolData //////////////////////////////////////////////////////////////////////////// /////////////// tradedSymbols -- used in Jupyter Plotting //////////////////////////////////////////////////////////////////////////// public List<Symbol> tradedSymbols = new List<Symbol>(); //////////////////////////////////////////////////////////////////////////// /////////////// Build ETF SDBS --- get the equity and bond ETFs for ////////////// "Ballast" and yield //////////////////////////////////////////////////////////////////////////// public void BuildETFDBS(){ String stockETFs = "XLV,XLK,XLI,XLU,XLF,XLY,XLP,XLB,XLE,PSR,IYZ,USO,SCZ,SH,PSQ,QQQ"; String bondETFs = "TLT,TIP,BIL,AGG,HYG"; foreach (string sym in stockETFs.Split(",")){ Debug($" -- -- --- ETF Adding {sym} "); thisSymbol = AddEquity(sym, Resolution.Minute, Market.USA, true, 0, false, DataNormalizationMode.Raw).Symbol; var opt = AddOption(thisSymbol, Resolution.Minute, Market.USA, true, 0m); opt.PriceModel = OptionPriceModels.BjerksundStensland(); /// necessary for Greeks //opt.SetFilter(u => u.Strikes(-3, +3).Expiration(0, 270).IncludeWeeklys()); // opt.SetFilter(u => u.Strikes(-LUD.maxPutOTM, LUD.maxCallOTM).Expiration(0, 270)); //.IncludeWeeklys()); /*opt.SetFilter(universe => from symbol in universe //.IncludeWeeklys() .Expiration(TimeSpan.Zero, TimeSpan.FromDays(270)) where universe.Underlying.Price>=100 ? Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= 20 : Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= 15 select symbol); */ opt.SetFilter(universe => from symbol in universe //.IncludeWeeklys() .Expiration(TimeSpan.Zero, TimeSpan.FromDays(47)).IncludeWeeklys() where Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= .15M * universe.Underlying.Price select symbol); etfDataBySymbol.Add(thisSymbol, new SymbolData(thisSymbol, true, false, opt.Symbol, symbSPY)); SymbolData sd = etfDataBySymbol[thisSymbol]; sd.intType = 1; /// set type to 2:Bond ETF sd.openInterestCheck = true; var historyBars = History<TradeBar>(thisSymbol, 270, Resolution.Daily); foreach(TradeBar tb in historyBars){ sd.Bars.Add(tb); } WarmUpIndicator(thisSymbol, sd.thisMOMP_1); WarmUpIndicator(thisSymbol, sd.thisMOMP_3); WarmUpIndicator(thisSymbol, sd.thisMOMP_6); // wire up consolidator to update the indicator try{ sd.consolidator.DataConsolidated += (sender, baseData) => { // 'bar' here is our newly consolidated data var bar = (TradeBar)baseData; // update indicator sd.thisMOMP_1.Update(bar.Time, bar.Close); sd.thisMOMP_3.Update(bar.Time, bar.Close); sd.thisMOMP_6.Update(bar.Time, bar.Close); sd.Bars.Add(bar); }; SubscriptionManager.AddConsolidator(thisSymbol, sd.consolidator); } catch (Exception excp) { Log($"Error wiring up Consolidator for {sd.symbol} is {excp.Message}"); } } foreach (string sym in bondETFs.Split(",")){ Debug($" -- -- --- ETF Adding {sym} "); thisSymbol = AddEquity(sym, Resolution.Minute, Market.USA, true, 0, false, DataNormalizationMode.Raw).Symbol; var opt = AddOption(thisSymbol, Resolution.Minute, Market.USA, true, 0m); opt.PriceModel = OptionPriceModels.BjerksundStensland(); /// necessary for Greeks opt.SetFilter(universe => from symbol in universe //.IncludeWeeklys() .Expiration(TimeSpan.Zero, TimeSpan.FromDays(90)) where Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= .2M * universe.Underlying.Price select symbol); etfDataBySymbol.Add(thisSymbol, new SymbolData(thisSymbol, true, false, opt.Symbol, symbSPY)); SymbolData sd = etfDataBySymbol[thisSymbol]; sd.intType = 2; /// set type to 2:Bond ETF sd.openInterestCheck = true; var historyBars = History<TradeBar>(thisSymbol, 270, Resolution.Daily); foreach(TradeBar tb in historyBars){ sd.Bars.Add(tb); } // wire up consolidator to update the indicator try{ sd.consolidator.DataConsolidated += (sender, baseData) => { // 'bar' here is our newly consolidated data var bar = (TradeBar)baseData; // update indicator sd.thisMOMP_1.Update(bar.Time, bar.Close); sd.thisMOMP_3.Update(bar.Time, bar.Close); sd.thisMOMP_6.Update(bar.Time, bar.Close); sd.Bars.Add(bar); }; SubscriptionManager.AddConsolidator(thisSymbol, sd.consolidator); } catch (Exception excp) { Log($"Error wiring up Consolidator for {sd.symbol} is {excp.Message}"); } } } } }
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { // ********************** GetETFMatrix ******************************************* // *** This code will buy the ETF and the 10-15%OTM Put and Sell the Call // *** closest to the current Stock Price plus the Avgerage MOMP // ****************************************************************************************** public bool GetETFMatrix(ref LookupData LUD, bool firstTime){ try{ LUD.clearLD(this); LUD.SSQRMatrix.Clear(); LUD.intType = 1; //LUD.uSymbol = SD.symbol; OrderTicket etfTicket; OrderTicket putTicket; OrderTicket callTicket; Slice slc = CurrentSlice; if (LUD.doTracing) Log($" -- PUTETFON PUTETFON {LUD.uSymbol.Value} PUTETFON PUTETFON --"); decimal stockPrice = LUD.stockPrice; OptionChain allUnderlyingOptions = null; // chain opbjec to get all contracts OptionContract putContract; // contract object to collect put greeks OptionContract callContract; // contract object to collect call greeks //OptionContract wcContract; // contract object to collect wing call greeks Greeks putGreeks; Greeks callGreeks; Greeks wcGreeks; DateTime tradeDate = slc.Time; // current date, presumed date of trade //DateTime targetExpiration = GetLastOptionsExpiry(tradeDate.AddMonths(1)); DateTime targetExpiration = FindDay(tradeDate.AddMonths(1).Year, tradeDate.AddMonths(1).Month, DayOfWeek.Friday, 4); if (targetExpiration.Month == targetExpiration.AddDays(7).Month) targetExpiration = targetExpiration.AddDays(7); LUD.decOneYearPriceTarget = etfDataBySymbol[LUD.uSymbol].decOneYearPriceTarget_Initial; decimal decMOMP = etfDataBySymbol[LUD.uSymbol].decMOMP; Debug($" ETF ETF ETF -- The 1Yr Price for {LUD.uSymbol.Value} is {stockPrice.ToString("0.00")} with MOMP: {decMOMP.ToString("0.00")} yielding a target of {LUD.decOneYearPriceTarget.ToString("0.00")}"); decimal estTrgtPutStrk = .95M * stockPrice; decimal estTrgtCallStrk = .95M * LUD.decOneYearPriceTarget; foreach(var chain in slc.OptionChains.Values){ if (!chain.Underlying.Symbol.Equals(LUD.uSymbol)) { continue; } allUnderlyingOptions = chain; break; } if (allUnderlyingOptions == null) { if (LUD.doTracing) Debug($" -- PUTETFON PUTETFON PUTETFON No options returned at {slc.Time} for {LUD.uSymbol.Value} "); return false; // return null SSQRMatrix and pass control back to OnData() } var putChains = allUnderlyingOptions.Where(o=>o.Right == OptionRight.Put & DateTime.Compare(o.Expiry,targetExpiration)<=0 & o.Strike <= estTrgtPutStrk) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o=>Math.Abs(estTrgtPutStrk-o.Strike)); var callChains = allUnderlyingOptions.Where(o=>o.Right == OptionRight.Call & DateTime.Compare(o.Expiry,targetExpiration)<=0 & o.Strike >= estTrgtCallStrk & o.BidPrice >= 0.20m) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o=>Math.Abs(estTrgtCallStrk-o.Strike)); //Debug($" -- PUTETFON PUTETFON -- TARGET EXPIRATION IS {targetExpiration.ToString()}. There are {putChains.Count()} puts and {callChains.Count()} calls."); //foreach( var chain in allUnderlyingOptions){ // Debug($" -- PUTETFON PUTETFON -- OPTION IS: {chain.Symbol.Value}"); //} putContract = putChains.FirstOrDefault(); callContract = callChains.FirstOrDefault(); //if (putContract == null | callContract == null) { if (putContract == null) { if(LUD.doTracing) Debug($" -- PUTETFON Failed to get PUT for {LUD.uSymbol.Value} @ {stockPrice.ToString()} with Put Target={estTrgtPutStrk.ToString()}"); //and Call Target={estTrgtCallStrk.ToString()}."); return false; } if (LUD.uSymbol.Value=="SH") { foreach( var chain in putChains){ if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON PUT IS: {chain.Symbol.Value}"); } if(LUD.doTracing) Debug("-- PUTETFON PUTETFON -- PUTETFON PUTETFON -- PUTETFON PUTETFON -- PUTETFON PUTETFON "); foreach( var chain in callChains){ if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON CALL IS: {chain.Symbol.Value}"); } } if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON PUT: {putContract.Symbol.Value}."); if(LUD.doTracing && callContract!=null) Debug($" -- PUTETFON PUTETFON -- PUTETFON PUTETFON CALL: {callContract.Symbol.Value}."); SSQRColumn thisSSQRColumn = buildSSQRColumn(putContract, callContract, this, LUD); if (thisSSQRColumn != null) { LUD.SSQRMatrix.Add(thisSSQRColumn); } else if(LUD.doTracing) Debug($" -- PUTETFON PUTETFON PUTETFON Failed to get ETF SSSQRColumn for {LUD.uSymbol.Value}."); var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(s => s.stockPrice); IterateOrderedSSQRMatrix(orderedSSQRMatrix); if (!firstTime) return !firstTime; // if not first time, then return TRUE so the LUD.SSQRMatrix will be used in subsequent procdessing TradePerfRec thisNewCollar = new TradePerfRec(); // create a tradePerfRec #1 for the puts sold, solely to log their P/L (including underlying unrealized P/L). etfTicket = MarketOrder(LUD.uSymbol, 1000); if (etfTicket.Status == OrderStatus.Filled) { didTheTrade = true; thisNewCollar.strtngCndtn = "INITIAL COLLAR"; thisNewCollar.isOpen = true; thisNewCollar.isInitializer = true; thisNewCollar.tradeRecCount = 0;; thisNewCollar.index = etfDataBySymbol[LUD.uSymbol].intTPRCntr += 1; thisNewCollar.startDate = slc.Time; thisNewCollar.expDate = putContract.Expiry; thisNewCollar.thetaExpiration = callContract!=null ? callContract.Expiry : default; thisNewCollar.uSymbol = LUD.uSymbol; thisNewCollar.cSymbol = callContract.Symbol; thisNewCollar.pSymbol = putContract.Symbol; //thisNewCollar.wcSymbol = tradableWCall; thisNewCollar.uStartPrice = etfTicket.AverageFillPrice; thisNewCollar.pStrike = putContract.Strike; thisNewCollar.cStrike = callContract!=null ? callContract.Strike : 0; //thisNewCollar.wcStrike = thisSSQRColumn.wCallStrike; thisNewCollar.uQty = (int)etfTicket.QuantityFilled; thisNewCollar.ROR = thisSSQRColumn.ROR; thisNewCollar.ROC = thisSSQRColumn.ROC; thisNewCollar.CCOR = thisSSQRColumn.CCOR; thisNewCollar.RORThresh = RORThresh; thisNewCollar.ROCThresh = ROCThresh; thisNewCollar.CCORThresh = CCORThresh; thisNewCollar.tradeCriteria = "ETF"; //thisNewCollar.stockADX = 0; //lastAdx; //thisNewCollar.stockADXR = 0; //lastAdxr; //thisNewCollar.stockOBV = 0; //lastObv; //thisNewCollar.stockAD = lastAd; //thisNewCollar.stockADOSC = lastAdOsc; //thisNewCollar.stockSTO = lastSto; //thisNewCollar.stockVariance = lastVariance; thisNewCollar.SSQRnetProfit = etfTicket.QuantityFilled * thisSSQRColumn.netIncome; //thisNewCollar.VERating = LUD.intVERating; //thisNewCollar.momentum = LUD.decMomentum; //thisNewCollar.oneYearPriceTarget = LUD.decOneYearPriceTarget; //thisNewCollar.momentumRank = LUD.intMomentumRank; doTheTrade = true; /*if (thisNewCollar.cStrike < thisNewCollar.uStartPrice) { var limitPrice = (Securities[tradableCall].AskPrice - Securities[tradableCall].BidPrice) / 2M; // get the mid point for the limit price var callTicket = LimitOrder(tradableCall, -optionsToTrade, limitPrice); // sell limit order thisNewCollar.cQty = -(int)optionsToTrade; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = callTicket; oLO.tpr = thisNewCollar; oLO.oRight = OptionRight.Call; oLOs.Add(oLO); //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice; } else { */ if (callContract!=null ) { callTicket = MarketOrder(callContract.Symbol, -10); if (callTicket.Status == OrderStatus.Filled) { thisNewCollar.cStartPrice = callTicket.AverageFillPrice; thisNewCollar.cQty = (int)callTicket.QuantityFilled; } } putTicket = MarketOrder(putContract.Symbol, 10); if (putTicket.Status == OrderStatus.Filled) { thisNewCollar.pStartPrice = putTicket.AverageFillPrice; thisNewCollar.pQty = (int)putTicket.QuantityFilled; } doTheTrade = true; ETFRecs.Add(thisNewCollar); if (doTracing) Log("-- PUTETFON PUTETFON PUTETFON -- ADDING AN ETFPR "); return true; } } catch (Exception excp){ Debug($" PUTETFON ERROR {excp}"); } return false; } } }
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Drawing; using QuantConnect.Util; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Data.Consolidators; using QuantConnect.Orders; using QuantConnect.Securities; using QuantConnect.Securities.Option; #endregion namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { int SecAddedCnt = 0; int SecRemvdCnt = 0; DateTime StartData; DateTime EndData; DateTime StartSDBS; DateTime EndSDBS; DateTime StartTPRs; DateTime EndTPRs; DateTime StartSecChng; DateTime EndSecChng; TimeSpan tspanData = new TimeSpan(); TimeSpan tspanSDBS = new TimeSpan(); TimeSpan tspanTPRs = new TimeSpan(); TimeSpan tspanSecChng = new TimeSpan(); static Universe ourUniverse; public bool badDtParameter; // get this from the parameters for debugging public bool haltProcessing = false; // use this to trap ERROR public bool doTracing = false; // turn //if (doTracing) Log() process tracing on/off public bool logPortfolio = false; // for tracking portfolio changes public bool doDeepTracing = false; // turn //if (doDeepTracing) Log() process tracing on/off public bool addedStocks = false; public string filledOrdersForObjStore = ""; // string used to load orders into ObjectStore OrderTicket closeCallTicket; // use this to track and manage collar rolling and killing trades OrderTicket closePutTicket; // use this to track and manage collar rolling and killing trades OrderTicket closeWCallTicket; // use this to track and manage collar rolling and killing trades List<OpenLimitOrder> oLOs = new List<OpenLimitOrder>(); // maintain a list of open limit orders to manage List<Symbol> SymbolsToRemove = new List<Symbol>(); bool iteratePortfolio = false; // Switch to toggle Iterating and Logging portfolio decimal stockDollarValue; // get the dollar value for the position decimal sharesToBuy = 1000; // Get the number shares to achieve the value bool hasDividends = true; // Bool set (unset=false) to determine whether to add security to portfolio decimal optionsToTrade; // Get the initial Options to trade (1/10th the sharesToBuy) decimal callsToTrade; // Get the initial call options to trade in a variable call coverage strategy int MinNmbrDivs = 1; // Instantiate and set minimum number of dividends acceptable in BestSSQRMatrix decimal wingFactor = 0; // wing factor to multiply optionsToTrade to trade the wings decimal decOIThresh = 0; // Threshold for Open Interest used to eliminate stocks decimal decThisOI = 0; // this underlying's options OI for ATM front month decimal vix; // used to track and log vix values bool doTheTrade = false; // Used to allow trades the algorithm initiates bool didTheTrade = false; // used to toggle iterating SSQRMatrix bool useDeltas = false; // used to turn use of deltas in trade determination on or off public decimal ROCThresh; // return on (risk/margin-committed) capital public decimal RORThresh; // return on risk (= net collar cost - put strike) public decimal CCORThresh; // call coverage ratio / risk for 0 cost collar (risk = stockPrice - putStrike) bool goodThresh = false; // used to determine go/no-go on trade public bool switchROC = true; public Dictionary<Symbol, decimal> lastClosePrice; LookupData LUD = new LookupData(); // repository of system-wide and common data List<TradePerfRec> tradeRecs = new List<TradePerfRec>(); // used to track P&L of trades List<TradePerfRec> tprsToClose = new List<TradePerfRec>(); // List of TPRs to Close. // use this in OnData TPR-driven position updating List<TradePerfRec> tprsToOpen = new List<TradePerfRec>(); // List of TPRs to Open. // use this in OnData TPR-driven position updating List<TradePerfRec> secTPRs = new List<TradePerfRec>(); List<TradePerfRec> thetaTPRs = new List<TradePerfRec>(); List<TradePerfRec> ETFRecs = new List<TradePerfRec>(); // LIst of ETF Packages int tradeRecCount = 0; // track the trade count int secndRecCount = 0; // loop counter for processing 2nd Recs int collarIndex = 0; bool hasPrimaryRec = false; bool hasSecondaryRec = false; bool hasThetaRec = false; int curr2ndTPR = 0; // Used to store index int curr1stTPR = 0; // used to store index of 1st TPR int CountTPRs = 0; // Use this to filter FineFilterSelection to 1 stock as specified by Algorithm Parameter. static string strFilterTkr = ""; Symbol thisSymbol; // Initialize Symbol as class variable //decimal incrPrice = 0; // check for underlying price appreciation decimal currSellPnL = 0; // for calculating potential roll P&L decimal currExrcsPutPnL = 0; // for calculating potential roll P&L decimal currExrcsCallPnL = 0; // for calculating potential roll P&L decimal callStrike; decimal putStrike; decimal sTPRPutStrike; // strike of 2nd TPR Put Strike decimal wcStrike; // strike of wing call for evaluating sale Symbol debugSymbol; // general purpose debugging variable OptionChain debugChain; // special purpose debugging variable decimal stockPrice = 0; decimal fTPRPutPrice = 0; // used when rolling up stop losses or deciding to exercise ITM positions decimal sTPRPutPrice = 0; // used when evaluating sTPRs for rolling or extinguishing decimal thisROC = 0; decimal thisROR = 0; decimal thisCCOR = 0; decimal heldValue = 0; // value of thisSymbol held bool buyMoreShares = false; // decision to buy more shares of thisSymbol or keep managing inventory SSQRColumn bestSSQRColumn = new SSQRColumn(); List<ColumnSD> CSDsToDo = new List<ColumnSD>(); List<SymbolData> SDsThatCanRoll = new List<SymbolData>(); decimal stockDividendAmount = 0M; string divFrequency = "Quarterly"; decimal divPlotValue = 0M; DateTime lastDate = DateTime.MinValue; DateTime newDate = DateTime.MinValue; Symbol symbSPY; bool sellThePut = false; // ORDER MANAGEMENT CONTROL -- SET sellThePut whenever calls are exercised by LEAN bool buyTheCall = false; // ORDER MANAGEMENT CONTROL -- SET buyThePut whenever puts are exercised by LEAN // Holds multi ticker data Dictionary<Symbol, SymbolData> symbolDataBySymbol = new Dictionary<Symbol, SymbolData>(); Dictionary<Symbol, SymbolData> etfDataBySymbol = new Dictionary<Symbol, SymbolData>(); /// SDBS for ETFs bool doETF; // flag to limit ETF processing to 1X on last day public override void Initialize() { DateTime startDate = DateTime.Parse(GetParameter("StartDate")); DateTime endDate = DateTime.Parse(GetParameter("EndDate")); SetStartDate(startDate.Year, startDate.Month, startDate.Day); //Set Start Date SetEndDate(endDate.Year, endDate.Month, endDate.Day); // Set End Date SetCash(30000000); /// Set Strategy Cash $100,000,000 for ~50 positions @ $30,000 risk per strFilterTkr = GetParameter("stockTicker"); if (strFilterTkr == "-"){ strFilterTkr = "";} AddEquity(strFilterTkr, Resolution.Minute, Market.USA, true, 3, false, DataNormalizationMode.Raw); /* ourUniverse = AddUniverse<StockDataSource>("VE-IEX-Combo", stockDataSource => { return stockDataSource.SelectMany(x => x.Symbols).Take(20); // take 40 on 2023-03-07 }); */ badDtParameter = GetParameter("CheckBadDate") == "true" ? true : false; // get this from parameters stockDollarValue = Convert.ToDecimal(GetParameter("StockDollarValue")); LUD.unitRiskAmt = stockDollarValue; // package dollar amount of risk per package at start useDeltas = GetParameter("UseDeltas") == "true" ? true : false; // get this from parameters decOIThresh = Convert.ToDecimal(GetParameter("OpenIntrstThresh")); // get the threshold of open interest to eliminate thinly-traded securities LUD.InitializeData(this); LUD.maxPutOTM = Convert.ToInt16(GetParameter("MaxOTMPutDepth")); // get and set the Maximum OTM Put Depth LUD.maxCallOTM = Convert.ToInt16(GetParameter("MaxOTMCallDepth")); // get and set the Maximum OTM Put Depth doTracing = LUD.doTracing = GetParameter("LogTrace") == "true" ? true : false; // get this from paramters to turn //if (doTracing) Log() tracing on/off doDeepTracing = LUD.doDeepTracing = GetParameter("LogTraceDeeper") == "true" ? true : false; // get this from paramters to turn //if (doTracing) Log() tracing on/off //symbSPY = AddEquity("SPY", Resolution.Daily, Market.USA, true, 0, false, DataNormalizationMode.Adjusted).Symbol; //BuildETFDBS(); } // // // /// /// /// /// /// Initialize() public void OnData(Dividends dData) { try{ if (Portfolio.Invested) { int k = 0; // counter for updates if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen & !tpr.isSecondary & !tpr.isTheta)) { foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && !tpr.isSecondary && !tpr.isTheta)) { if (tprec.uSymbol != null) { if(dData.ContainsKey(tprec.uSymbol)) { var paymentAmount = dData[tprec.uSymbol].Distribution; tprec.numDividends = tprec.numDividends + 1; tprec.divIncome = tprec.divIncome + paymentAmount; k = k + 1; //if (doDeepTracing) Log(" DDDDDDDDDD DDDDDDDDDDD DIVIDENDS FOR " + tprec.uSymbol + " ARE " + paymentAmount); } } } } } } catch (Exception errMsg) { if (doTracing) Log(" DIV ERROR DIV ERROR DIV ERROR " + errMsg); return; } } public override void OnData(Slice data) { bool processClosedTPRs = false; logPortfolio = true; SecAddedCnt = SecRemvdCnt = 0; if (badDtParameter && CheckBadDate(data.Time)) { //////////////// USE THIS DIAGNOSTICALLY /////////////////////////////// haltProcessing = true; Debug($" |||| |||| DATE: {data.Time.ToString()} |||| |||| "); foreach(var kvp in Securities) { var security = kvp.Value; if (security.Invested) { Debug($" |||| |||| |||| HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}"); } } } else haltProcessing = false; if (IsMarketOpen("IBM") & data.Time.Hour == 9 & data.Time.Minute == 41) { if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && (Portfolio[tpr.uSymbol].Invested && tpr.cSymbol!=null && !Portfolio[tpr.cSymbol].Invested)) ) { //// careful here. only primary and secondary (non-theta) tprs have uSymbols //foreach(TradePerfRec tprec in tradeRecs.Where(tpr=> tpr.isOpen && (Portfolio[tpr.uSymbol].Invested && tpr.pSymbol!=null && !Portfolio[tpr.pSymbol].Invested))) { foreach(TradePerfRec tprec in tradeRecs.Where(tpr=> tpr.isOpen && (Portfolio[tpr.uSymbol].Invested && tpr.cSymbol!=null))) { if (IsOrphaned(tprec.uSymbol)) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; tprec.CleanUp(this); } } } if (tprsToClose.Count != 0) { foreach (TradePerfRec rec in tprsToClose) { if (Portfolio[rec.uSymbol].Invested){ OrderTicket liquidTix = MarketOrder(rec.uSymbol, -rec.uQty); if (liquidTix.Status == OrderStatus.Filled) rec.uEndPrice = liquidTix.AverageFillPrice; if (doTracing) Log($" |||| |||| LIQUIDATING ORPHAN STOCK {rec.uSymbol.Value} ON {data.Time.ToShortDateString()} AT {data.Time.ToShortTimeString()} SETTING PRICE TO {liquidTix.AverageFillPrice.ToString("0.00")}"); } rec.isOpen = false; if (symbolDataBySymbol.ContainsKey(rec.uSymbol)) { symbolDataBySymbol.Remove(rec.uSymbol); } } tprsToClose.Clear(); } } if (data.Time.Hour < 10) return; if (IsMarketOpen("IBM")) { if (oLOs != null && oLOs.Count > 0) ProcessOpenLimitOrders(data); if(SymbolsToRemove.Count != 0) ProcessRemoveSecurities(); if (data.Time.DayOfYear != newDate.DayOfYear) { newDate = data.Time; if (lastDate.Equals(DateTime.MinValue)){ lastDate = newDate.AddDays(-1); //Debug($" ** ** ** ** ** ** ** Setting lastDate to {lastDate.ToString()} "); } } } StartData = DateTime.Now; ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // FIRST -- CHECK FOR ADDED STOCKS // UNIVERSE IS EVALUATED/LOADED MONTHLY AT MIDNIGHT ON 1ST DAY OF MONTH. // THE FOLLOWING CODE EXECUTES SOLELY ON FIRST DAY OF MONTH -- DO IT BEFORE 10:00 ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// if (IsMarketOpen("IBM") && addedStocks) { addedStocks = false; foreach(var sdbs in symbolDataBySymbol) { Symbol symbOIChk = sdbs.Key; //if(!data.ContainsKey(symbOIChk)) continue; // **** **** 2023-03-15 good candidates may not be traded every minute SymbolData symbDat = sdbs.Value; LUD.uSymbol = symbOIChk; LUD.loadVEData(this); /// **** **** 2023-03-15 commented out because LUD is not used in processing CheckOI LUD.GetNextExDate(this); OptionChain chnOICheck; if (!symbDat.openInterestCheck & (data.OptionChains.TryGetValue(symbDat.optSymbol, out chnOICheck))) { //if(LUD.decOneYearPriceTarget < chnOICheck.Underlying.Price) /// **** **** 2023-03-19 Try using total yield var atmPutContract_r = chnOICheck.Where(x => x.Right == OptionRight.Put) .OrderBy(x => x.Expiry) .ThenBy(x => Math.Abs(chnOICheck.Underlying.Price - x.Strike)) .FirstOrDefault(); var atmCallContract_r = chnOICheck.Where(x => x.Right == OptionRight.Call) .OrderBy(x => x.Expiry) .ThenBy(x => Math.Abs(chnOICheck.Underlying.Price - x.Strike)) .FirstOrDefault(); if(atmCallContract_r!=null) decThisOI = atmCallContract_r.OpenInterest; if(atmPutContract_r!=null) decThisOI = decThisOI + atmPutContract_r.OpenInterest; //if (doTracing) Debug($"--- {symbOIChk.Value} has Open Interest of: {decThisOI.ToString()} contracts. At {chnOICheck.Underlying.Price.ToString("0.00")} and projected total annual gain of {LUD.GetTotalGain(4, chnOICheck.Underlying.Price)}"); if((decThisOI < decOIThresh)) { SymbolsToRemove.Add(atmCallContract_r.UnderlyingSymbol); continue; } symbDat.openInterestCheck = true; if(LUD.GetTotalGain(3,Securities[symbOIChk].Price) + Securities[symbOIChk].Price < Securities[symbOIChk].Price * 1.1m) { symbDat.isRollable = false; /// eliminate VECase1 trades } else symbDat.isRollable = true; } } } else { /// addedStocks //Debug("--- --- OnData: " + data.Time.ToShortDateString() + " @ " + data.Time.ToShortTimeString()); } if (SymbolsToRemove.Count != 0 ) ProcessRemoveSecurities(); if (data.Time.Minute % 10 !=0) return; ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // SECOND -- CHECK ETFS MOMENTUM TO SHIFT ALLOCATION // IF LAST TRADING DAY GET 1 3 6 mos MOMP decimal dummy; decimal etfPrc; /* if (IsLastTradingDay(data.Time) && newDate.DayOfYear != lastDate.DayOfYear){ lastDate = newDate; bool didTradeHere = false; // if (doTracing) Debug($" ** ** ** Setting lastDate equal to newDate to {newDate.ToString()} "); List<SymbolData> ETFSDList = new List<SymbolData>(); List<SymbolData> BondSDList = new List<SymbolData>(); List<SymbolData> ETFsToDo = new List<SymbolData>(); List<SymbolData> ETFsToKill = new List<SymbolData>(); Decimal avgMOMP_Top3_Equity; Decimal avgMOMP_Top3_Bonds; // /// /// iterate all ETF SDBS' and set each Average MOMP foreach (var sdbs in etfDataBySymbol) { etfPrc = Securities[sdbs.Key].Close; dummy = sdbs.Value.GetAvgMomP(etfPrc); sdbs.Value.decOneYearPriceTarget_Current = sdbs.Value.decOneYearPriceTarget_Initial = (1m + dummy/100m) * etfPrc; if (doTracing) Debug($" ** ** ** {sdbs.Key.Value} is priced @ {etfPrc.ToString()} and the 1yr Target is {sdbs.Value.decOneYearPriceTarget_Initial.ToString()} based upon {dummy.ToString()}. "); ETFSDList.Add(sdbs.Value); // if (doTracing) Debug($" ** ** ** ** Setting MOMP for {sdbs.Key.Value} to {sdbs.Value.decMOMP.ToString()} "); */ ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // THIRD -- CHECK TPRS TO MANAGE EXISTING PACKAGES // ITERATE THROUGH TPRS AND EVALUATE OPPORTUNITIES EVERY 5 MINUTES AFTER 10:00 EST // THIRD A -- PROCESS STOCK Collapse. Will not roll package, only kill it //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// int k = 0; /* if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && (Securities[tpr.uSymbol].Price > 0.98M * tpr.cStrike)) ) { //// careful here. only primary and secondary (non-theta) tprs have uSymbols foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && (Securities[tpr.uSymbol].Price > 1.02M * tpr.cStrike))) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling HandleCollapse for {tprec.uSymbol.Value} because the current price {Securities[tprec.uSymbol].Price.ToString()} is less than 98% Putstrike: {tprec.pStrike.ToString()}. "); if (!tprec.HandleCollapse(this, LUD)) continue; k = k + 1; } } //Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0 if (tprsToClose.Any(tpr=> tpr!=null)) { /// 2021-10-18 -- close TPRs here tprsToClose.ForEach(tpr=>tpr.CloseTPR()); } tprsToClose.Clear(); LUD.clearLD(this); k = 0; */ // ------------------------------------------------------------------------------------------------------------------------------------- /* if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen && (Securities[tpr.uSymbol].Price < 0.98M * tpr.pStrike)) ) { //// careful here. only primary and secondary (non-theta) tprs have uSymbols foreach(var tprec in ETFRecs.Where(tpr=> tpr.isOpen && (Securities[tpr.uSymbol].Price < 0.95M * Securities[tpr.pSymbol].BidPrice))) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; LUD.intType = 1; /// Set type to 1 :: ETF //if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling HandleCollapse for {LUD.uSymbol} because the current price {Securities[tprec.uSymbol].Price.ToString()} is less than 98% Putstrike: {tprec.pStrike.ToString()}. "); if (!tprec.HandleCollapse(this, LUD)) continue; k = k + 1; } } //Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0 if (tprsToClose.Any(tpr=> tpr!=null)) { /// 2021-10-18 -- close TPRs here tprsToClose.ForEach(tpr=>tpr.CloseTPR()); } tprsToClose.Clear(); LUD.clearLD(this); k = 0; */ /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // THIRD B -- PROCESS ROLL DOWNS k = 0; if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && ((Securities[tpr.uSymbol].Price < 100) & (tpr.uStartPrice-Securities[tpr.uSymbol].Price>=5m)) | ((Securities[tpr.uSymbol].Price>=100) & (tpr.uStartPrice-Securities[tpr.uSymbol].Price>=15m)))) { //// careful here. only primary and secondary (non-theta) tprs have uSymbols foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && (((Securities[tpr.uSymbol].Price<100) & tpr.uStartPrice-Securities[tpr.uSymbol].Price>=5m) | ((Securities[tpr.uSymbol].Price>=100) & (tpr.uStartPrice-Securities[tpr.uSymbol].Price>=15m))))) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; LUD.loadVEData(this); LUD.SSQRMatrix.Clear(); if (doDeepTracing) Log($" MAIN ON DATA THIRD B TPR.CHECKROLLINGDOWN FOR {tprec.uSymbol.Value}"); if (!tprec.CheckRollingDown(this, LUD)){ processClosedTPRs = true; continue; } k = k + 1; } } // ------------------------------------------------------------------------------------------------------------------------------------- /* k = 0; if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen && ((Securities[tpr.uSymbol].Price < 100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=5m)) | ((Securities[tpr.uSymbol].Price>=100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=15m)))) { //// careful here. only primary and secondary (non-theta) tprs have uSymbols foreach(var tprec in ETFRecs.Where(tpr=> tpr.isOpen && (((Securities[tpr.uSymbol].Price<100) & Securities[tpr.uSymbol].Price - tpr.uStartPrice>=5m) | ((Securities[tpr.uSymbol].Price>=100) & (Securities[tpr.uSymbol].Price-tpr.uStartPrice>=15m))))) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; LUD.intType = 1; /// ETF LUD.SSQRMatrix.Clear(); //if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling RollPutUP for {LUD.uSymbol} because the current price {Securities[tprec.uSymbol].Price.ToString()} is greater than start: {tprec.uStartPrice.ToString()}. "); if (!tprec.CheckRollingUp(this, LUD)) continue; k = k + 1; } } //Debug("--- Starting TPR processing On: " + data.Time.ToShortDateString() + " @ " + data.Time.ToLongTimeString()); // logs S: 0 */ if(tprsToClose.Count!=0) { tprsToClose.ForEach(tpr=>tpr.CloseTPR()); } tprsToClose.Clear(); processClosedTPRs = false; if (tprsToOpen.Count!=0){ foreach(TradePerfRec tpr in tprsToOpen) { if (doTracing) Debug(" --- ---- ---- Adding new TPR " + tpr.uSymbol.Value); if (symbolDataBySymbol.ContainsKey(tpr.uSymbol)) { tpr.OpenTPR(); tradeRecs.Add(tpr); } else if (etfDataBySymbol.ContainsKey(tpr.uSymbol)) { tpr.OpenTPR(); ETFRecs.Add(tpr); } } } tprsToOpen.Clear(); LUD.clearLD(this); k = 0; ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // THIRD C -- PROCESS EXPIRATION AND DIVIDEND ROLLS //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// if (tradeRecs.Any(tpr=> tpr!=null && tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >=10)) { foreach(var tprec in tradeRecs.Where(tpr=> tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >= 10)) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; LUD.loadVEData(this); LUD.SSQRMatrix.Clear(); //if (doDeepTracing) Log($" MAIN ON DATA THIRD C TPR.CHECKROLLING FOR {tprec.uSymbol.Value}"); //if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling CheckRolling for {LUD.uSymbol} "); if (!tprec.CheckRolling(this, LUD)){ /// 2021-10-18 -- modified TradeDetermination.cs so never sets .isClose=true. & never add and new TPR there **** NOTE: 2023-01-07::modified to continue loop and not increment k if tpr doesn't roll/kill collar processClosedTPRs = true; continue; } k = k + 1; } } // ------------------------------------------------------------------------------------------------------------------------------------- /* if (ETFRecs.Any(tpr=> tpr!=null && tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >=10)) { foreach(var tprec in ETFRecs.Where(tpr=> tpr.isOpen && data.Time.Subtract(tpr.startDate).Days >= 10)) { LUD.clearLD(this); LUD.uSymbol = tprec.uSymbol; LUD.intType = 1; //if (doDeepTracing) Log($" tprtprtprtprtprtprtpr --- ---- Calling CheckRolling for {LUD.uSymbol} "); if (!tprec.CheckRolling(this, LUD)) continue; /// 2021-10-18 -- modified TradeDetermination.cs so never sets .isClose=true. & never add and new TPR there **** NOTE: 2023-01-07::modified to continue loop and not increment k if tpr doesn't roll/kill collar k = k + 1; /// 2023-01-07 continued :: previously, this had a break and the first successful roll/kill would end processing of any subsequent TPR's. } } */ if(tprsToClose.Count!=0) { tprsToClose.ForEach(tpr=>tpr.CloseTPR()); } tprsToClose.Clear(); processClosedTPRs = false; if (tprsToOpen.Count!=0){ foreach(TradePerfRec tpr in tprsToOpen) { if (doTracing) Debug($" --- ---- ---- ---- ----- --- Adding new TPR {tpr.uSymbol.Value} in CheckRolling"); if (symbolDataBySymbol.ContainsKey(tpr.uSymbol)) { tpr.OpenTPR(); tradeRecs.Add(tpr); } else if (etfDataBySymbol.ContainsKey(tpr.uSymbol)) { tpr.OpenTPR(); ETFRecs.Add(tpr); } } } tprsToOpen.Clear(); LUD.clearLD(this); k = 0; /////////////////////////////////////////////////////////////////////////////////////////////////////// // FOURTH -- CHECK SDBS PROSPECTS FOR OPENING POSITIONS // ITERATE THROUGH SDBS AND EVALUATE OPPORTUNITIES EVERY 15 MINUTES IN 10:00 EST HOUR // DO NOT PROCESS BEFORE 10:00 EST AS OPTIONS MARKETS TOO THIN AND SPREADS TOO WIDE /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // try to establish new positions. Check each viable SDBS prospect to attempt package initialization for un-invested Symbols if (data.Time.Minute % 20 !=0) return; /* if (data.Time.Minute==20) { foreach (SymbolData sd in symbolDataBySymbol.Values){ Log($" --- --- {sd.symbol.Value} isRollable: {sd.isRollable.ToString()} / hasOI: {sd.openInterestCheck.ToString()} / isInvested: {Portfolio[sd.symbol].Invested.ToString()} "); } } */ if(symbolDataBySymbol.Any(sdbs => !sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested)) { foreach(var pair in symbolDataBySymbol.Where(sdbs=>!sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested)){ LUD.clearLD(this); LUD.uSymbol = pair.Key; LUD.GetNextExDate(this); LUD.loadVEData(this); LUD.intType = 0; /// stock //if (LUD.decOneYearPriceTarget >= Securities[pair.Key].Price * 1.05m) { if (LUD.GetTotalGain(3,Securities[pair.Key].Price) + Securities[pair.Key].Price >= Securities[pair.Key].Price * 1.1m) { /// **** **** 2023-03-18 adjust filter to total yield SDsThatCanRoll.Add(pair.Value); } } } if (SDsThatCanRoll.Count!=0){ foreach(SymbolData sd in SDsThatCanRoll){ if(doDeepTracing) Log($" -- --- --- recapture prospects that may now be case 2's {sd.symbol.Value}"); sd.isRollable = true; } SDsThatCanRoll.Clear(); } //Debug("--- --- Starting SDBS Processing @ " + data.Time.ToShortTimeString() + " the count is: " + symbolDataBySymbol.Count); // logs S: 0 if (symbolDataBySymbol.Any(sdbs => sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested)) { StartSDBS = DateTime.Now; try{ if (doTracing) Log($" --- SCANNING PROSPECTIVE PORTFOLIO CANDIDATES AT {data.Time.ToString()}."); foreach(var pair in symbolDataBySymbol.Where(sdbs => sdbs.Value.isRollable && sdbs.Value.openInterestCheck && !Portfolio[sdbs.Key].Invested)) { k +=1; if (pair.Key == null) { Debug(" --- ---- ---- Found null key in foreach sdbs."); continue; } Symbol thisSymbol = pair.Key; if (doTracing) Log($" --- ---- the key is {pair.Key}."); if (!IsMarketOpen(thisSymbol)) continue; if (!data.ContainsKey(thisSymbol)) { if (doDeepTracing) Log($" --- ---- --- there's no data in slice for {thisSymbol.Value}. "); //continue; } if (!Securities.ContainsKey(thisSymbol)) { if (doDeepTracing) Log($" --- ---- --- there's no data in Securities for {thisSymbol.Value}. "); continue; } if (Portfolio[thisSymbol].Invested) continue; /// Don't compound packages. Do only 1 package per symbol at any time if (doTracing) Log($" --- --- CANDIDATE: {thisSymbol.Value}."); LUD.clearLD(this); LUD.uSymbol = thisSymbol; LUD.intType = 0; SymbolData symbolData = pair.Value; goodThresh = false; // set the threshold switch to false; hasPrimaryRec = hasSecondaryRec = false; // reset processing branch flags string tickerString = thisSymbol.Value; //////////////////////////////////////////////////////////////////////////// // IN VERSION 5 DO NOT CHECK FOR DIVIDENDS THIS MONTH // JUST DO THE TRADE WHEN VALUENGINE HAS A 5 ENGINE RATING LUD.GetNextExDate(tickerString, this); //// returns DateTime.MinValue if no date discovered //// this function also populates the VE parameter members in LUD pair.Value.divdndAmt = LUD.divdndAmt; LUD.loadVEData(this); pair.Value.decOneYearPriceTarget_Initial = LUD.decOneYearPriceTarget; pair.Value.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget; pair.Value.initialTargetEndDate = LUD.initialTargetEndDate; hasDividends = true; stockPrice = Securities[thisSymbol].Price; if (stockPrice == 0) { if (doDeepTracing) Log($" --- ---- --- Securities price for {thisSymbol.Value} is zero. "); //LUD.clearLD(this); continue; } //if ((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget < 1.05m * stockPrice) { // if (LUD.GetTotalGain(3, stockPrice)+stockPrice <= 1.04m * stockPrice) { // **** **** 2023-03-18 modified to total projected gain in 9 mos. //symbolData.isRollable = false; SymbolsToRemove.Add(thisSymbol); // don't trade and remove any symbol that isn't set to apprciate at least 5% if (doTracing) Debug($" *^*^*^*^*^**^*^**^ LATER REMOVING {thisSymbol.Value} @ {stockPrice.ToString("0.00")} due to less than 4% potential yield {(LUD.GetTotalGain(3,stockPrice)/stockPrice*100).ToString("0.00")}."); //LUD.clearLD(this); continue; } thisROC = 0; thisROR = 0; LUD.SSQRMatrix.Clear(); if (hasDividends & symbolData.isRollable & symbolData.openInterestCheck) { bestSSQRColumn = GetBestCollar(this, ref LUD); // send an LUD with the required information for making trading decisions if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty()) // just in case somehow we got here with a null bestSSQRColumn { if (doTracing) Log($"*** *** *** null OR EMPTY bestSSQR in Trade Initializing {thisSymbol} *************"); symbolData.SSQRFailCnt += 1; if (symbolData.SSQRFailCnt >= 4) { if(doTracing) Log($"*** *** *** *** Removing {thisSymbol} after 4 null bestSSQLRs."); SymbolsToRemove.Add(pair.Key); } //LUD.clearLD(this); continue; } else { if (!bestSSQRColumn.IsEmpty()) { if (doTracing) Log($"*** *** *** ADDING NEW BESTSSQRCOLUMN AND SYMBOLDATA TO BE PROCESSED -- {thisSymbol} --- on " + data.Time.ToShortDateString() + " at " + data.Time.ToShortTimeString()) ; //LUD.GetNextExDate(bestSSQRColumn.uSymbol, this); //LUD.loadVEData(this); //LUD.uSymbol=bestSSQRColumn.uSymbol; ColumnSD thisCSD = new ColumnSD(bestSSQRColumn, ref symbolData, LUD); CSDsToDo.Add(thisCSD); } /// !bestSSQRColumn.IsEmpty() //LUD.clearLD(this); } } else { // buyMoreShares & hasDividends & symbolData.isRollable & symbolData.openInterestCheck if (doDeepTracing) Log($" --- ---- --- --- {thisSymbol.Value} FAILED ROLLABLE or OI TEST. "); //LUD.clearLD(this); } } // end ForEach(var pair in symbolDataBySymbol) } catch (Exception forExcp) { Log($" Error Prospect Evaluation in foreach sdbs in SDBS " + forExcp.Message); //LUD.clearLD(this); } } if(CSDsToDo.Count != 0){ foreach (ColumnSD csd in CSDsToDo){ if(doDeepTracing) Log($" *** *** *** *** *** PROCESSING CSDsToDo: {csd.sd.symbol.Value}. "); if (csd.ld!=null){ csd.ld.clearLD(this); csd.ld.uSymbol=csd.sd.symbol; csd.ld.GetNextExDate(this); csd.ld.loadVEData(this); } if(csd.ld==null && doDeepTracing) { Log($" *** *** *** *** *** {csd.sd.symbol.Value} is null for some reason"); } else if(doDeepTracing) Log($" *** *** *** *** *** LUD Check {csd.ld.uSymbol.Value} has VE statistic OneYearPriceTarget={csd.ld.decOneYearPriceTarget.ToString("0.00")}" ); ExecuteSSQRs(data, csd); // TradeDetermination } CSDsToDo.Clear(); } } // OnData() public void ProcessRemoveSecurities() { if (SymbolsToRemove.Count != 0) { foreach(var symbol_r in SymbolsToRemove) { if (etfDataBySymbol.ContainsKey(symbol_r)) continue; /// do not remove ETF Symbols RemoveLowOI_OptSymbs(symbol_r); //Liquidate(symbol_r); if (!Portfolio[symbol_r].Invested) { RemoveSecurity(symbol_r); if (doTracing) Debug("--- --- *** " + SecRemvdCnt.ToString() + ": Removing " + symbol_r.Value + " Collar killed or no OI."); symbolDataBySymbol.Remove(symbol_r); } } SymbolsToRemove.Clear(); } } public void RemoveLowOI_OptSymbs(Symbol symbol) { if (symbolDataBySymbol.ContainsKey(symbol)) { SymbolData sd = symbolDataBySymbol[symbol]; if (Portfolio[sd.optSymbol].Invested) Debug($" *^*^*^*^**^*^*^ *^*^*^*^*^*^*^^* OPTION BEING LIQUIDATED: {symbolDataBySymbol[symbol].optSymbol.Value} ||||||"); RemoveSecurity(sd.optSymbol); SubscriptionManager.RemoveConsolidator(symbol, sd.consolidator); symbolDataBySymbol.Remove(symbol); } } public override void OnSecuritiesChanged(SecurityChanges changes) { StartSecChng = DateTime.Now; if (CurrentSlice.Time.Date.Day == 5 & CurrentSlice.Time.Hour == 9 & CurrentSlice.Time.Minute == 35) { //Debug("Boom"); } //if (doDeepTracing) Debug(" --- sss Processing Changed Securities on: " + CurrentSlice.Time.ToShortDateString() + " at " + CurrentSlice.Time.ToShortTimeString()); foreach(var security in changes.AddedSecurities) { //Debug("Securities updated at " + Slice.Time.ToString()); SecAddedCnt += 1; Symbol thisSymbol = security.Symbol; if (security.Type == SecurityType.Equity) { if (symbolDataBySymbol.ContainsKey(thisSymbol)) { if (doDeepTracing) Debug("--- --- " + SecAddedCnt.ToString() + " SDBS already has " + thisSymbol.ToString()); continue; } if (thisSymbol.Value == "HLT" ){ RemoveSecurity(thisSymbol); continue; } addedStocks = true; var opt = AddOption(thisSymbol, Resolution.Minute, Market.USA, true, 0m); opt.PriceModel = OptionPriceModels.BjerksundStensland(); /// necessary for Greeks opt.SetFilter(universe => from symbol in universe //.IncludeWeeklys() .Expiration(TimeSpan.Zero, TimeSpan.FromDays(190)) //where Math.Abs(universe.Underlying.Price - symbol.ID.StrikePrice) <= .2M * universe.Underlying.Price select symbol); where symbol.ID.StrikePrice >= 0.85m * universe.Underlying.Price & symbol.ID.StrikePrice <= 1.1m * universe.Underlying.Price select symbol); symbolDataBySymbol.Add(thisSymbol, new SymbolData(thisSymbol, true, false, opt.Symbol, symbSPY)); SymbolData sd = symbolDataBySymbol[thisSymbol]; var historyBars = History<TradeBar>(thisSymbol, 270, Resolution.Daily); //WarmUpIndicator(thisSymbol, sd.thisMOMP_1); //WarmUpIndicator(thisSymbol, sd.thisMOMP_3); //WarmUpIndicator(thisSymbol, sd.thisMOMP_6); foreach(TradeBar tb in historyBars){ sd.Bars.Add(tb); } // wire up consolidator to update the indicator try{ sd.consolidator.DataConsolidated += (sender, baseData) => { // 'bar' here is our newly consolidated data var bar = (TradeBar)baseData; // update indicator //sd.thisMOMP_1.Update(bar.Time, bar.Close); //sd.thisMOMP_3.Update(bar.Time, bar.Close); //sd.thisMOMP_6.Update(bar.Time, bar.Close); sd.Bars.Add(bar); }; SubscriptionManager.AddConsolidator(thisSymbol, sd.consolidator); } catch (Exception excp) { Log($"Error wiring up Consolidator for {sd.symbol} is {excp.Message}"); } } //else if (doDeepTracing) Debug("--- --- " + SecAddedCnt.ToString() + " Option Chains " + thisSymbol.Value + " added after Universe changes."); } foreach(var security in changes.RemovedSecurities) { // if(doTracing) Debug("--- --- --- Removing Symbol: " + security.ToString()); if (security.Type == SecurityType.Equity & !Portfolio[security.Symbol].Invested) { if (symbolDataBySymbol.ContainsKey(security.Symbol)) { RemoveSecurity(symbolDataBySymbol[security.Symbol].optSymbol); symbolDataBySymbol.Remove(security.Symbol); } } } EndSecChng = DateTime.Now; tspanSecChng = EndSecChng - StartSecChng; // if (doDeepTracing) Debug("--- Processing Times-> SecChanges: " + tspanSecChng.TotalMilliseconds); } // ********************** OnOrderEvent *********************************************** // **************************************************************************************************** public override void OnOrderEvent(OrderEvent orderEvent) { var order = Transactions.GetOrderById(orderEvent.OrderId); var oeSymb = orderEvent.Symbol; /*foreach (TradePerfRec tpr in tradeRecs){ Debug($" OO TPR OO TPR OO {tpr.uSymbol.Value} is {(tpr.isOpen ? "open" : "closed")} and has {tpr.cQty.ToString()} calls."); } if (doDeepTracing) Log(" OO +++ " + order.Type + " order for " + oeSymb + ", Order Status: " + orderEvent.Status); if (orderEvent.Status == OrderStatus.Filled && order.Type != OrderType.OptionExercise && oeSymb.HasUnderlying ) { if(oeSymb.ID.OptionRight == OptionRight.Call) { if (tradeRecs.Any(t => t!=null && t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity)) { TradePerfRec cTPR = tradeRecs.Where(t => t.cSymbol.Equals(oeSymb) & t.cQty == -order.Quantity).FirstOrDefault(); if (order.Quantity < 0 ) { //// selling to open short cTPR.cStartPrice = orderEvent.FillPrice; if (doDeepTracing) Log(" OO +++ OO +++ " + cTPR.cSymbol + " order for " + oeSymb + ", end end price: " + orderEvent.FillPrice); } else cTPR.cEndPrice = orderEvent.FillPrice; } } else if (oeSymb.ID.OptionRight == OptionRight.Put) { if (tradeRecs.Any(t => t!=null && t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity)) { TradePerfRec pTPR = tradeRecs.Where(t => t.pSymbol.Equals(oeSymb) & t.pQty == -order.Quantity).FirstOrDefault(); if (order.Quantity < 0 ) { //// selling to open short pTPR.pEndPrice = orderEvent.FillPrice; if (doDeepTracing) Log(" OO +++ OO +++ " + pTPR.pSymbol + " order for " + oeSymb + ", end end price: " + orderEvent.FillPrice); } else pTPR.pStartPrice = orderEvent.FillPrice; } } } */ try { if (orderEvent.Status == OrderStatus.Filled) { //var order = Transactions.GetOrderById(orderEvent.OrderId); //var oeSymb = orderEvent.Symbol; if (order.Type == OrderType.OptionExercise) { if (doDeepTracing) Log(" OO OPTION EXERCISE ORDER EVENT AT:" + orderEvent.UtcTime + " OOOO"); if (orderEvent.IsAssignment) { // .IsAssignment seems only to occur when LEAN creates the ASSIGNMENT. -- use this to troubleshoot // Check for this now because DIVIDEND APPROACHMENT may if (doDeepTracing) Log(" OO " + orderEvent.UtcTime + " LEAN LEAN LEAN ASSIGNMENT ORDER EVENT LEAN LEAN LEAN OOOOOO"); if (doDeepTracing) Log(" OO LEAN ASSIGNMENT SYMBOL: " + oeSymb ); if (oeSymb.HasUnderlying && oeSymb.ID.OptionRight == OptionRight.Call) { sellThePut = true; } } if (doDeepTracing) Log(" OO Quantity: " + orderEvent.FillQuantity + ", price: " + orderEvent.FillPrice); if (oeSymb.HasUnderlying) { /// /// /// THIS IS AN OPTION EXERCISE ORDER didTheTrade = true; var thisOption = (Option)Securities[oeSymb]; var stkSymbol = thisOption.Underlying.Symbol; if (doDeepTracing) Log(" OO OPTIONS EXERCISE ORDER FOR : " + oeSymb + " IS A " + (oeSymb.ID.OptionRight == OptionRight.Put ? "PUT. " : "CALL.") + "for underlying: " + stkSymbol.Value); if(oeSymb.ID.OptionRight == OptionRight.Put) { if (doDeepTracing) Log(" oo PUT OPTION EXERCISE ORDER FOR : " + oeSymb); foreach (TradePerfRec pTPR in tradeRecs){ //Debug($" OO TPR OO TPR OO {tpr.uSymbol.Value} is {(tpr.isOpen ? "open" : "closed")} and has {tpr.cQty.ToString()} calls."); if (pTPR.pSymbol.Equals(oeSymb) & pTPR.pQty == -order.Quantity) { if (doDeepTracing) Log(" oo oo FOUND LONG PUT 1ST TPR oo "); pTPR.uEndPrice = oeSymb.ID.StrikePrice; /// set the TPR underlying end price pTPR.endDate = orderEvent.UtcTime; if (pTPR.reasonForClose !=null || pTPR.reasonForClose != "") { pTPR.reasonForClose = pTPR.reasonForClose + " PUT OPTIONS ASSIGNMENT -- UNDERLYING CLOSED"; } else pTPR.reasonForClose = pTPR.reasonForClose + " PUT OPTIONS ASSIGNMENT -- UNDERLYING CLOSED"; if (doDeepTracing) Log($" OO OO UPDATED {oeSymb.Value} END PRICE TO : {orderEvent.FillPrice}."); if (pTPR.cSymbol != null && pTPR.cEndPrice != 0) { var shrtCall = (Option)Securities[pTPR.cSymbol]; TimeSpan daysToCallExpiry = shrtCall.Expiry.Subtract(orderEvent.UtcTime); if (doDeepTracing) Log(" OO OO OO SELLING THE CALL IF IT EXISTS"); var closeCTkt = MarketOrder(pTPR.cSymbol, -pTPR.cQty); if (closeCTkt.Status == OrderStatus.Filled) { pTPR.cEndPrice = closeCTkt.AverageFillPrice; } //} } if (doDeepTracing) Log(" OO SELLING THE WING CALL IF IT EXISTS"); if (pTPR.wcSymbol != null && pTPR.wcEndPrice != 0) { //var wingCall = (Option)Securities[pTPR.wcSymbol]; var closeWingTkt = MarketOrder(pTPR.wcSymbol, -pTPR.wcQty); if (closeWingTkt.Status == OrderStatus.Filled) { pTPR.wcEndPrice = closeWingTkt.AverageFillPrice; } } } } } else if (oeSymb.ID.OptionRight == OptionRight.Call){ if (doDeepTracing) Log(" oo CALL OPTION EXERCISE ORDER FOR : " + oeSymb); foreach (TradePerfRec cTPR in tradeRecs){ if (cTPR.cSymbol.Equals(oeSymb) & cTPR.cQty == -order.Quantity) { if (doDeepTracing) Log(" oo oo FOUND SHORT CALL 1ST TPR oo "); cTPR.cEndPrice = orderEvent.FillPrice; if (doDeepTracing) Log($" oo oo oo UPDATED 1ST TPR SHORT CALL {oeSymb.Value} END PRICE TO : {orderEvent.FillPrice}."); cTPR.uEndPrice = oeSymb.ID.StrikePrice; /// set the TPR underlying end price cTPR.endDate = orderEvent.UtcTime; if (cTPR.reasonForClose !=null || cTPR.reasonForClose != "") { cTPR.reasonForClose = cTPR.reasonForClose + " CALL OPTIONS ASSIGNMENT -- UNDERLYING CLOSED"; } else cTPR.reasonForClose = cTPR.reasonForClose + " CALL OPTIONS ASSIGNMENT -- UNDERLYING CLOSED"; if(symbolDataBySymbol.ContainsKey(cTPR.uSymbol) ){ symbolDataBySymbol[cTPR.uSymbol].isRollable = false; SymbolsToRemove.Add(cTPR.uSymbol); } if (doDeepTracing) Log($" oo oo oo UPDATED 1ST SHORT CALL TPR uEndPrice {oeSymb.Underlying.Value} END PRICE TO : {cTPR.cStrike}."); if (cTPR.pSymbol != null) { var longPut = (Option)Securities[cTPR.pSymbol]; if (doDeepTracing) Log(" oo oo SELLING THE PUT IF IT EXISTS"); var closePTkt = MarketOrder(cTPR.pSymbol, -cTPR.pQty); if (closePTkt.Status == OrderStatus.Filled) { cTPR.pEndPrice = closePTkt.AverageFillPrice; } } if (cTPR.wcSymbol != null) { var wCallSymbol = (Option)Securities[cTPR.wcSymbol]; if (doDeepTracing) Log(" oo oo oo SELLING THE WING CALL IF IT EXISTS OR HASN'T BEEN BOUGHT"); if (cTPR.wcEndPrice != 0) { if (doDeepTracing) Log(" oo oo oo oo SELLING THE WING CALL"); var closeWCTkt = MarketOrder(cTPR.wcSymbol, -cTPR.wcQty); if (closeWCTkt.Status == OrderStatus.Filled) { cTPR.wcEndPrice = closeWCTkt.AverageFillPrice; } } //else if (doDeepTracing) Log(" oo oo oo oo THE WING CALL WAS ALREADY SOLD"); } tprsToClose.Add(cTPR); } } //// THE FOLLOWING WOULD EXECUTE IF ALGO EXERCISED THE WING CALL -- NOT CONTEMPLATED } } else { /// !.HasUnderlying -- this is stock being assigned if (doDeepTracing) Log(" oo ASSIGNMENT OF UNDERLYING ORDER FOR : " + oeSymb); if (doDeepTracing) Log(" oo STOCK EXERCISE ORDER EVENT FOR: " + order.Quantity + " shares." ); didTheTrade = true; if(tradeRecs.Any(t => t!=null && t.uSymbol.Equals(oeSymb) & Math.Abs(t.uQty) == Math.Abs(order.Quantity*100M))) { /// this failed on 2/6/23 to find tpr // 2023-04-09: USE MATH.ABS() TO FIND QTY if (doDeepTracing) Log($" oo UPDATING TPR -- UNDERLYING END PRICE AND DATE {orderEvent.FillPrice.ToString()}"); var uTPR = tradeRecs.Where(t => t!=null && t.uSymbol.Equals(oeSymb) & Math.Abs(t.uQty) == Math.Abs(order.Quantity*100M)).FirstOrDefault(); tradeRecCount = 0; // reset tradeRec Counter ??? may be obviated uTPR.uEndPrice = orderEvent.FillPrice; uTPR.endDate = orderEvent.UtcTime; if (uTPR.reasonForClose !=null || uTPR.reasonForClose != "") { uTPR.reasonForClose = uTPR.reasonForClose + " oo oo OPTIONS ASSIGNMENT -- UNDERLYING CLOSED IN NOT_HAS_UNDERLYING"; } else uTPR.reasonForClose = " oo oo OPTIONS ASSIGNMENT -- UNDERLYING CLOSED IN notHASUNDERLYING"; if(symbolDataBySymbol.ContainsKey(oeSymb)) { if (doDeepTracing) Log($" oo oo oo FOUND {oeSymb.Value} in SDBS. Setting isRollable to False and marking it for removal from prospects list."); symbolDataBySymbol[oeSymb].isRollable = false; SymbolsToRemove.Add(oeSymb); } tprsToClose.Add(uTPR); } else { if (doDeepTracing) Log($" oo oo oo oo => FAILED TO LOCATE {oeSymb.Value} TPR THAT HAS {(100M* order.Quantity).ToString()} SHARES. "); } } if (doDeepTracing) Log(" ---------------------------------------------------------------------------"); } // Order.Type = OrderType.OptionExercise else { if (doDeepTracing) Log(" OO ** ** NON EXERCISE ORDER -- " + oeSymb); if (doDeepTracing) Log(" OO ** ** " + order.Type + ": " + orderEvent.UtcTime + ": " + orderEvent.Direction + " ** OO "); if (doDeepTracing) Log(" OO ** ** " + orderEvent.Status + ": " + orderEvent.Direction + " " + order.Quantity + " @ " + orderEvent.FillPrice ); if (oeSymb.HasUnderlying && order.Type == OrderType.Limit ) { /// Option if (oeSymb.ID.OptionRight == OptionRight.Put) { if (doDeepTracing) Log(" OO PUT OPTION LIMIT ORDER FOR : " + oeSymb); if (doDeepTracing) Log(" OO PROCESSING TPR IN NEXT ON DATA oo oo oo oo "); foreach (TradePerfRec pTPR in tradeRecs){ //Debug($" OO TPR OO TPR OO {tpr.uSymbol.Value} is {(tpr.isOpen ? "open" : "closed")} and has {tpr.cQty.ToString()} calls."); if (pTPR.pSymbol.Equals(oeSymb) & pTPR.pQty == -order.Quantity) { if (doDeepTracing) Log(" oo oo FOUND LONG PUT 1ST TPR oo "); pTPR.pEndPrice = orderEvent.FillPrice; if (doDeepTracing) Log(" OO ** Setting pEndPrice."); } } } else if (oeSymb.ID.OptionRight == OptionRight.Call) { if (doDeepTracing) Log(" OO CALL OPTION LIMIT ORDER FOR : " + oeSymb); if (doDeepTracing) Log(" OO PROCESSING TPR IN NEXT ON DATA oo oo oo oo "); foreach (TradePerfRec cTPR in tradeRecs){ if (cTPR.cSymbol.Equals(oeSymb) & cTPR.cQty == -order.Quantity) { cTPR.cEndPrice = orderEvent.FillPrice; if (doDeepTracing) Log(" OO ** Setting cEndPrice."); } } //if (doDeepTracing) Log(" OO NOTE CALL EXPIRATION execute a market order to sell underlying"); } } else if (oeSymb.HasUnderlying && order.Type == OrderType.Market) { if (oeSymb.ID.OptionRight == OptionRight.Put) { if (doDeepTracing) Log(" OO PUT OPTION MARKET ORDER FOR : " + oeSymb); if (doDeepTracing) Log(" OO PROCESSING TPR SYNCHRONOUSLY IN LINE oo oo oo "); foreach (TradePerfRec pTPR in tradeRecs){ if (pTPR.pSymbol.Equals(oeSymb) & pTPR.pQty == -order.Quantity) { pTPR.pEndPrice = orderEvent.FillPrice; if (doDeepTracing) Log(" OO ** Setting pEndPrice."); } } if (doDeepTracing) Log(" OO NOTE ALGO-DRIVEN PUT market order"); } else if (oeSymb.ID.OptionRight == OptionRight.Call) { if (doDeepTracing) Log(" OO CALL OPTION MARKET ORDER FOR : " + oeSymb); if (doDeepTracing) Log(" OO PROCESSING TPR SYNCHRONOUSLY IN LINE oo oo oo "); foreach (TradePerfRec cTPR in tradeRecs){ if (cTPR.cSymbol.Equals(oeSymb) & cTPR.cQty == -order.Quantity) { cTPR.cEndPrice = orderEvent.FillPrice; if (doDeepTracing) Log(" OO ** Setting cEndPrice."); } } if (doDeepTracing) Log(" OO NOTE ALGO-DRIVEN CALL MARKET ORDER"); } } else if (!oeSymb.HasUnderlying) { // limit order if (doDeepTracing) Log($" OO UNDERLYING ORDER FOR : {oeSymb.Value} IN NON-EXERCISE."); } else { // NON EXERCISE ORDER DOES NOT HAVE UNDERLYING == STOCK if (doDeepTracing) Log(" OO UNKNOWN ALGO ORDER ORDER FOR : " + oeSymb); foreach (TradePerfRec uTPR in tradeRecs){ if ( uTPR.uSymbol.Equals(oeSymb) & uTPR.uQty == -100M*order.Quantity) { Debug (" OO ** THERE IS A TPR THAT IS " + (uTPR.isOpen ? " OPEN" : " CLOSED")); uTPR.isOpen = false; uTPR.uEndPrice = orderEvent.FillPrice; uTPR.endDate = orderEvent.UtcTime; uTPR.reasonForClose = uTPR.reasonForClose + ": Options Expiration next day onOpen"; } //Plot("Stock Chart", "Sells", orderEvent.FillPrice); } } if (doDeepTracing) Log(" ---------------------------------------------------------------------------"); } // non exercise option order } // orderStatus = Filled } catch (Exception errMsg) { if (doTracing) Log(" ERROR in OnOrder() Event " + errMsg ); return; } } class StockDataSource : BaseData { //private const string LiveUrl = @"https://www.dropbox.com/s/06o0qavfeccbxn0/VE_Ranked_Tickers_By_Month.csv?dl=1"; private const string LiveUrl= @"https://hyperionhedgefundcom-my.sharepoint.com/:x:/g/personal/crmcwilliams_hldfund_com/ESZNggfd3zJBhwG_BbxLV_kBIMBn37H1zmrlWl3mQLY07w?e=AbziqY&download=1"; // /// /// VE (3 & >=4%Div) (4-5 & >2%Div) Ranking //private const string BacktestUrl = @"https://hyperionhedgefundcom-my.sharepoint.com/:x:/g/personal/crmcwilliams_hldfund_com/ESZNggfd3zJBhwG_BbxLV_kBIMBn37H1zmrlWl3mQLY07w?e=AbziqY&download=1"; private const string BacktestUrl = @"https://hyperionhedgefundcom-my.sharepoint.com/:x:/g/personal/crmcwilliams_hldfund_com/EWhS3_9a9bVHvUrPmTGEm6ABmMXWT6amJHVzX456z_nCKA?e=Y0MSJw&download=1"; /// <summary> /// The symbols to be selected /// </summary> public List<string> Symbols { get; set; } public StockDataSource() { // initialize our list to empty Symbols = new List<string>(); } public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { //var url = isLiveMode ? LiveUrl : BacktestUrl; var url = BacktestUrl; return new SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile); } public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { try { // create a new StockDataSource and set the symbol using config.Symbol var stocks = new StockDataSource {Symbol = config.Symbol}; // break our line into csv pieces var csv = line.ToCsv(); if (isLiveMode) { // our live mode format does not have a date in the first column, so use date parameter stocks.Time = date; stocks.Symbols.AddRange(csv); } else { if(strFilterTkr != ""){ if(!ourUniverse.Securities.ContainsKey(strFilterTkr) ){ stocks.Time = date; stocks.Symbols.Add(strFilterTkr); } } else { // our backtest mode format has the first column as date, parse it stocks.Time = DateTime.Parse(csv[0]); //stocks.Symbols.AddRange(csv.Skip(1).TakeWhile(t=>t.ToString().CompareTo("M")>=0 && t.ToString().CompareTo("Y")<=0)); stocks.Symbols.AddRange(csv.Skip(1)); //foreach (var smbl in stocks.Symbols) { //} } } return stocks; } // return null if we encounter any errors //catch { return null; } catch (Exception eMsg) { var msg = eMsg; return null; } } } public override void OnEndOfDay(Symbol symbol) { if (symbol.SecurityType != SecurityType.Equity) return; if (symbol.Equals("SPY")) return; return; } public override void OnEndOfAlgorithm() { var dailyBars = ""; /// //// //// STORE DAILY BARS FOR EVERY UNDERLYING TRADED/ADDED TO PORTFOLIO /// /// /// /*foreach (var symb in tradedSymbols){ try{ foreach(var bar in History(symb, StartDate, EndDate, Resolution.Daily)) { dailyBars += $"{bar.EndTime},{bar.Open},{bar.High},{bar.Low},{bar.Close}\n"; } } catch (Exception excp) { Debug($" --- --- --- ERROR IN OnEndOfAlgorithm Historybar {excp}"); } //ObjectStore.Save($"ohcl_{symb}", dailyBars); } */ foreach(var kvp in Securities) { var security = kvp.Value; if (security.Invested) { Debug($" |||| |||| |||| HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}"); } } /*var doneOrders = Transactions.GetOrders(); foreach(var ord in doneOrders){ if (ord.Status == OrderStatus.Filled){ filledOrdersForObjStore += $"{ord.Time},{ord.Symbol}, {ord.Price}/n"; } } //ObjectStore.Save("orders", filledOrdersForObjStore); */ string saveString = ""; bool hasStock = false; bool hasPuts = false; bool hasCalls = false; var tprEnum = tradeRecs.GetEnumerator(); while (tprEnum.MoveNext()) { TradePerfRec tpr = tprEnum.Current; if (tpr.isOpen) { if (tpr.uEndPrice == 0 && tpr.uSymbol != null) { if (doDeepTracing) Log($" --- --- --- Setting End Prices for {tpr.uSymbol.Value} to {Securities[tpr.uSymbol].Price}. "); if (Securities[tpr.uSymbol].HasData & Securities[tpr.uSymbol].Price != 0) tpr.uEndPrice = Securities[tpr.uSymbol].Price; } if (tpr.pEndPrice == 0 && tpr.pSymbol != null) { if (Securities[tpr.pSymbol].HasData & Securities[tpr.pSymbol].Price != 0) tpr.pEndPrice = Securities[tpr.pSymbol].Price; } if (tpr.cEndPrice == 0 && tpr.cSymbol != null) { if (Securities[tpr.cSymbol].HasData & Securities[tpr.cSymbol].Price != 0) tpr.cEndPrice = Securities[tpr.cSymbol].Price; } tpr.endDate = Time; } } string jsonString = ConvertTradePerfRec(tradeRecs); tprEnum = ETFRecs.GetEnumerator(); while (tprEnum.MoveNext()) { TradePerfRec tpr = tprEnum.Current; if (tpr.isOpen) { if (tpr.uEndPrice == 0 && tpr.uSymbol != null) { if (doDeepTracing) Log($" --- --- --- Setting End Prices for {tpr.uSymbol.Value} to {Securities[tpr.uSymbol].Price}. "); if(Securities[tpr.uSymbol].HasData & Securities[tpr.uSymbol].Price != 0) tpr.uEndPrice = Securities[tpr.uSymbol].Price; } if (tpr.pEndPrice == 0 && tpr.pSymbol != null) { if(Securities[tpr.pSymbol].HasData & Securities[tpr.pSymbol].Price != 0) tpr.pEndPrice = Securities[tpr.pSymbol].Price; } if (tpr.cEndPrice == 0 && tpr.cSymbol != null) { if(Securities[tpr.cSymbol].HasData & Securities[tpr.cSymbol].Price != 0) tpr.cEndPrice = Securities[tpr.cSymbol].Price; } tpr.endDate = Time; } } jsonString = ConvertTradePerfRec(ETFRecs); } private bool CheckBadDate(DateTime checkDate) { DateTime badDate1 = Convert.ToDateTime(GetParameter("BadDate")); DateTime badDate2 = Convert.ToDateTime(GetParameter("BadDate2")); DateTime badDate3 = Convert.ToDateTime(GetParameter("BadDate3")); //DateTime badDate1 = new DateTime(2020, 1, 6, 9, 45, 0); //DateTime badDate2 = new DateTime(2020, 11, 1, 13, 45, 0); if(checkDate.Equals(badDate1) | checkDate.Equals(badDate2) | checkDate.Equals(badDate3)) { return true; } else { return false; } } } // class } // namespace
#region imports using System; using System.Collections.Generic; using System.Linq; using QuantConnect.Util; using QuantConnect.Data; using QuantConnect.Securities; using QuantConnect.Securities.Option; #endregion using QuantConnect.Securities.Option; namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { public class PutSpread { public decimal stockPrice; // 2 public DateTime exDate; // 3 may not be necessary public DateTime tradeDate; // 4 public DateTime putExpiry; // 5 public Symbol oldPutSymb; // 6 public Symbol newPutSymb; // 7 public decimal oldPutBid; // 8 public decimal newPutAsk; // 9 public decimal oldPutStrike; // 10 public decimal newPutStrike; // 11 public decimal newPutOpenInterest; // 12 //public decimal newPutDelta; //public decimal newPutGamma; //public decimal newPutVega; //public decimal newPutRho; //public decimal newPutTheta; //public decimal newPutImpliedVol; public decimal divAmt; // 13 public decimal divCount; // 14 public decimal divDollars; // 15 public decimal stkIncr; // 16 appreciation in stock value public decimal intCost; // 17 public decimal downsideRisk; // 18 public decimal upsidePotential; // 19 public decimal netIncome; // 20 public decimal netOptions; // 21 public decimal haircut; // 22 committed capital in a portfolio margin account public string description1; // 23 //public string description2; //public string description3; public override string ToString() { return this.description1; } public bool IsEmpty() { return this.description1.IsNullOrEmpty(); } } public List<PutSpread> AssemblePutSpreads(Slice slc, Dictionary<int, DateTime> expiries, TradePerfRec tPRec, IEnumerable<Symbol> allUndrOptSymbs, decimal sPrice, decimal incrAmt){ // only roll puts up if the appreciation in stock price + the expected dividends is greater than the cost of the put spread + interest cost // appreciation = incrAmt // get the expected dividends // 1. Get a) tPRec.pSymbol // b) Strike and // c) old bidPrice // 2. Get Stock Price and tPRec.uStartPrice -- calculate appreciation // 3. Get sdbs.decOneYearPriceTarget_initial // 4. is a) current price > 1yrTarget -- What is VERank now? Is initial 1 year more than 2 months // b) current price < 1yrTarget -- What is 1yrTarget now? int yearsInTrade = 0; // to calculate dividends decimal monthsInTrade = 0; // to calculate dividends int daysInTrade = 0; // to calculate interest int intCost = 0; // interest cost decimal dividends = 0.0M; int k = 1; // initialize iterator for AddOptionContracts below Symbol optSymbol; // initialize option symbol for building the list of contracts Option tempOption; // initialize option contract for building list of contracts and obtaining pricing data Option thisPutOpt; // initialize option contract for building list of contracts and obtaining pricing data var justDate = slc.Time.Date; // separate out the DATEVALUE from the DateTime variable bc fedFundsRates are so indexed LUD.thisFFRate = LUD.fedFundsRates[justDate]; // fedFundsRates is a Dictionary of all dates where DateTime index are all 12:00:00am decimal oldPutPrem = Securities[tPRec.pSymbol].BidPrice; // need the price at which we might sell the puts; List<Option> putOptionsList = new List<Option>(); DateTime oldPutExpiry = tPRec.expDate; // use old put expiry for selecting put options to examine var atmPut = allUndrOptSymbs.Where(s => s.ID.OptionRight == OptionRight.Put) // get the ATM put strike for selecting put options to examine .OrderBy(s => Math.Abs(s.ID.StrikePrice - sPrice)) .FirstOrDefault(); if (haltProcessing && doTracing) { Debug(" ********* ******* WE GOT AN ATM PUT " ); } var atmStrike = atmPut.ID.StrikePrice; // get the ATM strike var lowStrike = tPRec.pStrike; var highStrike = atmStrike; //var lowStrike = (1 - (maxPutOTM / (decimal)100)) * atmStrike; // ~~ for selecting put options to examine //var highStrike = (decimal)1.1 * atmStrike; // ~~ for selecting put options to examine List<PutSpread> pSpreads = new List<PutSpread>(); // ~~ List for assembling filterd put options var putSymbs = allUndrOptSymbs; // declare the variable before the conditional branching // can we get current Put Expiration date? if (doTracing) Debug("---------------------- PUTS ROLLUP EXPIRIES PASS 1 ----------------------------"); if (doTracing) Debug("--" + stockPrice.ToString() +", " + expiries[2].ToString("MM/dd/yy") + ", " + expiries[3].ToString("MM/dd/yy") + ", " + expiries[4].ToString("MM/dd/yy") + ", " + expiries[5].ToString("MM/dd/yy")); /*putSymbs = allUndrOptSymbs.Where( o=> (DateTime.Compare(o.ID.Date, expiries[1])==0 | DateTime.Compare(o.ID.Date, expiries[2])==0 | DateTime.Compare(o.ID.Date, expiries[3])==0 | DateTime.Compare(o.ID.Date, expiries[4])==0 ) && o.ID.OptionRight == OptionRight.Put && o.ID.StrikePrice >= lowStrike && o.ID.StrikePrice < atmStrike) .OrderByDescending(o => o.ID.StrikePrice); */ putSymbs = allUndrOptSymbs.Where( o=> o.ID.Date.Subtract(slc.Time).Days >= 10 & o.ID.OptionRight == OptionRight.Put & o.ID.StrikePrice >= lowStrike & o.ID.StrikePrice <= atmStrike) .OrderByDescending(o => o.ID.StrikePrice); if (haltProcessing) { if (doTracing) IterateChain(putSymbs, "putSymbols"); } if (putSymbs == null | putSymbs.Count()== 0) { if (doTracing) Debug(" AP AP AP AP putSymbs is null or empty "); return pSpreads; } // putSymbs !=null && putSymbs.Count() != 0 -- in other words continue var pEnumerator = putSymbs.GetEnumerator(); // convert the options contracts list to an enumerator while (pEnumerator.MoveNext()) // process the contracts enumerator to add the options { optSymbol = pEnumerator.Current; tempOption = AddOptionContract(optSymbol, Resolution.Minute, true); tempOption.PriceModel = OptionPriceModels.BinomialTian(); /// necessary for Greeks putOptionsList.Add(tempOption); } var putEnum = putOptionsList.GetEnumerator(); // get the enumerator to build the List<PutSpread> while (putEnum.MoveNext()) { thisPutOpt = putEnum.Current; //if ( thisPutOpt.Expiry.Subtract(slc.Time).Days >= 10 ) { PutSpread pSpread = new PutSpread(); pSpread.stockPrice = sPrice; pSpread.tradeDate = justDate; pSpread.stkIncr = incrAmt; pSpread.oldPutSymb = tPRec.pSymbol; pSpread.newPutSymb = thisPutOpt.Symbol; pSpread.oldPutBid = oldPutPrem; pSpread.newPutAsk = thisPutOpt.AskPrice; pSpread.oldPutStrike = tPRec.pSymbol.ID.StrikePrice; pSpread.newPutStrike = thisPutOpt.StrikePrice; pSpread.putExpiry = thisPutOpt.Expiry; daysInTrade = (thisPutOpt.Expiry - justDate).Days; // use the new put option expiration to calculate potential days in trade pSpread.intCost = (LUD.thisFFRate + LUD.ibkrRateAdj)/LUD.workingDays * (decimal) daysInTrade * stockPrice; monthsInTrade = ((thisPutOpt.Expiry.Year - justDate.Year) * 12) + (thisPutOpt.Expiry.Month - justDate.Month); pSpread.divCount = Math.Truncate(monthsInTrade/3.00M) + 1.00M; // add 1 for the next dividend and 1 for every 3 months thereafter pSpread.divAmt = stockDividendAmount; pSpread.divDollars = stockDividendAmount * pSpread.divCount; // pSpread.divDollars = stockDividendAmount * pSpread.divCount; pSpread.divDollars = stockDividendAmount * 1M; // for profit calc and filtering, omit more than one dividend. Many PTS's end before 1st dividend is paid pSpread.netOptions = oldPutPrem - tPRec.pStartPrice - thisPutOpt.AskPrice; // get the total net cost of the options trade (not the spread traded) pSpread.netIncome = incrAmt + pSpread.divDollars - pSpread.intCost; // net potential profit including unrealized gain in underlying since initial trade //pSpread.newPutOpenInterest; //pSpread.newPutDelta; //pSpread.newPutGamma; //pSpread.newPutVega; //pSpread.newPutRho; //pSpread.newPutTheta; //pSpread.newPutImpliedVol; //pSpread.haircut; // committed capital in a portfolio margin account //pSpread.description1; //pSpread.description2; pSpreads.Add(pSpread); //} } return pSpreads; // return filled pSpreads; } // ********************** GetBestPutSpread ************************************** // *** This sub routine takes in the assembled List of PutSpreads // *** available in the Slice.Data and calculates the best spread to use // *** to the roll up the puts // *********************************************************************************** public PutSpread GetBestPutSpread(List<PutSpread> pSpreads) { PutSpread pSprd = new PutSpread(); // get a null empty PutSpread pSprd = pSpreads.Where(s => s.netIncome + s.netOptions > 0 ).OrderByDescending( s => (s.netIncome + s.netOptions)/Math.Abs(s.stockPrice - s.newPutStrike)).FirstOrDefault(); if (haltProcessing) { if (doTracing) Debug(" HALTED IN GETBESTPUTSPREAD -- CHECKING PSPREADS"); var orderedPSpreads = pSpreads.Where(s => s.netIncome + s.netOptions > 0 ).OrderByDescending( s => (s.netIncome + s.netOptions)/Math.Abs(s.stockPrice - s.newPutStrike)); IterateOrderedPutSpreadList(orderedPSpreads); } // null pSpread can occur when sPrice>oldPStrike but (sPrice-oldPStrike)/oldPStrike < ~2%: Also, rolling forward would cost money. return pSprd; } //decimal currPutBidPrice = algo.Securities[tradablePut].BidPrice; // determine if the loss on the put leg is greater than the intial "real potential loss". If it is, exercise the position /*if ((this.pStartPrice - currPutBidPrice) > (this.uStartPrice + this.pStartPrice - this.cStartPrice) ) { if (LUD.doTracing) algo.Log(" TT ITM PUT EXPIRATION -- FORCE PUT ASSIGNMENT CHEAPER OOOOOOOOOOO"); // EXERCISE THE PUT removing PUTs and STOCK. Buy back calls in OnOrder() var closeCallTicket = MarketOrder(shortedCallSymbol, -this.cQty); if (closeCallTicket.Status == OrderStatus.Filled) { this.cEndPrice = closeCallTicket.AverageFillPrice; } var putExerciseTicket = ExerciseOption(longPutSymbol, this.pQty); potentialCollars.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log(" ************** END ITM PUT CALC -- EXERCISED PUTS ******"); return isRolled; } */ //bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5); } }
#region imports #endregion namespace QuantConnect { /// 2020-12-03: Arranged all trade pathways, usingDeltas and not, to utilze GetPotentialCollars() /////// /// ####-##-##: in order to IterateOrderedMatrices solely when executing a trade. /// 2020-12-04: Added [[bestSSQRColumn = new SSQRColumn();]] to prevent looping and Matrix Iteration after initial SSQRMatrix buiding /// ####-##-## This was found to occur and created multiple copies of the same SSQR in subsequent OnData() events. /// 2020-12-07: Corrected RollTheCollar to calculate callQty by putPrem/callPrem (as is done in ExecuteTheTrade()). /// ####-##-## Also added bool didTheTrade to IterateOrderedSSQRMatix solely when actually trading /// 2020-12-08 Found GetPotentialCollars for ABBV would only return 2 divs (not 3 or 4) in 2015-10. April Options missing. Has May '16 options /// ####-##-## conferred with John, and decided to look further (LEAPS) for more possible trades. Added fifthExpirationDate to GetOptionsExpiries() /// 2020-12-08 Prevented duplicate call/put contracts from being added to SSQRMatrix in AssembleSSQRMatrix (!SSQRMatrix.Any(o=>o.optSymbo == optSymbol) /// 2020-12-13 Re-configured assembleSSQRMatrix to put and call list enumarators with all the options for 2-5 dividends, and loop 1X /// ####-##-## Build SSQR only occurs for calls >= put strike and expiration. /// 2020-12-13 Evaluation of SSQR Matrix reveals the potential of using call time spreads (selling longer dated calls to pay for puts) /// 2020-12-15 Saw several instances of divide-by-zero error when evaluating vcc/pot. loss (stockprice - putstrike) /// ####-##-## decided to reformulate the algorithm to sort first by loss potential and then by VCC. /// 2020-12-16 SIGNIFICANT -- modified bestSSQRColumn to sort descending by Math.Abs(stockPrice-putStrike) then ascending by putPremium/callPremium to get lowest risk and least call coverage /// 2021-01-04 Captured DivideByZero errors when StockPrice = PutStrike in CCOR calculations /// 2021-01-06 Added LogTrace to turn Debug on/off /// 2021-01-06 Debug placing and filling of limit orders for Call and Put closure /// 2021-01-07 refined debug placing/filling of Call/Put closure -- include MKT orders to better trace /// 2021-01-19 debugged oldRollDate. Never set initially and not always set in various branches of code. /// 2021-01-19 Found that in longer expirations, may try to set AddedMonths to 24. Error where Months%12 =0 /// 2021-01-21 Added code to exercise puts when rolling is more expensive than exercising. /// 2021-01-24 Added code to conditionally roll up puts when stock appreciates /// 2021-01-31 Added code in OnOrder() to detect call assignment so that the primary TradeRec collar PUTs are sold uEndPrice is recorded and record is closed /// 2021-01-31 Modified OTM code because in VCC put and call expirations may be different. Old code didnt trap all OTM situations /// 2021-02-01 Implemented calling Divididend Check to move code bytes to a different .cs file /// 2021-02-05 Wrapped OnEndOfDay in try-catch as well as .GetOpenOrders() routines. /// 2021-02-05 Found that LimitOrderTicket.Update() was not executing -- replaced update with MarketOrder /// 2021-02-08 ERROR: Found System.InvalidOperationException: Collection was modified; enumeration operation may not execute. /// Remedied this by creating a list<int> of oLOs.Indices to remove in a second step /// 2021-02-10 Version 13 Found that slightly OTM 2nd TPRs will not roll at expiration because they are OTM but spread is very small ($1.00). Thus, /// had to force exercise /// 2021-02-10 Version 13 Found that the orderTicket.Quantity follows the option, not the stock. Have to multiply by 100M in order to find the TPR /// 2021-02-10 Version 14 wrote foreach(2ndTPR in SecondTPRs) to process additional 2nd TPRs /// 2021-02-12 Version 15 reduced minDivs on PutRoll to 1 and only look out to 4th Div, not 5th. Found appreciating stocks move up faster and longer durations unnecessary /// 2021-02-15 changed formatting codes in IterateOrderedPutSpreads to make visible the ExpirationDate and to limit the decimals to 2 places /// 2021-02-17 fixed RollPut where expireDateDelta2P<1 and OTM--call Close2TPR. If ITM, then Exercise PUT /// 2021-02-18 Verssion 16 Found the 2nd TPR loop was using "current2ndRec" (1st 2nd TPR) data, not the actual sTPR from the loop. In situations with more than 1 2nd TPR, was totally wrong /// 2021-02-20 Version 17 Modified GetExpiries to ensure expires[1] is more than 10 days after the trade date /// 2021-02-21 modified to allow various paths, CheckDiv, CheckCall, CheckPut, & CheckOTM to execute serially until a good threshold and non-losing roll can be found /// until the last day, when a Kill or Close is called and forced. Modified OnOrder to track LEAN-intitiated call assignment /// 2021-02-23 Add GrossPnL and SSQR.netIncome to TPRs for analysis of roll PnL /// 2021-02-28 Attempted evaluation of ITM based upon actual option premiums rather than an arbitrary 5% based solely upon strikes -- failed due to QC internal algo's /// 2021-03-03 Base 2ndTPR split based upon intitial short call premium. Rationale is that stock appreciation above that number results in nullification of inititial short term capital collar credit. /// 2021-03-03 Modified 2ndTPR roll up based upon incrAmount > cost-to-sell-original-puts /// 2021-03-03 fixed a nit in creating thetaTPR.isSecondary -- make it false to prevent null pointers in processing puts in 2nd TPR Rec /// 2021-03-05 /// 2021-03-10 Converted to Wing Trade -- added PerfRec columns for wing call performance tracking and removed 2ndTPR Put Rolling and thetaCall processing /// 2021-03-12 Amended oLO (open limit order) processing to accomondate shoring calls to open collars and wing calls. /// 2021-03-12 WING VERSION 3 ELIMINATED CONVERSION TRADES -- SET CALLSTRIKE >> PUTSTRIKE /// 2021-03-12 WING VERSION 4 FIXED WINGFACTOR ERROR IN ROLLS /// 2021-03-12 WING VERSION 4C implemented hasDividends check /// 2021-03-12 WING VERSION 4D replaced TPR iteration loop AtEndOfAlogrithm() with expanded line-by-line string concatenation.... could not get actual options symbols otherwise /// 2021-03-21 WING VERSION 5 adjusted DownsideRisk to use Collar.netBid. Check for ITM WingCall to sell ahead of ITM ShortCall (new code in OnData() after Dividend Approachment /// 2021-10-17 Moved all CheckRoll.cs code for evaluating and processing rolls based upon expirations and options-monieness into TradePerfRec class. /// Then, in Main.cs OnData() the list of 1st TPR's are iterated and processed by calling tpr.CheckRoll() method. /*var OpenOrders = Transactions.GetOpenOrders(); // Get the open orders to search for open limit orders if (OpenOrders.Count() > 0) { // process them only if there's any open foreach (var OrderTkt in OpenOrders){ // loop through and process open options limit orders (HasUnderlying) if (OrderTkt.Status == OrderStatus.Submitted && OrderTkt.Type == OrderType.Limit) { if (OrderTkt.Symbol.HasUnderlying) { if (OrderTkt.Symbol.ID.OptionRight == OptionRight.Call) { var orderUnderlyingPrice = Securities[OrderTkt.Symbol.ID.Underlying.Symbol].Price; var Ticket = Extensions.ToOrderTicket(OrderTkt,Securities.SecurityTransactionManager); var orderLimitPrice = Ticket.Get(OrderField.LimitPrice); var orderStrikePrice = Ticket.Symbol.ID.StrikePrice; if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.10M) { /// this is the criteria for placing a call buyback limit order. This contition will exist if the underlying price has moved up Ticket.Update(new UpdateOrderFields{LimitPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M}); } } else if (OrderTkt.Symbol.ID.OptionRight == OptionRight.Put) { var orderUnderlyingPrice = Securities[OrderTkt.Symbol.ID.Underlying.Symbol].Price; var orderLimitPrice = OrderTkt.Get(OrderField.LimitPrice); var orderStrikePrice = OrderTkt.Symbol.ID.StrikePrice; if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice - 0.10M) { /// this is the criteria for placing a put sell-to-close limit order. This contition will exist if the underlying price has moved down. OrderTkt.Update(new UpdateOrderFields{LimitPrice = orderStrikePrice - orderUnderlyingPrice - 0.10M}); } } } } } }*/ /* var OpenTickets = Transactions.GetOrderTickets(); // Get all the orders to search for open limit orders if (OpenTickets.Count() > 0) { // process them only if there's any open Debug(" |||||||| We have " + OpenTickets.Count() + " tickets"); foreach (var Ticket in OpenTickets){ // loop through and process open options limit orders (HasUnderlying) if (Ticket.Status == OrderStatus.Submitted && Ticket.OrderType == OrderType.Limit) { if (Ticket.Symbol.HasUnderlying) { Debug(" |||||||| Ticket for " + Ticket.Symbol + " is " + Ticket.Status + " submitted at " + Ticket.Time + " for " + Ticket.Quantity + "."); if ((int)data.Time.Subtract(Ticket.Time).TotalMinutes > 15) { if (Ticket.Symbol.ID.OptionRight == OptionRight.Call) { var orderUnderlyingPrice = Securities[Ticket.Symbol.ID.Underlying.Symbol].Price; var orderLimitPrice = Ticket.Get(OrderField.LimitPrice); var orderStrikePrice = Ticket.Symbol.ID.StrikePrice; var lPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M; if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.10M) { /// this is the criteria for placing a call buyback limit order. This contition will exist if the underlying price has moved up //Debug(" |||||||| with " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Symbol + "limit order to new limit price: " + lPrice ); //Ticket.Update(new UpdateOrderFields{LimitPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M}); Ticket.Cancel(); Debug(" |||||||| With " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Quantity + " of " + Ticket.Symbol + "limit order to market order"); var buyCallTkt = MarketOrder(Ticket.Symbol, Ticket.Quantity); if (buyCallTkt.Status == OrderStatus.Filled ){ bool anyTPRs = tradeRecs.Any(tr => tr.cSymbol.Equals(Ticket.Symbol) && -tr.cQty == Ticket.Quantity); if (anyTPRs) { var callTradeRec = tradeRecs.Where(tr => tr.cSymbol.Equals(Ticket.Symbol) && -tr.cQty == Ticket.Quantity).FirstOrDefault(); callTradeRec.cEndPrice = buyCallTkt.AverageFillPrice; //foreach (TradePerfRec tpr in callTradeRecs) { //tpr.cEndPrice = buyCallTkt.AverageFillPrice; //} } } } } else if (Ticket.Symbol.ID.OptionRight == OptionRight.Put) { var orderUnderlyingPrice = Securities[Ticket.Symbol.ID.Underlying.Symbol].Price; var orderLimitPrice = Ticket.Get(OrderField.LimitPrice); var orderStrikePrice = Ticket.Symbol.ID.StrikePrice; var lPrice = orderStrikePrice - orderUnderlyingPrice - 0.10M; if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice - 0.10M) { /// this is the criteria for placing a put sell-to-close limit order. This contition will exist if the //Debug(" |||||||| with " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Symbol + "limit order to new limit price: " + lPrice ); //underlying price has moved down. //Ticket.Update(new UpdateOrderFields{LimitPrice = orderStrikePrice - orderUnderlyingPrice - 0.10M}); Ticket.Cancel(); Debug(" |||||||| With " + Ticket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + ", updating " + Ticket.Quantity + " of " + Ticket.Symbol + "limit order to market order"); var sellPutTkt = MarketOrder(Ticket.Symbol, Ticket.Quantity); if (sellPutTkt.Status == OrderStatus.Filled ){ bool anyTPRs = tradeRecs.Any(tr => tr.pSymbol.Equals(Ticket.Symbol) && -tr.pQty == Ticket.Quantity); if (anyTPRs) { var putTradeRec = tradeRecs.Where(tr => tr.pSymbol.Equals(Ticket.Symbol) && -tr.pQty == Ticket.Quantity).FirstOrDefault(); putTradeRec.pEndPrice = sellPutTkt.AverageFillPrice; //foreach (TradePerfRec tpr in putTradeRecs) { //tpr.pEndPrice = sellPutTkt.AverageFillPrice; //} } // is there TPR } // if order filled } // limit price needs to be changed } /// < 15" after order submission } // PUT } // OPTION ORDER } // FOR LOOP } } } catch (Exception errMsg) { Debug(" ERROR " + errMsg ); if (errMsg.Data.Count > 0) { Debug(" Extra details:"); foreach (DictionaryEntry de in errMsg.Data) Debug(" Key: {0,-20} Value: {1}'" + de.Key.ToString() + "'" + de.Value); } } */ // ********************** IsFirstTradingDay ****************************************** // *** Generalized function to find and return a DateTime for a given year, month, DayOfWeek // *** and occurrence in the month. In this case, it's the 3rd Friday // *** // ******************************************************************************************** /* public bool IsFirstTradingDay(DateTime testDate) { if (haltProcessing) { Debug("--- --- Logging IsFirstTradingDay() " + testDate.ToString()); } if (testDate.DayOfWeek == DayOfWeek.Sunday | testDate.DayOfWeek == DayOfWeek.Saturday) return false; DateTime firstDayOfMonth = new DateTime(testDate.Year, testDate.Month, 1); while (USHoliday.Dates.Contains(firstDayOfMonth)) firstDayOfMonth = firstDayOfMonth.AddDays(1); while (firstDayOfMonth.DayOfWeek == DayOfWeek.Sunday || firstDayOfMonth.DayOfWeek == DayOfWeek.Saturday) firstDayOfMonth = firstDayOfMonth.AddDays(1); while (USHoliday.Dates.Contains(firstDayOfMonth)) firstDayOfMonth = firstDayOfMonth.AddDays(1); ///Debug("First Day of Month is " + firstDayOfMonth.ToString()); if (testDate.Month.Equals(firstDayOfMonth.Month) && testDate.Day.Equals(firstDayOfMonth.Day)) {return true; } else {return false;} } */ }
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion using QuantConnect.Securities.Option; namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { public class SSQRColumn { public decimal stockPrice = 0; public DateTime exDate = DateTime.Now; public DateTime putExpiry = DateTime.Now; public DateTime callExpiry = DateTime.Now; public int daysInPosition = 0; public decimal interestCost = 0; public Symbol uSymbol; public Symbol putSymbol; public Symbol callSymbol; public Symbol wCallSymbol; public decimal putPremium = 0; // paid for buying the body public decimal callPremium = 0; // received for selling back call public decimal wCallPremium = 0; // paid for buying the wings public decimal putStrike = 0; public decimal callStrike = 0; public decimal wCallStrike = 0; public decimal putOpenInterest = 0; public decimal callOpenInterest = 0; public decimal putDelta = 0; public decimal callDelta = 0; public decimal wcDelta = 0; public decimal wingFactor = 0; public decimal putGamma = 0; public decimal callGamma = 0; public decimal wcGamma = 0; public decimal putVega = 0; public decimal callVega = 0; public decimal putRho = 0; public decimal callRho = 0; public decimal putTheta = 0; public decimal callTheta = 0; public decimal putImpliedVol = 0; public decimal callImpliedVol = 0; public decimal divAmt = 0; public int divCount = 0; public decimal downsideRisk = 0; public decimal upsidePotential = 0; public decimal netIncome = 0; public decimal netOptions = 0; public decimal divDollars = 0; public decimal haircut = 0; // committed capital in a portfolio margin account public decimal ROC = 0; // Return on Capital public decimal ROR = 0; // Return on Risk public decimal CCOR = 0; // Call Coverage over downside Risk public int intVERating; // This month's VE Rating public decimal decMomentum; // This month's VE momentum public decimal decOneMonthForecat; // VE One Month Forecast public decimal decOneYearPriceTarget; // VE One Year Target public int intMomentumRank; // VE Momentum Rank public string description1 = ""; public string description2 = ""; //public string description3; public override string ToString() { return this.description1; } public bool IsEmpty() { return this.description1.IsNullOrEmpty(); } } } }
#region imports using System; using System.Collections.Generic; using System.Linq; using QuantConnect.Util; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Securities; using QuantConnect.Securities.Option; #endregion ///////////////////////////// 2020-12-01: Added CCOR member to SSQR Column and to description2 for SSQR Matrices spreadsheet using System.Linq; using QuantConnect.Securities.Option; namespace QuantConnect.Algorithm.CSharp { // // Make sure to change "BasicTemplateAlgorithm" to your algorithm class name, and that all // files use "public partial class" if you want to split up your algorithm namespace into multiple files. // public partial class CollarAlgorithm : QCAlgorithm { // ********************** AssembleSSQRMatrix ************************************** // *** This Method will assemble the calls and puts into separate List<OptionContract> // *** Here the VE Ranking will determine the composition and ultimate selection of the SSQR // *** 5 - Highest probability and appreciation --> Use lower put (-3 strikes) because less probability of individual downside so reduce cost // *** Also use shorter duration call OTM to offset Put cost // *** 4 - Lower but postive probability of appreciation --> Use -2 stike put to protect individual downside and write OTM calls with same expiration // *** 3 - Neutral probability of appreciation --> tighten collar --> experiment with ITM call // *** 2 - Probably will decline in price in 12 monmths --> Don't do these stocks // *** 1 - Highest probability to decline in value -- >> don't do these stocks // *********************************************************************************** public void AssembleSSQRMatrix(QCAlgorithm algo, ref LookupData LD, Dictionary<int, DateTime> putExpiries, Dictionary<int, DateTime> callExpiries) { int i = 1; if (LD.doTracing) algo.Log($" -- AA AA ASSEMBLE SSQR MATRIX FOR {thisSymbol}"); Symbol symbU = LD.uSymbol; int strikesCnt = 0; decimal strikeStep = 0; decimal estTrgtPutStrk = 0; decimal estTrgtCallStrk = 0; decimal stockPrice = 0; //List<OptionChain> allUnderlyingOptions = new List<OptionChain>(); // chain object to get all options //allUnderlyingOptions = thisSlice.OptionChains.Values.Where(u => u.Underlying.Symbol.Equals(symbU)).ToList(); OptionChain allUnderlyingOptions = null; // chain opbjec to get all contracts OptionChain putChain; // chain object to get put contracts OptionChain callChain; // chain object to get call contracts OptionChain wcChain; // chain object to get wc contracts OptionChain atmChain; // chain object to ATM call List<OptionContract> putContracts = new List<OptionContract>(); List<OptionContract> callContracts = new List<OptionContract>(); List<OptionContract> wCallContracts = new List<OptionContract>(); OptionContract putContract; // contract object to collect put greeks OptionContract callContract; // contract object to collect call greeks //OptionContract wcContract; // contract object to collect wing call greeks Greeks putGreeks; Greeks callGreeks; Greeks wcGreeks; Slice thisSlice = algo.CurrentSlice; DateTime tradeDate = thisSlice.Time; // current date, presumed date of trade SSQRColumn thisSSQRColumn = new SSQRColumn(); stockPrice = algo.Securities[symbU].Price; if(LD.doTracing) algo.Log("@@@@@ logging assembleSSQR processing for: " + symbU.ToString() + " Price in Securities object is " + stockPrice.ToString()); // if(!thisSlice.OptionChains.TryGetValue(SD.optSymbol, out allUnderlyingOptions)) return; /// NOTE: DOES NOT RETURN wcChain // var gotChain = thisSlice.OptionChains.TryGetValue(symbU.opt, out var thisChain); // if (!gotChain) {return;} // allUnderlyingOptions = thisChain; foreach(var chain in thisSlice.OptionChains.Values){ if (chain.Underlying.Symbol != symbU) { continue; } allUnderlyingOptions = chain; break; } if (allUnderlyingOptions == null) { if (LD.doTracing) algo.Debug("@@@@@ @@ No options returned at " + thisSlice.Time + " for " + symbU.Value); return; // return null SSQRMatrix and pass control back to OnData() } // Get the ATM call contract var atmCall = allUnderlyingOptions.Where(s => s.Right == OptionRight.Call) .OrderBy(s => Math.Abs(stockPrice - s.Strike))/// - stockPrice)) .FirstOrDefault(); var atmPut = allUnderlyingOptions.Where(s => s.Right == OptionRight.Put) .OrderBy(s => Math.Abs(stockPrice - s.Strike)) /// - stockPrice)) .FirstOrDefault(); var atmStrike = atmCall.Strike; if (atmStrike == 0 ) { return;} var firstITMCallStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Call & s.Strike < stockPrice) .OrderByDescending(s => s.Strike - stockPrice)/// - stockPrice)) .FirstOrDefault().Strike; var lowestOTMPutStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Put & s.Strike < stockPrice) .OrderByDescending(s => s.Strike - stockPrice)/// - stockPrice)) .FirstOrDefault().Strike; // var lowStrike = (1 - ((decimal)LD.maxPutOTM / (decimal)100)) * atmStrike; // ~~ eventually need a mechanism to determine strike steps var lowStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Put) .OrderByDescending(s => (stockPrice - s.Strike)) /// - stockPrice)) .FirstOrDefault().Strike; //var highStrike = (decimal)1.1 * atmStrike; // ~~ and use strike steps to set upper and lower bounds var highStrike = allUnderlyingOptions.Where(s => s.Right == OptionRight.Call) .OrderByDescending(s => (s.Strike - stockPrice))/// - stockPrice)) .FirstOrDefault().Strike; // get the distinct strikes in a list to get a count. With the count, and the range, get the strike steps. var strikesList = allUnderlyingOptions.Where( o=> (DateTime.Compare(o.Expiry, callExpiries[1])==0)).DistinctBy(o => o.Strike); strikesCnt = strikesList.Count(); if (strikesCnt == 1){ strikeStep = (decimal)highStrike - (decimal)lowStrike; } else { strikeStep = ((decimal)highStrike - (decimal)lowStrike)/((decimal)strikesCnt - 1M); } if (strikeStep % 0.5m != 0) strikeStep = Math.Round(strikeStep/0.5m) * 0.5m; int k = 1; // initialize iterator for AddOptionContracts below Symbol optSymbol; // initialize option symbol for building the list of contracts //Option tempOption; // initialize option contract for building list of contracts and obtaining pricing data List<Option> callOptionsList = new List<Option>(); List<Option> putOptionsList = new List<Option>(); List<Option> wcCallsList = new List<Option>(); //DateTime whichExpiry = new DateTime(); //daysInTrade = ((TimeSpan) (whichExpiry - tradeDate)).Days; // get the # of days from trade date to expiry for carry cost ///////// NOTE : CATCH THE EXCEPTION WHERE LOOKUP FAILS var justDate = tradeDate.Date; // separate out the DATEVALUE from the DateTime variable LD.thisFFRate = LD.fedFundsRates[justDate]; // fedFundsRates is a Dictionary where DateTime index are all 12:00:00am //interestCost = (thisFFRate + ibkrRateAdj)/workingDays * (decimal) daysInTrade * stockPrice; // create a range of expiration dates from the prior expiration to the whichExpiry date. //callSymbolsForThisExpiry = allUnderlyingOptionsSymbols.Where( o=> DateTime.Compare(o.ID.Date, pastExpiry) > 0 && DateTime.Compare(o.ID.Date, whichExpiry)<=0 && if (stockPrice <= 100m & strikeStep == 5) strikeStep = 2.5m; /// make adjustment to standardize options placement if (strikeStep <= 1m) strikeStep = 2m; /// make adjustment to widen unusual case of $1 strike steps decimal VEDepreciation = 0; /// IF THIS IS POST INITIALIZATION, IS THE ONE YEAR TARGET THE SAME, ABOVE OR BELOW THE INITIAL TARGET ??? ??? ??? ??? if (symbolDataBySymbol.ContainsKey(symbU)){ if (symbolDataBySymbol[symbU].decOneYearPriceTarget_Initial > LD.decOneYearPriceTarget){ symbolDataBySymbol[symbU].decOneYearPriceTarget_Current = LD.decOneYearPriceTarget; VEDepreciation = stockPrice - LD.decOneYearPriceTarget; } else { VEDepreciation = stockPrice - symbolDataBySymbol[symbU].decOneYearPriceTarget_Initial; LD.initialTargetEndDate = symbolDataBySymbol[symbU].initialTargetEndDate; } } if (LD.uSymbol.Value == "ETR") { Debug(" Howdy "); } if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ -- Assembling {symbU.Value} SSQRs using VEDepreciation : {stockPrice.ToString()} - {LD.decOneYearPriceTarget.ToString()} = {VEDepreciation.ToString()} | StrikeStep: {strikeStep.ToString()}."); if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ -- High -- Low -- ATM-C -- ITM-C --"); if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ -- {highStrike.ToString().PadLeft(4,' ')} -- {lowStrike.ToString().PadLeft(4,' ')} -- {atmStrike.ToString().PadLeft(4,' ')} -- {firstITMCallStrike.ToString().PadLeft(4,' ')} --"); //switch (LD.intVERating) { switch (VEDepreciation){ case var _ when VEDepreciation <= 0M: // Stock is predicted to gain value, do a bull collar, write ITM Put, but its Total YLD including Dividends is negative and ranked in monthly file, or this is a roll LD.VECase = "Case -1"; // **** **** **** /// **** **** **** *** /// 2023-03-15 prohibited ITM call writing //estTrgtCallStrk = atmStrike - strikeStep; //estTrgtPutStrk = atmStrike - 1m * strikeStep; estTrgtPutStrk = atmStrike - strikeStep; estTrgtCallStrk = atmStrike + 1m * strikeStep; if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ @@@@ -- Case 1: {VEDepreciation.ToString()} less than 0. Call target: {estTrgtCallStrk.ToString()} / Put Target: {estTrgtPutStrk.ToString()} "); callContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Call && DateTime.Compare(o.Expiry, tradeDate.AddMonths(3))>=0 & // get close, but don't exceed 1 year target. Get as much call premium (theta) as possible o.Strike >= estTrgtCallStrk) //o.Strike > stockPrice) .OrderByDescending(o=>o.Expiry) .ThenBy(o => Math.Abs(estTrgtCallStrk - o.Strike)) .ToList(); putContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Put && DateTime.Compare(o.Expiry, tradeDate.AddMonths(3))>=0 & // get close, but don't exceed 1 year target. Get as much call premium (theta) as possible o.Strike < stockPrice) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o => o.Strike) .ToList(); break; case var _ when VEDepreciation > 0M & VEDepreciation <=10M: // Stock is predicted to lose some value. Do a standard collar, place put as close to VEDepreciation as possible. LD.VECase = "Case -2"; estTrgtPutStrk = LUD.decOneYearPriceTarget + strikeStep; // OneYearPriceTarget is below stock price. Short a put just above that target to capture decline estTrgtCallStrk = atmStrike + 1M * strikeStep; // Buy a call 1 strike step above stock price. if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ @@@@ -- Case 2: {VEDepreciation.ToString()} grtr than 0. Call target: {estTrgtCallStrk.ToString()} / Put Target: {estTrgtPutStrk.ToString()} "); callContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Call && DateTime.Compare(o.Expiry, tradeDate.AddMonths(3))>=0 & // Try getting options out to 3 months or more. Get as much call premium (theta) as possible o.Strike >= estTrgtCallStrk) .OrderByDescending(o=>o.Expiry) .ThenBy(o => Math.Abs(estTrgtCallStrk - o.Strike)) .ToList(); putContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Put && DateTime.Compare(o.Expiry, tradeDate.AddMonths(3))>=0 & // Try getting options out to 3 months or more. Get as much call premium (theta) as possible //o.Strike < stockPrice) o.Strike <= estTrgtPutStrk) .OrderByDescending(o=>o.Expiry) .ThenBy(o => o.Strike) .ToList(); break; case var _ when VEDepreciation > 10M: LD.VECase = "Case -3"; estTrgtCallStrk = atmStrike + strikeStep; // /// //// DO NOT WRITE A CALL WHEN INITIALIZING estTrgtPutStrk = atmStrike + 1M * strikeStep; // /// //// 2023-05-02 :: changed from - to +. if (LD.doDeepTracing) algo.Debug($" @@@@@ @@@@@ @@@@ -- Case 3: {VEDepreciation.ToString()} grtr than 10. PUT target: --no put --/ CALL Target: {estTrgtCallStrk.ToString()} "); var cContracts = allUnderlyingOptions.Where( o=> DateTime.Compare(o.Expiry, justDate.AddMonths(3))>=0 & o.Strike >= estTrgtCallStrk & o.Right == OptionRight.Call) .OrderByDescending(o => o.Expiry) .ThenBy(o => o.Strike); //.FirstOrDefault(); callContract = cContracts.FirstOrDefault(); if (LD.doTracing) algo.Debug($"@@@@@ -- @@@@ -- @@@@ VECase3 next EX DATE for {LUD.uSymbol.Value} is {LUD.exDivdnDate.ToString()} "); if (callContract == null) { if (LD.doTracing) algo.Debug("@@@@@ -- @@@@ -- @@@@ VECase 3 failed to get calls. Try next months 1 - 3"); /// use the expiries[1] date as the seed and find the subsequent 4 3-month expirations callExpiries[1] = FindNextOptionsExpiry(callExpiries[1], -1); /// //// //// *** *** *** *** used this for first time in 6F.... changed results callExpiries[2] = FindNextOptionsExpiry(callExpiries[1], 1); callExpiries[3] = FindNextOptionsExpiry(callExpiries[1], 2); callExpiries[4] = FindNextOptionsExpiry(callExpiries[1], 3); callContracts = allUnderlyingOptions.Where( o=> o.Right==OptionRight.Put && ( DateTime.Compare(o.Expiry, callExpiries[2])==0 | DateTime.Compare(o.Expiry, callExpiries[3])==0 | DateTime.Compare(o.Expiry, callExpiries[4])==0 ) & o.Strike >= estTrgtCallStrk) .OrderByDescending(o=>o.Expiry) .ThenBy(o => o.Strike) .ToList(); callContract = callContracts.FirstOrDefault(); if (callContract == null) { if (LD.doTracing) algo.Debug("@@@@@ -- @@@@ -- @@@@ VECase 3 failed to get next months 1-3 puts. Exit"); /// If Months 1-3 fail, then exit w/o a bestSSQRColumn return; } } putContract = null; thisSSQRColumn = buildSSQRColumn(putContract, callContract, algo, LD); if (thisSSQRColumn != null) { LD.SSQRMatrix.Add(thisSSQRColumn); } else if(LD.doTracing) algo.Debug($"@@@@@ -- @@@@ -- @@@@ failed to get VECase3 SSSQRColumn for {LD.uSymbol}."); return; } /// end switch // /// /// COLLAR PROCESSING BEGINS HERE // /// /// /// if (putContracts == null | putContracts.Count() == 0) // **************** Check if any puts are returned. { if (LD.doTracing) algo.Debug($"@@@@@ -- @@@@ -- @@@@ get putContracts failed new paradigm in VE Rank {LUD.VECase}. Exit AssembleSSQRMatrices Method."); /// use the expiries[1] date as the seed and find the subsequent 4 3-month expirations return; } if( callContracts == null | callContracts.Count() == 0) /// **************** Check if no calls are returned. If not, try incrementing 1 month for VERating 4 & 5 or decrementing for 3's { // if (LD.haltProcessing) { if (LD.doTracing) algo.Debug($"@@@@@ -- @@@@ -- @@@@ get CALL contracts failed 1st Pass try using +3 mos expiries in VE Case {LUD.VECase} ---------------"); if (LD.doTracing) algo.Debug("--" + stockPrice.ToString() +", " + callExpiries[1].ToString("MM/dd/yy") + ", " + callExpiries[2].ToString("MM/dd/yy") + ", " + callExpiries[3].ToString("MM/dd/yy") + ", " + callExpiries[4].ToString("MM/dd/yy") + ", " + callExpiries[5].ToString("MM/dd/yy")); //if (doDeepTracing);(callSymbolsForThisExpiry, "callSymbols"); // } /* if (LD.intVERating == 4 | LD.intVERating == 5) //// { putExpiries[1] = FindNextOptionsExpiry(putExpiries[1],-1); //// looking for first dividend only } else { // putExpiries[1] = FindNextOptionsExpiry(putExpiries[1], -1); /// //// //// *** *** *** *** used this for first time in 6F.... changed results } */ /// use the expiries[1] date as the seed and find the subsequent 4 3-month expirations // putExpiries[2] = FindNextOptionsExpiry(putExpiries[1], 4); // putExpiries[3] = FindNextOptionsExpiry(putExpiries[1], 7); // putExpiries[4] = FindNextOptionsExpiry(putExpiries[1], 10); // putExpiries[5] = FindNextOptionsExpiry(putExpiries[1], 13); putContracts = allUnderlyingOptions.Where( o=> o.Right==OptionRight.Put && ( DateTime.Compare(o.Expiry, putExpiries[2])==0 | DateTime.Compare(o.Expiry, putExpiries[3])==0 | DateTime.Compare(o.Expiry, putExpiries[4])==0 ) & o.Strike <= estTrgtPutStrk) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o => o.Strike) .ToList(); callContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Call && ( DateTime.Compare(o.Expiry, putExpiries[2])==0 | DateTime.Compare(o.Expiry, putExpiries[3])==0 | DateTime.Compare(o.Expiry, putExpiries[4])==0) & o.Strike >= estTrgtCallStrk) //o.Strike > stockPrice) .OrderByDescending(o=>o.Expiry) .ThenBy(o => Math.Abs(estTrgtCallStrk - o.Strike)) .ToList(); if (putContracts == null || putContracts.Count() == 0) { if (LD.doTracing) algo.Debug("@@@@@ -- @@@@ -- @@@@ PUT Expiries Failed 2nd Pass try every month -----------------"); if (LD.doTracing) algo.Debug("--" + stockPrice.ToString() +", " + putExpiries[1].ToString("MM/dd/yy") + ", " + putExpiries[2].ToString("MM/dd/yy") + ", " + putExpiries[3].ToString("MM/dd/yy") + ", " + putExpiries[4].ToString("MM/dd/yy") + ", " + putExpiries[5].ToString("MM/dd/yy")); putExpiries[1] = FindNextOptionsExpiry(putExpiries[1], -1); /// //// //// *** *** *** *** used this for first time in 6F.... changed results putExpiries[2] = FindNextOptionsExpiry(putExpiries[1], 1); putExpiries[3] = FindNextOptionsExpiry(putExpiries[1], 2); putExpiries[4] = FindNextOptionsExpiry(putExpiries[1], 3); //putExpiries[5] = FindNextOptionsExpiry(putExpiries[1], 5); //putExpiries[6] = FindNextOptionsExpiry(putExpiries[1], 6); // putExpiries[7] = FindNextOptionsExpiry(putExpiries[1], 7); // putExpiries[8] = FindNextOptionsExpiry(putExpiries[1], 8); putContracts = allUnderlyingOptions.Where( o=> o.Right==OptionRight.Put && ( DateTime.Compare(o.Expiry, putExpiries[2])==0 | DateTime.Compare(o.Expiry, putExpiries[3])==0 | DateTime.Compare(o.Expiry, putExpiries[4])==0 ) & o.Strike <= estTrgtPutStrk) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o => o.Strike) .ToList(); callContracts = allUnderlyingOptions.Where( o=> o.Right == OptionRight.Call && ( DateTime.Compare(o.Expiry, putExpiries[2])==0 | DateTime.Compare(o.Expiry, putExpiries[3])==0 | DateTime.Compare(o.Expiry, putExpiries[4])==0) & //o.Strike <= estTrgtCallStrk o.Strike > stockPrice) .OrderByDescending(o=>o.Expiry) .ThenBy(o => Math.Abs(estTrgtCallStrk - o.Strike)) .ToList(); if (putContracts == null || putContracts.Count() == 0) { if (LD.doTracing) algo.Debug("@@@@@ -- @@@@ -- @@@@ PUT Expiries Failed 3rd Pass return out -----------------"); if (LD.doTracing) algo.Debug("--" + stockPrice.ToString() +", " + putExpiries[1].ToString("MM/dd/yy") + ", " + putExpiries[2].ToString("MM/dd/yy") + ", " + putExpiries[3].ToString("MM/dd/yy") + ", " + putExpiries[4].ToString("MM/dd/yy") + ", " + putExpiries[5].ToString("MM/dd/yy")); foreach(var opt in allUnderlyingOptions) { Debug($"@@@@@ @@@@@ @@@@@ {opt.ToString()}"); } return; } else { if (LD.doTracing) algo.Debug("---------------------- PUT Expiries Succeeded on 3rd Pass -----------------"); } } else { if (LD.doTracing) algo.Debug("---------------------- PUT Expiries Succeeded on 2nd Pass -----------------"); } } if (LD.doTracing) Debug("@@@@@ -- @@@@@ -- @@@@@ -- get putSymbolsForTheseExpiries succeeded. -- @@@@@ -- @@@@@ -- @@@@@ -- "); var pEnumerator = putContracts.GetEnumerator(); // Now iterate through the puts and sub-iterate through the calls to assemble the SSQRMatrix // for pricing, puts are bought at the offer and calls are sold at the bid prices. // Each price should be the midpoint between the open and close. //if (LD.doDeepTracing) algo.Debug($" ---- ---- Assembling SSQRs for {symbU.Value} : "); while (pEnumerator.MoveNext()) { var cEnumerator = callContracts.GetEnumerator(); putContract = pEnumerator.Current; //if (LD.doDeepTracing) algo.Debug($" ---- ---- ---- : {putContract.ToString()} target strike: {estTrgtPutStrk.ToString()}."); OptionContract wcContract = atmCall; while (cEnumerator.MoveNext()) { callContract = cEnumerator.Current; //if (LD.doDeepTracing) algo.Debug($" ---- ---- ---- ---- {callContract.ToString()}"); // if ((callContract.Strike > putContract.Strike & DateTime.Compare(callContract.Expiry, putContract.Expiry)>=0) | (callContract.Strike >= putContract.Strike & DateTime.Compare(callContract.Expiry,putContract.Expiry)>0 )) // only add put/call combinations where call strike is equal to or above put strike and call expiry is later than put OR (c.strike>=put.strike AND c.Expiry>=p.Expiry) if (callContract.Strike > putContract.Strike & DateTime.Compare(callContract.Expiry, putContract.Expiry)==0) { //foreach (var wcContract in wCallContracts) { //if (wcContract.Strike > callContract.Strike ) { //thisSSQRColumn = buildSSQRColumn(putContract, callContract, wcContract, algo, LD); thisSSQRColumn = buildSSQRColumn(putContract, callContract, algo, LD); //} //} if (thisSSQRColumn != null) LD.SSQRMatrix.Add(thisSSQRColumn); } // if thisCallStrike == thisPutStrike } // while callEnum } // while putEnum if (LD.doTracing) Debug($" @@@@@ -- AA AA RETURNED {LD.SSQRMatrix.Count()} SSQR MATRICES FOR {LD.uSymbol}" ); // if (LD.doDeepTracing) { // var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.upsidePotential); // IterateOrderedSSQRMatrix(orderedSSQRMatrix); // } return; } // AssembleSSQRMatrix // ********************** buildSSQRColumn 5-params ************************************** // *** This sub routine takes in the variables for the iterated put and call Options Lists // *** as well as the dividends count, dividend amount, and stock price // *** and returns an SSQRColumt to be added to the SSQRMatrix list // *********************************************************************************** public SSQRColumn buildSSQRColumn(OptionContract thisPutOpt, OptionContract thisCallOpt, OptionContract wcOpt, QCAlgorithm algo, LookupData LD) //public SSQRColumn buildSSQRColumn(Option thisPutOpt, Option thisCallOpt, OptionContract pGrks, OptionContract cGrks, DateTime whichExpiry, DateTime tradeDate, DateTime exDate, int dividends, decimal amtDividend, decimal stockPrice, int daysInTrade, decimal intCost) { decimal thisSpread = 1M; decimal targetDepreciation = 0m; decimal wingFactor = .2M; // factor to determine wings contract load decimal wingPremium = 1; // added premium to do the wings int monthsInTrade = 0; int daysInTrade = 0; int dividends = 0; Slice thisSlice = algo.CurrentSlice; // LD.loadVEData(thisSlice.Time); // load this instance of LUD with VE data from file. decimal stockPrice = algo.Securities[LD.uSymbol].Price; SSQRColumn thisColumn = new SSQRColumn(); // get a new SSQRColumn //if (thisPutOpt.AskPrice == 0 | thisCallOpt.BidPrice == 0) return thisColumn; // don't build SSQRColumns with missing premium values -- 2023-03-14 Many SSQRColumns will now be done without calls DateTime tradeDate = algo.CurrentSlice.Time; daysInTrade = (thisPutOpt.Expiry - tradeDate).Days; decimal intCost = (LD.thisFFRate + LD.ibkrRateAdj)/LD.workingDays * (decimal) daysInTrade * stockPrice; //if (haltProcessing) { //if (LUD.doDeepTracing) algo.Log($" BSSQR BSSQR - Logging 5-Parameter buildSSQRColumn processing for {thisPutOpt.Symbol.Value}/{thisCallOpt.Symbol.Value}") ; //} if (DateTime.Compare(thisPutOpt.Expiry, LD.exDivdnDate)<=0) { monthsInTrade = 0; } else if (thisPutOpt.Expiry.Year > LD.exDivdnDate.Year) { monthsInTrade = thisPutOpt.Expiry.Month - LD.exDivdnDate.Month + 12; } else if (thisPutOpt.Expiry.Month == LD.exDivdnDate.Month) { monthsInTrade = 1; } else monthsInTrade = thisPutOpt.Expiry.Month - LD.exDivdnDate.Month; if (divFrequency.Equals("monthly", StringComparison.OrdinalIgnoreCase)) { dividends = monthsInTrade + 1; } else { dividends = monthsInTrade/3 + 1; // add 1 for the next dividend and 1 for every 3 months thereafter } thisColumn.uSymbol = LD.uSymbol; thisColumn.putSymbol = thisPutOpt.Symbol; thisColumn.callSymbol = thisCallOpt.Symbol; thisColumn.wCallSymbol = wcOpt.Symbol; // atm call for this column (based upon put) thisColumn.putPremium = thisPutOpt.AskPrice; thisColumn.callPremium = thisCallOpt!=null ? thisCallOpt.BidPrice : 0m; thisColumn.wCallPremium = wcOpt!=null ? wcOpt.AskPrice : 0m; // thisColumn.putStrike = thisPutOpt.Strike; thisColumn.callStrike = thisCallOpt!=null ? thisCallOpt.Strike : 0m; thisColumn.wCallStrike = wcOpt!=null ? wcOpt.Strike : 0m; thisColumn.exDate = LD.exDivdnDate; thisColumn.putExpiry = thisPutOpt.Expiry; thisColumn.callExpiry = thisCallOpt!=null ? thisCallOpt.Expiry : default; thisColumn.putDelta = thisPutOpt.Greeks.Delta; thisColumn.callDelta = thisCallOpt!=null ? thisCallOpt.Greeks.Delta : 0; thisColumn.wcDelta = wcOpt!=null ? wcOpt.Greeks.Delta : 0m; thisColumn.putGamma = thisPutOpt.Greeks.Gamma; thisColumn.callGamma = thisCallOpt!=null ? thisCallOpt.Greeks.Gamma : 0; thisColumn.wcGamma = wcOpt!=null ? wcOpt.Greeks.Gamma : 0m; //thisColumn.putVega = thisPutOpt.Greeks.Vega; //thisColumn.callVega = thisCallOpt.Greeks.Vega; //thisColumn.putRho = thisPutOpt.Greeks.Rho; //thisColumn.callRho = thisCallOpt.Greeks.Rho; //thisColumn.putTheta = thisPutOpt.Greeks.Theta; //thisColumn.callTheta = thisCallOpt.Greeks.Theta; thisColumn.putImpliedVol = thisPutOpt.ImpliedVolatility; thisColumn.callImpliedVol = thisCallOpt!=null ? thisCallOpt.ImpliedVolatility : 0; thisColumn.divAmt = LD.divdndAmt; thisColumn.divCount = dividends; thisColumn.stockPrice = stockPrice; thisColumn.daysInPosition = daysInTrade; thisColumn.interestCost = intCost; thisColumn.intVERating = LD.intVERating; thisColumn.decMomentum = LD.decMomentum; thisColumn.decOneMonthForecat = LD.decOneMonthForecast; thisColumn.decOneYearPriceTarget = LD.decOneYearPriceTarget; thisColumn.intMomentumRank = LD.intMomentumRank; if (thisCallOpt!=null ) { // *^*^*^*^* try using solely married puts without calls on appreciating stocks *^*^*^*^* thisSpread = stockPrice <= thisCallOpt.Strike ? stockPrice - thisPutOpt.Strike : thisCallOpt.Strike - thisPutOpt.Strike; } else { thisSpread = stockPrice - thisPutOpt.Strike; } if (!LD.ibkrHairCuts.ContainsKey( (thisSpread)) ) { //Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*"); //Debug("Make a haircut entry for " + (thisCallStrike - thisPutStrike).ToString()); //Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*"); if (thisSpread < 5M) { thisColumn.haircut = .5M; } else { if (thisSpread % 0.5m != 0) thisSpread = Math.Round(thisSpread/0.5m) * 0.5m; thisColumn.haircut = LD.ibkrHairCuts[thisSpread]; } }else { thisColumn.haircut = 20M; } targetDepreciation = stockPrice - LD.decOneYearPriceTarget; decimal divDollars = LD.divdndAmt * dividends; thisColumn.divDollars = divDollars; decimal stockLossIfCalled = (thisCallOpt.Strike>stockPrice) ? 0 : (thisColumn.putPremium>thisColumn.callPremium) ? (thisColumn.callStrike - stockPrice) : 0; // loss=0 if cStrike>stkPrice, otherwise negative ***Loss (negative value) if ITM calls are assigned (0 if #calls<#puts) decimal netOptions = -thisColumn.putPremium + thisColumn.callPremium; /// netOptions equals negative putPrem (expense) plus positive call premium (income) thisColumn.netOptions = netOptions; thisColumn.netIncome = divDollars + netOptions - intCost; // Net Income in SSQR.xls subtracts interest cost but does not allow for appreciation to OTM call strike /// obviated in Wing System which has an upside long call wingFactor = (netOptions + divDollars - intCost) / wingPremium; // wing factor defined as income(loss) from options plus dividend minus interest cost divided by the premium paid for the wings if (wingFactor < 0) wingFactor = 0; if (wingFactor > 0.2M ) wingFactor = 0.2M; //thisColumn.wingFactor = wingFactor; thisColumn.wingFactor = 0; // for VE statistical analysis, set WingFactor to 0. Don't do wings thisColumn.ROC = (divDollars + netOptions + stockLossIfCalled - intCost) / thisColumn.haircut; // store ROC for statistical analysis // 2021-03-21 -- (factored in netOptions into downsideRisk calculation) //decimal downsideRisk = thisPutStrike - stockPrice + divDollars + netOptions - intCost; // downside risk is defined as the potential loss due to stock price depreciation _ decimal downsideRisk = ((stockPrice - thisColumn.netOptions) > thisColumn.putStrike) ? stockPrice - netOptions - thisColumn.putStrike + thisColumn.interestCost: thisColumn.interestCost; // downside risk is the net price of the collar - putStrike (deliberately discounts dividends as they are not guaranteed past the declared dividend) thisColumn.downsideRisk = downsideRisk; // subtracts dividends collected and net options premiums and intCost decimal upsidePotential = (thisColumn.callStrike>stockPrice) ? ((thisColumn.callStrike > LD.decOneYearPriceTarget) ? LD.decOneYearPriceTarget - stockPrice + divDollars + netOptions - intCost : thisColumn.callStrike - stockPrice + divDollars + netOptions - intCost) : divDollars + netOptions - intCost; // When writing OTM calls, there is a potential upside appreciation from net collar cost to the call strike. thisColumn.upsidePotential = upsidePotential; // 2021-03-24 -- -- changed sign on downsideRisk from negative to positive. Earlier iterations represented downside risk as negative (putStrike - stock purchase price). thisColumn.ROR = upsidePotential/downsideRisk; // store ROR for statistical analysis /*if (stockPrice == thisPutStrike) { thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/0.01M; // get the maximum upside potential for a unit of actual risk } else { thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/(stockPrice - thisPutStrike); } */ // 2021-03-21 -- -- changed to ordered by downsideRisk/upsidePotential //thisColumn.CCOR = netOptions/downsideRisk; // get the maximum upside potential for a unit of actual risk thisColumn.CCOR = downsideRisk/upsidePotential; thisColumn.description1 = "Combination in " + LD.uSymbol + " @ " + stockPrice + " is the " + thisColumn.putStrike + "/" + thisColumn.callStrike + " collar "; thisColumn.description2 = "," + thisColumn.uSymbol + "," + String.Format("{0:0.00}", stockPrice) + "," + LD.exDivdnDate.ToString("MM/dd/yy") + "," + dividends + "," + String.Format("{0:0.00}", LD.divdndAmt) + "," + String.Format("{0:0.00}",divDollars) + "," + daysInTrade + ", " + String.Format("{0:0.00}", intCost) + ", " + thisColumn.putExpiry.ToString("MM/dd/yy") + ", " + thisColumn.callExpiry.ToString("MM/dd/yy") + ", " + String.Format("{0:0.00}",thisColumn.putStrike) + ", " + String.Format("{0:0.00}",thisColumn.putPremium) + ", " + String.Format("{0:0.00}",thisColumn.callStrike) + ", " + String.Format("{0:0.00}", thisColumn.callPremium) + ", " + String.Format("{0:0.00}", thisColumn.wCallStrike) + ", " + String.Format("{0:0.00}", thisColumn.wCallPremium) + ", " + String.Format("{0:0.00}",thisColumn.putDelta) + ", " + String.Format("{0:0.00}", thisColumn.callDelta) + ", " + String.Format("{0:0.00}",thisColumn.netOptions) + ", " + String.Format("{0:0.00}", thisColumn.netIncome) + ", " + String.Format("{0:0.00}",thisColumn.intVERating) + ", " + String.Format("{0:0.00}",thisColumn.decMomentum) + ", " + String.Format("{0:0.00}",thisColumn.decOneYearPriceTarget) + ", " + String.Format("{0:0.00}", thisColumn.haircut) + ", " + String.Format("{0:0.00}",thisColumn.ROC) + "," + String.Format("{0:0.00}", thisColumn.upsidePotential) + "," + String.Format("{0:0.00}", thisColumn.downsideRisk) + "," + String.Format("{0:0.00}",thisColumn.ROR) + "," + String.Format("{0:0.00}", thisColumn.CCOR ) + "," + String.Format("{0:0.00}", thisColumn.wingFactor) + "," + thisColumn.putSymbol + "," + thisColumn.callSymbol; return thisColumn; } // ********************** buildSSQRColumn 4-parms VE 4 and 5 ************************************** // *** This sub routine takes in the variables for the iterated put Options Lists // *** as well as the dividends count, dividend amount, and stock price // *** and returns an SSQRColumn to be added to the SSQRMatrix list // *************************************************************************************************** public SSQRColumn buildSSQRColumn(OptionContract perkPutOpt, OptionContract thisCallOpt, QCAlgorithm algo, LookupData LD) //public SSQRColumn buildSSQRColumn(Option perkPutOpt, Option thisCallOpt, OptionContract pGrks, OptionContract cGrks, DateTime whichExpiry, DateTime tradeDate, DateTime exDate, int dividends, decimal amtDividend, decimal stockPrice, int daysInTrade, decimal intCost) { decimal thisSpread = 1M; decimal wingFactor = .2M; // factor to determine wings contract load int monthsInTrade = 0; int daysInTrade = 0; int dividends = 0; Slice thisSlice = algo.CurrentSlice; // LD.loadVEData(thisSlice.Time); // load this instance of LUD with VE data from file. decimal stockPrice = algo.Securities[LD.uSymbol].Price; SSQRColumn thisColumn = new SSQRColumn(); // get a new SSQRColumn if (thisCallOpt == null) return thisColumn; // 2023-02-10 -- trap null thisPutOpt -- crashed in new differentiated VE model if (thisCallOpt.AskPrice == 0) return thisColumn; // don't build SSQRColumns with missing premium values DateTime tradeDate = algo.CurrentSlice.Time; daysInTrade = (thisCallOpt.Expiry - tradeDate).Days; decimal intCost = (LD.thisFFRate + LD.ibkrRateAdj)/LD.workingDays * (decimal) daysInTrade * stockPrice; if (perkPutOpt!=null){ //if (LUD.doDeepTracing) algo.Log($" BSSQR BSSQR - Logging 4-parameter buildSSQRColumn processing for {thisCallOpt.Symbol.Value}/{perkPutOpt.Symbol.Value}."); } else { //if (LUD.doDeepTracing) algo.Log($" BSSQR BSSQR - Logging 4-parameter buildSSQRColumn processing for {thisCallOpt.Symbol.Value}/--no put --."); } monthsInTrade = thisCallOpt.Expiry.Month - LD.exDivdnDate.Month; if( thisCallOpt.Expiry.Year != LD.exDivdnDate.Year) { monthsInTrade = monthsInTrade + 12; } if (divFrequency.Equals("monthly", StringComparison.OrdinalIgnoreCase)) { dividends = monthsInTrade + 1; } else { dividends = monthsInTrade/3 + 1; // add 1 for the next dividend and 1 for every 3 months thereafter } thisColumn.uSymbol = LD.uSymbol; thisColumn.putSymbol = perkPutOpt != null ? perkPutOpt.Symbol : null; // thisColumn.wCallSymbol = wcOpt.Symbol; // atm call for this column (based upon put) thisColumn.putPremium = perkPutOpt != null ? perkPutOpt.BidPrice : 0; thisColumn.exDate = LD.exDivdnDate; thisColumn.putExpiry = perkPutOpt != null ? perkPutOpt.Expiry : default(DateTime); thisColumn.putStrike = perkPutOpt != null ? perkPutOpt.Strike : 0; thisColumn.putDelta = perkPutOpt != null ? perkPutOpt.Greeks.Delta : 0; // thisColumn.wcDelta = wcOpt.Greeks.Delta; thisColumn.putGamma = perkPutOpt != null ? perkPutOpt.Greeks.Gamma : 0; thisColumn.putImpliedVol = perkPutOpt != null ? perkPutOpt.ImpliedVolatility : 0; thisColumn.callSymbol = thisCallOpt.Symbol; thisColumn.callPremium = thisCallOpt.AskPrice; thisColumn.callStrike = thisCallOpt.Strike; thisColumn.callDelta = thisCallOpt.Greeks.Delta; thisColumn.callGamma = thisCallOpt.Greeks.Gamma; thisColumn.callImpliedVol = thisCallOpt.ImpliedVolatility; // thisColumn.wcGamma = wcOpt.Greeks.Gamma; //thisColumn.putVega = thisPutOpt.Greeks.Vega; //thisColumn.callVega = thisCallOpt.Greeks.Vega; //thisColumn.putRho = thisPutOpt.Greeks.Rho; //thisColumn.callRho = thisCallOpt.Greeks.Rho; //thisColumn.putTheta = thisPutOpt.Greeks.Theta; //thisColumn.callTheta = thisCallOpt.Greeks.Theta; thisColumn.divAmt = LD.divdndAmt; thisColumn.divCount = dividends; thisColumn.stockPrice = stockPrice; thisColumn.daysInPosition = daysInTrade; thisColumn.interestCost = intCost; thisColumn.intVERating = LD.intVERating; thisColumn.decMomentum = LD.decMomentum; thisColumn.decOneMonthForecat = LD.decOneMonthForecast; thisColumn.decOneYearPriceTarget = LD.decOneYearPriceTarget; thisColumn.intMomentumRank = LD.intMomentumRank; thisSpread = Math.Truncate(thisCallOpt.Strike - stockPrice); if (!LD.ibkrHairCuts.ContainsKey( (thisSpread)) ) { //Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*"); //Debug("Make a haircut entry for " + (thisCallStrike - thisPutStrike).ToString()); //Debug("*^*^*^*^*^*^*^*^*^*^**^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*^*"); if (thisSpread < 5M) { thisColumn.haircut = .5M; } else { if (thisSpread % 0.5m != 0) thisSpread = Math.Round(thisSpread/0.5m) * 0.5m; if(thisSpread > 35m) thisSpread = 35; thisColumn.haircut = LD.ibkrHairCuts[thisSpread]; } }else { thisColumn.haircut = 35m; } decimal divDollars = -LD.divdndAmt * dividends; // dividends are negative. We pay dividends when we short. thisColumn.divDollars = divDollars; decimal stockLossIfCalled = 0; // loss=0 if stkPrice>putStrike, otherwise negative ***Loss (negative value) if ITM calls are assigned (0 if #calls<#puts) decimal perkPutPremium = 0; if (perkPutOpt != null) perkPutPremium = perkPutOpt.BidPrice; decimal netOptions = -thisColumn.callPremium + thisColumn.putPremium; /// netOptions is a cost and equals negative callPrem (expense) plus positive put premium (income) thisColumn.netOptions = netOptions; thisColumn.netIncome = divDollars + netOptions - intCost; // Net Income in SSQR.xls subtracts interest cost but does not allow for appreciation to OTM call strike /// obviated in Wing System which has an upside long call if (wingFactor < 0) wingFactor = 0; if (wingFactor > 0.2M ) wingFactor = 0.2M; //thisColumn.wingFactor = wingFactor; thisColumn.wingFactor = 0; // for VE statistical analysis, set WingFactor to 0. Don't do wings thisColumn.ROC = (divDollars + netOptions + stockLossIfCalled - intCost) / thisColumn.haircut; // store ROC for statistical analysis // 2021-03-21 -- (factored in netOptions into downsideRisk calculation) //decimal downsideRisk = thisPutStrike - stockPrice + divDollars + netOptions - intCost; // downside risk is defined as the potential loss due to stock price depreciation _ decimal downsideRisk = ((stockPrice - thisColumn.netOptions) < thisColumn.callStrike) ? thisColumn.callStrike - stockPrice - netOptions - thisColumn.interestCost: thisColumn.interestCost; // downside risk is the net price of the collar - putStrike (deliberately discounts dividends as they are not guaranteed past the declared dividend) thisColumn.downsideRisk = downsideRisk; // subtracts dividends collected and net options premiums and intCost decimal upsidePotential = 0; if(perkPutOpt!=null) { upsidePotential = LD.decOneYearPriceTarget > perkPutOpt.Strike ? stockPrice - LD.decOneYearPriceTarget + divDollars + netOptions - intCost : stockPrice - perkPutOpt.Strike + divDollars + netOptions - intCost ; // When writing OTM puts, there is a potential upside appreciation from net collar cost to the put strike. } else { upsidePotential = stockPrice - LD.decOneYearPriceTarget + divDollars + netOptions - intCost; // When writing OTM puts, there is a potential upside appreciation from net collar cost to the put strike. } thisColumn.upsidePotential = upsidePotential; // 2021-03-24 -- -- changed sign on downsideRisk from negative to positive. Earlier iterations represented downside risk as negative (putStrike - stock purchase price). thisColumn.ROR = upsidePotential/downsideRisk; // store ROR for statistical analysis /*if (stockPrice == thisPutStrike) { thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/0.01M; // get the maximum upside potential for a unit of actual risk } else { thisColumn.CCOR = (1 - thisPutPrem/thisCallPrem)/(stockPrice - thisPutStrike); } */ // 2021-03-21 -- -- changed to ordered by downsideRisk/upsidePotential //thisColumn.CCOR = netOptions/downsideRisk; // get the maximum upside potential for a unit of actual risk thisColumn.CCOR = downsideRisk/upsidePotential; thisColumn.description1 = "Combination in " + LD.uSymbol + " @ " + stockPrice + " is the " + thisColumn.putStrike + "/" + thisColumn.callStrike + " collar "; /* thisColumn.description2 = thisColumn.uSymbol.Value; thisColumn.description2 = stockPrice.ToString(); thisColumn.description2 = LD.exDivdnDate.ToString(); thisColumn.description2 = thisColumn.putExpiry.ToString(); thisColumn.description2 = thisColumn.callExpiry.ToString(); thisColumn.description2 = thisColumn.putStrike.ToString(); thisColumn.description2 = thisColumn.putPremium.ToString(); thisColumn.description2 = thisColumn.callStrike.ToString(); thisColumn.description2 = thisColumn.callPremium.ToString(); thisColumn.description2 = thisColumn.putDelta.ToString(); thisColumn.description2 = thisColumn.callDelta.ToString(); thisColumn.description2 = thisColumn.wingFactor.ToString(); */ try{ thisColumn.description2 = "," + thisColumn.uSymbol.Value + "," + String.Format("{0:0.00}", stockPrice) + "," + LD.exDivdnDate.ToString("MM/dd/yy") + "," + dividends + "," + String.Format("{0:0.00}", LD.divdndAmt) + "," + String.Format("{0:0.00}",divDollars) + "," + daysInTrade + ", " + String.Format("{0:0.00}", intCost) + ", " + thisColumn.putExpiry.ToString("MM/dd/yy") + ", " + thisColumn.callExpiry.ToString("MM/dd/yy") + ", " + String.Format("{0:0.00}",thisColumn.putStrike) + ", " + String.Format("{0:0.00}",thisColumn.putPremium) + ", " + String.Format("{0:0.00}",thisColumn.callStrike) + ", " + String.Format("{0:0.00}",thisColumn.callPremium) + ", " + "-no wingcall-" + ", " + "-no wingcall-" + ", " + String.Format("{0:0.00}",thisColumn.putDelta) + ", " + String.Format("{0:0.00}",thisColumn.callDelta) + ", " + String.Format("{0:0.00}",thisColumn.netOptions) + ", " + String.Format("{0:0.00}", thisColumn.netIncome) + ", " + String.Format("{0:0.00}",thisColumn.intVERating) + ", " + String.Format("{0:0.00}",thisColumn.decMomentum) + ", " + String.Format("{0:0.00}",thisColumn.decOneYearPriceTarget) + ", " + String.Format("{0:0.00}", thisColumn.haircut) + ", " + String.Format("{0:0.00}",thisColumn.ROC) + "," + String.Format("{0:0.00}", thisColumn.upsidePotential) + "," + String.Format("{0:0.00}", thisColumn.downsideRisk) + "," + String.Format("{0:0.00}",thisColumn.ROR) + "," + String.Format("{0:0.00}", thisColumn.CCOR ) + "," + "-no wingcall-," + (thisColumn.putSymbol!=null ? thisColumn.putSymbol.Value : "-no put-") + "," + (thisColumn.callSymbol!=null ? thisColumn.callSymbol.Value : "-no call-"); } catch (Exception msg) { Debug($" @@@@@ -- @@@@@ -- Description2 has some issue: {msg}"); } return thisColumn; } // ********************** GetOptionsExpiries ************************************** // *** Use this to find and return the next 4 options expirations expirations dates // *** Function will determine if a date is a holiday and subtract 1 day // *** Target next 3 Ex-Datas whether 1st is Slice.Time.Month or later. // *********************************************************************************** public Dictionary<int, DateTime> GetOptionExpiries(DateTime tradeD, DateTime nextExDate, DateTime thisMonthExpiry, bool isPrimary, bool isCall){ // Initialize expiration date variables // DateTime firstExpiry = new DateTime(); DateTime secondExpiry = new DateTime(); DateTime thirdExpiry = new DateTime(); DateTime fourthExpiry = new DateTime(); DateTime fifthExpiry = new DateTime(); DateTime sixthExpiry = new DateTime(); // DateTime seventhExpiry = new DateTime(); // DateTime eigthExpiry = new DateTime(); // DateTime ninthExpiry = new DateTime(); // DateTime tenthExpiry = new DateTime(); // DateTime eleventhExpiry = new DateTime(); // DateTime twelvethExpiry = new DateTime(); // DateTime thirteenthExpiry = new DateTime(); // Initialize the dictionary for return // 1 : first expiry // 2 : second expiry... Dictionary<int, DateTime> expiries = new Dictionary<int, DateTime>(); // is the nextExDate before or after the 3rd Friday? Before ? use this month expiration // After ? use next month's expiration. if (!isCall & isPrimary) // isPrimary ? 1stTPR : 2ndTPR 1stTPR do monthly options every quarter : 2ndTPR do monthly options every month { if (DateTime.Compare(nextExDate, thisMonthExpiry) <= 0) { firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 0); // first figure out the options expiry for exDivDate month if (firstExpiry.Subtract(tradeD).Days <= 10) { // if firstExpiry is less than 10 days after tradeDate, assignment risk is too high. Move expiries back a month firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1); secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4); thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7); fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10); fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 13); } else { secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 3); thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 6); fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 9); fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 12); } } else { firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1); secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4); thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7); fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10); fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 13); } } else { // this is for 2ndTPRs -- monthly options every month to catch some if (DateTime.Compare(nextExDate, thisMonthExpiry) <= 0) { firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 0); secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1); thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 2); fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 3); fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4); sixthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 5); // seventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 6); // eigthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7); // ninthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 8); // tenthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 9); // eleventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10); // twelvethExpiry= FindNextOptionsExpiry(thisMonthExpiry, 11); // thirteenthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 12); }else { firstExpiry = FindNextOptionsExpiry(thisMonthExpiry, 1); secondExpiry = FindNextOptionsExpiry(thisMonthExpiry, 2); thirdExpiry = FindNextOptionsExpiry(thisMonthExpiry, 3); fourthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 4); fifthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 5); sixthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 6); // seventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 7); // eigthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 8); // ninthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 9); // tenthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 10); // eleventhExpiry = FindNextOptionsExpiry(thisMonthExpiry, 11); // twelvethExpiry= FindNextOptionsExpiry(thisMonthExpiry, 12); // thirteenthExpiry = FindNextOptionsExpiry(thisMonthExpiry, 13); } } expiries.Add(1, firstExpiry); expiries.Add(2, secondExpiry); expiries.Add(3, thirdExpiry); expiries.Add(4, fourthExpiry); expiries.Add(5, fifthExpiry); expiries.Add(6, sixthExpiry); // expiries.Add(7, seventhExpiry); // expiries.Add(8, eigthExpiry); if (isCall) { // expiries.Add(9, ninthExpiry); // expiries.Add(10, tenthExpiry); // expiries.Add(11, eleventhExpiry); // expiries.Add(12, twelvethExpiry); // expiries.Add(13, thirteenthExpiry); } return expiries; } // ********************** FindNextOptionsExpiry ************************************** // *** Use this to find and return the next options expirations date x months ahead // *** Check the new date to make sure it isn't a holiday and if it is, subtract 1 day // ******************************************************************************************** public DateTime FindNextOptionsExpiry(DateTime thisExpiry, int addedMonths){ // Given a 3rd friday expiration, it will find the next 3rd friday expiration, addedMonths ahead // figure out how to handle holidays such as Good Friday, April 19, 2019. // **************** should this be amended for non-quarterly dividend frequencies? **************** int year = thisExpiry.Year; int month = thisExpiry.Month; while (addedMonths >= 12) { year = year + 1; addedMonths = addedMonths - 12; } // adjust if month = 0 if(month + addedMonths == 0) { month = 12; } else { month = month + addedMonths; } // Adjust if bigger than 12 if(month > 12){ month = month % 12; year = year + 1; } if (haltProcessing) { Debug("--- --- Logging FindNextOptionsExpiry() " + year.ToString() + "-" + month.ToString() ); } DateTime findDate = FindDay(year, month, DayOfWeek.Friday, 3); // Evaluate if found expirations fall upon holidays and if they do, decrement them 1 day while (USHoliday.Dates.Contains(findDate)) findDate = findDate.AddDays(-1); return findDate; } // ********************** FindDay (options expiry) *************************************** // *** Generalized function to find and return a DateTime for a given year, month, DayOfWeek // *** and occurrence in the month. In this case, it's the 3rd Friday // *** // ******************************************************************************************** public DateTime FindDay(int year, int month, DayOfWeek Day, int occurrence) { if (haltProcessing) { //Debug("--- --- Logging FindDay() " + year.ToString() + "-" + month.ToString() + "-" + Day.ToString() + ", at " + occurrence.ToString() + " day"); } // Given a valid month, it will find the datetime for the 3rd friday of the month if (occurrence <= 0 || occurrence > 5) throw new Exception("occurrence is invalid"); DateTime firstDayOfMonth = new DateTime(year, month, 1); //Substract first day of the month with the required day of the week var daysneeded = (int)Day - (int)firstDayOfMonth.DayOfWeek; //if it is less than zero we need to get the next week day (add 7 days) if (daysneeded < 0) daysneeded = daysneeded + 7; //DayOfWeek is zero index based; multiply by the occurrence to get the day var resultedDay = (daysneeded + 1) + (7 * (occurrence - 1)); if (resultedDay > (firstDayOfMonth.AddMonths(1) - firstDayOfMonth).Days) throw new Exception(String.Format("No {0} occurrence(s) of {1} in the required month", occurrence, Day.ToString())); if (month == 2) { if (year == 2016 | year == 2020) { if (resultedDay > 29) { resultedDay = resultedDay - 29; month = 3; } } else { if (resultedDay > 28) { resultedDay = resultedDay - 28; month = 3; } } } try { return new DateTime(year, month, resultedDay); } catch { throw new Exception($"Invalid date: {year}/{month}/{resultedDay}"); } } // ********************** IsLastTradingDay ****************************************** // *** Generalized function to find and return a DateTime for a given year, month, DayOfWeek // *** and occurrence in the month. // ******************************************************************************************** public bool IsLastTradingDay(DateTime testDate) { DateTime nextTestDate = testDate.AddMonths((1)); DateTime lastDayOfMonth = new DateTime(nextTestDate.Year, nextTestDate.Month, 1).AddDays(-1); while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1); while (lastDayOfMonth.DayOfWeek == DayOfWeek.Sunday || lastDayOfMonth.DayOfWeek == DayOfWeek.Saturday) lastDayOfMonth = lastDayOfMonth.AddDays(-1); while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1); ///Debug("First Day of Month is " + lastDayOfMonth.ToString()); if (testDate.Month.Equals(lastDayOfMonth.Month) && testDate.Day.Equals(lastDayOfMonth.Day)) {return true; } else {return false;} } // ********************** Get Last Options Expiry Day ************************************ // *** Generalized function to find and return a DateTime for a given year, month, DayOfWeek // *** and occurrence in the month. // ******************************************************************************************** public DateTime GetLastOptionsExpiry(DateTime testDate) { DateTime nextTestDate = testDate.AddMonths((1)); DateTime lastDayOfMonth = new DateTime(nextTestDate.Year, nextTestDate.Month, 1).AddDays(-1); while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1); while (lastDayOfMonth.DayOfWeek == DayOfWeek.Sunday || lastDayOfMonth.DayOfWeek == DayOfWeek.Saturday) lastDayOfMonth = lastDayOfMonth.AddDays(-1); while (USHoliday.Dates.Contains(lastDayOfMonth)) lastDayOfMonth = lastDayOfMonth.AddDays(-1); ///Debug("First Day of Month is " + lastDayOfMonth.ToString()); return lastDayOfMonth; } // ********************** IterateChain ******************************************************* // *** Generalized function to iterate through and print members of an IEnumerable // *** This is used for debugging only // ******************************************************************************************** public void IterateChain(IEnumerable<Symbol> thisChain, string chainName) { int k = 1; Symbol optSymbol; var enumerator = thisChain.GetEnumerator(); //Debug(" |||||||||||||||||||||||||||||||| NEW OPTION SYMBOL CHAIN |||||||||||||||||||||||||||||||"); //Debug("There are " + thisChain.Count() + " options symbols in this list of chains, " + chainName); while (enumerator.MoveNext()) { optSymbol = enumerator.Current; //Debug("Iterated " + k + " times"); //Debug(optSymbol.Value); //Debug(optSymbol.Value + " " + optSymbol.ID.StrikePrice + " " + optSymbol.ID.Date + " " + optSymbol.ID.OptionRight); k++; } //Debug(" ---------------------------------------------------------------------------------------------"); } // ********************** Iterate Ordered Matrix *********************************************** // *** Generalized function to iterate through and print members of an IEnumerable of Contracts // *** This is used for debugging only tricky part is passing an IOrderedEnumerable into this // **************************************************************************************************** public void IterateOrderedSSQRMatrix(IOrderedEnumerable<SSQRColumn> thisOrdMatrix) { int k = 1; Debug(" |||||||||||||||||||||||||||||||| NEW TRADABLE SSQRMatrix |||||||||||||||||||||||||||||||"); Debug("There are " + thisOrdMatrix.Count() + " columns in this SSQRMatrix."); // 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 Debug(",Ticker,Stock Price,Ex-Date,# Dividends,Dividend,Dollars,Days In,Interest,PExpiry, CExpiry, PutStrike, PutBid, CallStrike, CallAsk, wCStrike, wCallAsk, PutDelta, CallDelta, NetOptions,Net Income,VE Rating, VE Momentum, VE 1 Yr, Haircut,ROC,Upside,Downside,ROR,CCOR, wingFactor, PutSymb, CallSymb"); foreach (SSQRColumn thisColumn in thisOrdMatrix) { //Debug("Iterated " + k + " times"); Debug(thisColumn.description2); //Debug(" "); k++; if (k == 21) break; } } // ********************** Iterate Ordered PutSpread ********************************************** // *** Generalized function to iterate through and print members of an IEnumerable of PutSpreads // *** This is used for debugging only tricky part is passing an IOrderedEnumerable into this // **************************************************************************************************** public void IterateOrderedPutSpreadList(IOrderedEnumerable<PutSpread> thisOrdSpreads) { string logLine = ""; // for writing the logs int k = 1; Debug(" |||||||||||||||||||||||||||||||| NEW TRADABLE PutSpreads List |||||||||||||||||||||||||||||||"); Debug(",¶¶,There are " + thisOrdSpreads.Count() + " PutSpreads in this List."); // 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 //Debug("¶¶,Stock Price, Ex-Date, Trade Date, pExpiry, oldPutSymb, newPutSymb, oldBid, newAsk, oldStrike, newStrike, Open Interst, Div Amt, # Dividends, Div Dollars, stock Incr,Interest,DownSide, Upside, Net Income, NetOptions, Haircut, Descr logLine = ",¶¶"; foreach (PutSpread thisSpread in thisOrdSpreads) { if (k==1){ // iterate field names foreach (var fieldN in typeof(PutSpread).GetFields()) { logLine = logLine + "," + fieldN.Name; } Debug(logLine); logLine = ",¶¶"; //k = k + 1; } foreach (var fieldV in typeof(PutSpread).GetFields()) { if (fieldV.GetType() == typeof(decimal)) { logLine = logLine + "," + String.Format("{0:0.00}", fieldV.GetValue(thisSpread)); } else if (fieldV.GetType() == typeof(DateTime)) { logLine = logLine + "," + String.Format("{0:MM/dd/yy H:mm:ss}", fieldV.GetValue(thisSpread)); } else logLine = logLine + "," + fieldV.GetValue(thisSpread); } Debug(logLine); logLine = ",¶¶"; //Debug("Iterated " + k + " times"); //Debug(thisSpread.description1); //Debug(" "); k++; //if (k == 11) break; } } } }
#region imports using System; using System.Collections.Generic; using System.Linq; using QuantConnect.Util; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Orders; using QuantConnect.Securities; using QuantConnect.Securities.Option; #endregion using QuantConnect.Securities.Option; using System; using System.Collections.Generic; using System.Linq.Expressions; namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { private bool goodThresh2 = false; //////////////////////////////////////////////////////////////////////////////////// // ExecuteTrade //////////////////////////////////////////////////////////////////////////////////// public bool ExecuteTrade(Slice data, SSQRColumn bestSSQRColumn, ref SymbolData symbData, LookupData LD) { thisCCOR = bestSSQRColumn.CCOR; decimal maxWingFactor = 0; decimal thisWingFactor = 0; decimal wingPremium = 0; decimal thisNetOptions = bestSSQRColumn.netOptions; Log($" TD TD TD TD **** LUD check symbol is {LD.uSymbol.Value} and OneYearPriceTarget={LD.decOneYearPriceTarget.ToString("0.00")}"); if (haltProcessing) { //if (doDeepTracing) Log(" Logging ExecuteTheTrade() "); } //goodThresh = (thisCCOR >= CCORThresh); goodThresh = true; if (goodThresh) { sharesToBuy = Math.Truncate(LUD.unitRiskAmt/(bestSSQRColumn.callStrike - bestSSQRColumn.stockPrice - bestSSQRColumn.netOptions)); // use +NetOptions. netOptions is calculated as an expense in the SSQR potential SSQRColumn.P&L sharesToBuy = sharesToBuy - sharesToBuy % 100; sharesToBuy = -sharesToBuy; optionsToTrade = sharesToBuy/100; //callsToTrade = Decimal.Round(optionsToTrade * bestSSQRColumn.putPremium / bestSSQRColumn.callPremium); /// legacy VCCPTS code //Log(tradableColumn.ToString()); Symbol tradablePut = bestSSQRColumn.putSymbol; Symbol tradableCall = bestSSQRColumn.callSymbol; Symbol tradableWCall = bestSSQRColumn.wCallSymbol; if (bestSSQRColumn.putSymbol!=null && bestSSQRColumn.putStrike - Securities[tradablePut].AskPrice > stockPrice) // make sure that no one can buy the option for less than the stock { if (doDeepTracing) Log($"@E@E@E@E@E@E EXERCISE PREVENTION FADE FOR {bestSSQRColumn.uSymbol} @E@E@E@E@E@E"); if (doDeepTracing) Log("@E@E@E@E@E@E Put ASK: " + Securities[tradablePut].AskPrice + " Strike: " + bestSSQRColumn.putStrike + " Stock Price: " + stockPrice +" @E@E@E@E@E@E"); if (doDeepTracing) Log("@E@E@E@E@E@E @E@E@E@E@E@E @E@E@E@E@E@E @E@E@E@E@E@E"); return false; } if (doTracing) Log($"@E@E@E@E@E@E EXECUTING COVERED CALL INITIALIZATION FOR {bestSSQRColumn.uSymbol} @E@E@E@E@E@E with {sharesToBuy.ToString()} shares and {optionsToTrade.ToString()}."); //tradeRecCount = tradeRecCount + 1; // increment trade record count symbData.intTPRCntr += 1; //collarIndex = collarIndex + 1; doTheTrade = true; var stockTicket = MarketOrder(bestSSQRColumn.uSymbol, sharesToBuy); if (stockTicket.Status == OrderStatus.Filled) { didTheTrade = true; //if (!string.IsNullOrEmpty(strFilterTkr)) Plot("Stock Chart", "Buys", stockTicket.AverageFillPrice + 5); // make a new TradePerfRec TradePerfRec thisNewCollar = new TradePerfRec(); thisNewCollar.strtngCndtn = "INITIAL COLLAR"; thisNewCollar.isOpen = true; thisNewCollar.isInitializer = true; thisNewCollar.tradeRecCount = collarIndex; thisNewCollar.index = symbData.intTPRCntr;; thisNewCollar.startDate = data.Time; thisNewCollar.expDate = bestSSQRColumn.callExpiry; thisNewCollar.thetaExpiration = bestSSQRColumn.callExpiry; thisNewCollar.uSymbol = bestSSQRColumn.uSymbol; thisNewCollar.cSymbol = tradableCall; thisNewCollar.pSymbol = tradablePut; thisNewCollar.wcSymbol = tradableWCall; thisNewCollar.uStartPrice = stockTicket.AverageFillPrice; thisNewCollar.pStrike = bestSSQRColumn.putStrike; thisNewCollar.cStrike = bestSSQRColumn.callStrike; thisNewCollar.wcStrike = bestSSQRColumn.wCallStrike; thisNewCollar.uQty = (int)stockTicket.QuantityFilled; thisNewCollar.ROR = bestSSQRColumn.ROR; thisNewCollar.ROC = bestSSQRColumn.ROC; thisNewCollar.CCOR = bestSSQRColumn.CCOR; thisNewCollar.RORThresh = RORThresh; thisNewCollar.ROCThresh = ROCThresh; thisNewCollar.CCORThresh = CCORThresh; //thisNewCollar.tradeCriteria = switchROC ? "ROC" : "ROR"; thisNewCollar.tradeCriteria = symbData.VECase; //thisNewCollar.stockADX = 0; //lastAdx; //thisNewCollar.stockADXR = 0; //lastAdxr; //thisNewCollar.stockOBV = 0; //lastObv; //thisNewCollar.stockAD = lastAd; //thisNewCollar.stockADOSC = lastAdOsc; //thisNewCollar.stockSTO = lastSto; //thisNewCollar.stockVariance = lastVariance; thisNewCollar.SSQRnetProfit = stockTicket.QuantityFilled * bestSSQRColumn.netIncome; thisNewCollar.VERating = LD.intVERating; thisNewCollar.momentum = LD.decMomentum; thisNewCollar.oneYearPriceTarget = LD.decOneYearPriceTarget; thisNewCollar.momentumRank = LD.intMomentumRank; doTheTrade = true; if(bestSSQRColumn.callSymbol!=null){ if (thisNewCollar.cStrike < thisNewCollar.uStartPrice) { var limitPrice = (Securities[tradableCall].AskPrice - Securities[tradableCall].BidPrice) / 2M; // get the mid point for the limit price var callTicket = LimitOrder(tradableCall, -optionsToTrade, limitPrice); // sell limit order thisNewCollar.cQty = -(int)optionsToTrade; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = callTicket; oLO.tpr = thisNewCollar; oLO.oRight = OptionRight.Call; oLOs.Add(oLO); //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice; } else { var callTicket = MarketOrder(tradableCall, -optionsToTrade); if (callTicket.Status == OrderStatus.Filled) { thisNewCollar.cStartPrice = callTicket.AverageFillPrice; thisNewCollar.cQty = (int)callTicket.QuantityFilled; } } } //if(bestSSQRColumn.wCallSymbol!=null) thisWingFactor = bestSSQRColumn.wingFactor; //var putTicket = MarketOrder(tradablePut, (1 + thisWingFactor) * optionsToTrade); if(bestSSQRColumn.putSymbol!=null) { if (thisNewCollar.pStrike > thisNewCollar.uStartPrice) { var limitPrice = (Securities[tradablePut].AskPrice - Securities[tradablePut].BidPrice) / 2M; // get the mid point for the limit price var putTicket = LimitOrder(tradablePut, -optionsToTrade, limitPrice); // sell limit order thisNewCollar.pQty = -(int)optionsToTrade; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = putTicket; oLO.tpr = thisNewCollar; oLO.oRight = OptionRight.Put; oLOs.Add(oLO); } else { var putTicket = MarketOrder(tradablePut, optionsToTrade); if (putTicket.Status == OrderStatus.Filled) { thisNewCollar.pStartPrice = putTicket.AverageFillPrice; thisNewCollar.pQty = (int)putTicket.QuantityFilled; } } } /* if (thisWingFactor > 0) { var wCallTicket = MarketOrder(tradableWCall, thisWingFactor * optionsToTrade); if (wCallTicket.Status == OrderStatus.Filled) { thisNewCollar.wcStartPrice = wCallTicket.AverageFillPrice; thisNewCollar.wcQty = (int)wCallTicket.QuantityFilled; } } */ doTheTrade = true; tradeRecs.Add(thisNewCollar); if (doTracing) Log("@E@E@E@E@E@E - ADDING A VE 3-4-5 TPR "); } // marketOrder(bestSSQRColumn.uSymbol) == filled } // goodThresh is TRUE return true; } /////////////////////////////////////////////////////////////////////////////////// // Close2ndTPR //////////////////////////////////////////////////////////////////////////////////// public void Close2ndTPR (TradePerfRec closeRec, DateTime closeDate, string reason) { decimal limitPrice = 0; if (haltProcessing) { //Log(" Logging Close2ndTPR "); } doTheTrade = true; var stockTicket = MarketOrder(closeRec.uSymbol, -closeRec.uQty); // sell the stock //if (doDeepTracing) Debug(" C2 ** MARKET ORDER TO SELL " + closeRec.uQty.ToString() + " shares of " + closeRec.uSymbol + " at the market."); //if (doDeepTracing) Log(" C2 ** C2 ** STARTING CLOSE2ndTPR PROCESSING ** C2 ** C2 "); //if (doDeepTracing) Log(" -- "); if (doDeepTracing) { foreach(var kvp in Securities) /// make sure there's no leaking of abandoned stocks or options { var security = kvp.Value; if (security.Invested) { //saveString = "," + security.Symbol + ", " + security.Holdings.Quantity + Environment.NewLine; //Log($" |||| HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}"); } } } if (stockTicket.Status == OrderStatus.Filled) { //closeRec.isOpen = false; tprsToClose.Add(closeRec); closeRec.uEndPrice = stockTicket.AverageFillPrice; //if (symbFilter != null) Plot("Stock Chart", "Sells", stockTicket.AverageFillPrice + 1); //if (symbFilter != null) Plot("Stock Chart", "PTSs", divPlotValue); tradeRecCount = 0; // reset trade record count } doTheTrade = true; closePutTicket = MarketOrder(closeRec.pSymbol, -closeRec.pQty); // sell the puts if (closePutTicket.Status == OrderStatus.Filled) { closeRec.pEndPrice = closePutTicket.AverageFillPrice; } closeRec.reasonForClose = reason; closeRec.endDate = closeDate; // set the end date of this collar //if (doDeepTracing) Log(" C2 ** C2 ** C2 ** C2 ** CLOSED 2nd TPR ** C2 ** C2 ** C2 ** C2 ** C2 ** "); //if (doDeepTracing) Log("-"); } /////////////////////////////////////////////////////////////////////////////////// // KillTheCollar //////////////////////////////////////////////////////////////////////////////////// public bool KillTheCollar(TradePerfRec killRec, ref LookupData LUD, string reason, bool force, bool isStock) { bool bKTC = false; // controls Main.cs foreach TPR routine -- exit the for loop if .isOpen is changed. decimal limitPrice = 0; //decimal currUPrice = Securities[killRec.uSymbol].Price; if (LUD.haltProcessing) { // Log(" logging kill rec on bad date"); } try { if (Securities[killRec.uSymbol].HasData) { var tryPrice = Securities[killRec.uSymbol].Price; if (tryPrice == null) { Debug($" KK ** KK ::: UNABLE TO FIND A STOCK PRICE IN PACKAGE KILL PROCESS FOR {killRec.uSymbol.Value}. "); return false; } decimal currUPrice = Convert.ToDecimal(tryPrice); killRec.uEndPrice = currUPrice; //2023-04-11 :: INSERTED THIS HERE TO FORCE uEndPrice } else { Debug($" KK ** KK ::: UNABLE TO FIND A STOCK DATA IN PACKAGE KILL PROCESS FOR {killRec.uSymbol.Value}. "); return false; } } catch (Exception excpt) { if (LUD.doTracing) Debug($" KK ** KK ** {excpt} for {killRec.uSymbol} at {CurrentSlice.Time.ToShortTimeString()} on {CurrentSlice.Time.ToShortDateString()}"); return bKTC; } decimal currPPrice = killRec.pSymbol != null ? Securities[killRec.pSymbol].BidPrice : 0; decimal currCPrice = killRec.cSymbol != null ? Securities[killRec.cSymbol].AskPrice : 0; decimal currWCPrice = killRec.wcSymbol != null ? Securities[killRec.wcSymbol].BidPrice : 0; decimal stockPrice = Securities[killRec.uSymbol].Price; if (doDeepTracing) Log($" KK ** STARTING KILLTHECOLLAR PROCESSING FOR {killRec.uSymbol} "); if (doDeepTracing) Log(" -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- --"); if (doDeepTracing & force) Log($" KK ** KK ** FORCING PACKAGE KILL FOR "); if (force) goto noExercise; /* if (doDeepTracing) { foreach(var kvp in Securities) /// make sure there's no leaking of abandoned stocks or options { var security = kvp.Value; if (security.Invested) { //saveString = "," + security.Symbol + ", " + security.Holdings.Quantity + Environment.NewLine; // Log($" |||| HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}"); } } // Log($" |||| SELL OPTS P&L: " + String.Format("{0:0.00}", currSellPnL)); // Log($" |||| Exrcs PUT P&L: " + String.Format("{0:0.00}", currExrcsPutPnL)); // Log($" |||| Exrcs CALL P&L: " + String.Format("{0:0.00}", currExrcsCallPnL)); } */ doTheTrade = true; // determine if this is an ITM call or ITM put and within 1 day of expiry if (killRec.cSymbol != null && stockPrice >= callStrike && LUD.daysRemainingP <= 1) { /// ITM CALL -- Exercise or sell // determine if it's more expensive to sell or exercise ***** remember, killRec.cQty is negative for collars (sold calls) if (killRec.currExrcsPutPnL > killRec.currSellPnL) { // for an ITM PUT, both costs should be negative if (doDeepTracing) Log($" KK ** KK ** KK ** EXERCISING PUTS IN KILLTHECOLLAR FOR {thisSymbol}"); if (killRec.cSymbol != null) { // Exercise the CALLs. Let longer expiry calls ride to attempt theta decay -- create a "theta TPR" to track and manage call //var shrtCall = (Option)Securities[killRec.cSymbol]; //TimeSpan daysToCallExpiry = shrtCall.Expiry.Subtract(killDate); /*if (daysToCallExpiry.Days > 10 ) { Log(" OO CALL " + shrtCall + " EXPIRES IN " + daysToCallExpiry.Days + "DAYS. CREATING THETA TPR."); // create a thetaTPR to move the call data and track it. Buy it back when theta decays. TradePerfRec newThTPR = new TradePerfRec(); newThTPR.uSymbol = killRec.uSymbol; newThTPR.index = killRec.index; newThTPR.isOpen = true; newThTPR.isInitializer = true; newThTPR.isSecondary =false; newThTPR.isTheta = true; newThTPR.startDate = killRec.startDate; newThTPR.strtngCndtn = "SPINNING OFF THETA CALLS"; newThTPR.expDate = shrtCall.Expiry; newThTPR.cSymbol = killRec.cSymbol; newThTPR.cStrike = killRec.cStrike; newThTPR.cQty = killRec.cQty; newThTPR.cStartPrice = killRec.cStartPrice; newThTPR.tradeCriteria = killRec.tradeCriteria; tradeRecs.Add(newThTPR); killRec.cSymbol = null; // eliminate the call from the existint TPR killRec.cStartPrice = 0; killRec.cQty = 0; } else { */ if (doDeepTracing) Debug(" KK ** KK ** BUYING BACK SHORT PUTS IN KILLTHECOLLAR CALL EXERCISE ** KK ** KK "); if (killRec.pQty != 0){ closePutTicket = MarketOrder(killRec.pSymbol, -killRec.pQty); // buy the puts if (doDeepTracing) Log(" KK ** KK ** KK ** MARKET ORDER TO BUY " + killRec.pQty.ToString() + " contracts of " + killRec.pSymbol + " at the market."); if (doDeepTracing) Log("-"); if (closePutTicket.Status == OrderStatus.Filled) { killRec.pEndPrice = closePutTicket.AverageFillPrice; } } ///// killRec.cSymbol != null } //if (doDeepTracing) Log(" ------- "); //if (doDeepTracing) Log(" KK ** KK ** EXERCISING PUTS IN KILLTHECOLLAR ** KK ** KK "); closeCallTicket = ExerciseOption(killRec.cSymbol, killRec.cQty); /// underlying will be closed in onOrder() event killRec.grossPnL = killRec.currExrcsCallPnL; /// log the PnL used in runtime decision bestSSQRColumn = new SSQRColumn(); bKTC = true; return bKTC; } else { //// ITM PUT but more profitable to sell the collar if (doDeepTracing) Log(" KK ** KK ** ITM CALL MORE PROFITABLE TO SELL COLLAR THAN EXERCISE ** KK ** KK"); goto noExercise; } } else { /// ITM CALL ON LAST DAY -->> GET HERE IF CALL IS OTM OR THERE IS NO CALL if (doDeepTracing) Log(" KK ** KK ** OTM CALL -- CHECKING CALL MONEY ** KK ** KK "); } if (killRec.pSymbol != null && stockPrice <= putStrike && LUD.daysRemainingC <= 1) { if (doDeepTracing) Log(" KK ** KK ** CHECKING PUT STRATEGY P&L ** KK ** TT "); killRec.grossPnL = killRec.currExrcsPutPnL; // log the PnL used in runtime decision if (killRec.currExrcsPutPnL > killRec.currSellPnL) { // for an ITM CALL, both costs should be positive //if (doDeepTracing) Log(" KK ** KK ** EXIT KILLTHECOLLAR AND AWAIT CALL EXERCISE** KK ** TT "); if (doDeepTracing) Log(" KK ** KK ** KK ** ITM PUT AWAITING LEAN EXERCISE -- CLOSING POSITIONS IN OnOrder() Processing "); bKTC = true; return bKTC; } else { if (doDeepTracing) Log(" KK ** KK ** KK ** ITM PUT MORE PROFITABLE TO SELL COLLAR THAN EXERCISE"); goto noExercise; } } else { // ITM CAll and 3rd Friday if (doDeepTracing) Log(" KK ** KK ** KK ** OTM CALL -- POSITIONS IN KILLTHECOLLAR "); } //if OTM or it's less costly to execute orders, then do so here. if (doDeepTracing) Log(" KK ** KK ** KK ** KK ** OTM PUT AND CALL -- LIQUIDATE HERE IN KILLTHECOLLAR"); noExercise: var stockTicket = MarketOrder(killRec.uSymbol, -killRec.uQty); // sell the stock if (doDeepTracing) Log(" KK ** KK ** KK ** MARKET ORDER TO SELL " + killRec.uQty.ToString() + " shares of " + killRec.uSymbol + " at the market."); // Log the sale bKTC = true; if (stockTicket.Status == OrderStatus.Filled) { if (doDeepTracing) Log(" KK ** KK ** KK ** KK ** UPDATING TPR.U END PRICE AND SDBS.ISROLLABLE ** KK ** KK"); // Log the UPDATING /// add the killTPR to TPRS to close; tprsToClose.Add(killRec); killRec.uEndPrice = stockTicket.AverageFillPrice; killRec.reasonForClose = reason; killRec.endDate = CurrentSlice.Time; // set the end date of this collar killRec.grossPnL = currSellPnL; // for logging and analysis of runtime conditions if (isStock) { symbolDataBySymbol[killRec.uSymbol].intTPRCntr = 0; //// reset the SYMBOL DATA COUNTER -- should be redundant symbolDataBySymbol[killRec.uSymbol].isRollable = false; //// 2023-02-08 Found that some orders are so delayed that the Symbol is not removed from SDBS SymbolsToRemove.Add(killRec.uSymbol); } else { etfDataBySymbol[killRec.uSymbol].intTPRCntr = 0; //// reset the SYMBOL DATA COUNTER -- should be redundant //etfDataBySymbol[killRec.uSymbol].isRollable = false; //// ETFs are always available to be traded based upon relative momentum //SymbolsToRemove.Add(killRec.uSymbol); //// ETFs are fixed and always prospects } //if (symbFilter != null) Plot("Stock Chart", "Sells", stockTicket.AverageFillPrice + 1); tradeRecCount = 0; // reset trade record count } doTheTrade = true; if (doDeepTracing) Log(" KK ** KK ** KK ** KK ** SOLD UNDERLYING -- WORKING OPTION ** KK ** KK ** KK ** KK ** KK ** "); if (killRec.pSymbol != null) { // Buy back any PUTS if possible var shrtPut = (Option)Securities[killRec.pSymbol]; if (doDeepTracing) Log(" KK ** Stock Price: " + stockPrice.ToString() + " Call Bid/Offer: " + Securities[killRec.pSymbol].BidPrice.ToString() + "/" + Securities[killRec.pSymbol].AskPrice.ToString()); // -- if dealing with theta TPR use LUD.daysRemainingC not *** //TimeSpan daysToCallExpiry = shrtCall.Expiry.Subtract LUD.dtTst); /*if (daysToCallExpiry.Days > 10 ) { Log(" OO CALL " + shrtCall + " EXPIRES IN " + daysToCallExpiry.Days + ". CREATING THETA TPR."); // create a thetaTPR to move the call data and track it. Buy it back when theta decays. TradePerfRec newThTPR = new TradePerfRec(); newThTPR.uSymbol = killRec.uSymbol; newThTPR.index = killRec.index; newThTPR.isOpen = true; newThTPR.isInitializer = true; newThTPR.isSecondary = true; newThTPR.isTheta = true; newThTPR.startDate = killRec.startDate; newThTPR.strtngCndtn = "SPINNING OFF THETA CALLS"; newThTPR.expDate = shrtCall.Expiry; newThTPR.cSymbol = killRec.cSymbol; newThTPR.cQty = killRec.cQty; newThTPR.cStartPrice = killRec.cStartPrice; newThTPR.tradeCriteria = killRec.tradeCriteria; tradeRecs.Add(newThTPR); killRec.cSymbol = null; // eliminate the call from the existint TPR killRec.cStartPrice = 0; killRec.cQty = 0; } else */ if (killRec.pStrike >= stockPrice) { /// ITM Put -- use limit order limitPrice = stockPrice - killRec.pStrike + 0.10M; killRec.pEndPrice = killRec.pStrike - stockPrice; /// /// 2023-04-23 ::: FORCED pEndPrice to Moneyness closePutTicket = LimitOrder(killRec.pSymbol, -killRec.pQty, limitPrice); OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closePutTicket; oLO.tpr = killRec; oLO.oRight = OptionRight.Put; oLOs.Add(oLO); if (doDeepTracing) Log(" KK ** LIMIT ORDER TO BUY TO CLOSE SHORT PUT " + killRec.pQty.ToString() + " contracts of " + killRec.pSymbol + " at " + limitPrice.ToString()); } else { closePutTicket = MarketOrder(killRec.pSymbol, -killRec.pQty); // buy the puts if (doDeepTracing) Log(" KK ** KK ** MARKET ORDER TO BUY TO CLOSE SHORT CALL" + killRec.pQty.ToString() + " contracts of " + killRec.pSymbol + " at the market."); if (closePutTicket.Status == OrderStatus.Filled) { killRec.pEndPrice = closePutTicket.AverageFillPrice; } } } //if (doDeepTracing) Log("---------------------------------------"); if(killRec.cSymbol != null) { if (killRec.cStrike <= stockPrice) /// ITM CALL -- use limit order { limitPrice = stockPrice - killRec.cStrike + 0.10M; closeCallTicket = LimitOrder(killRec.cSymbol, -killRec.cQty, limitPrice); // sell the puts OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closeCallTicket; oLO.tpr = killRec; oLO.oRight = OptionRight.Call; oLOs.Add(oLO); if (doDeepTracing) Log($" KK ** LIMIT ORDER TO SELL TO CLOSE {killRec.cQty.ToString()} contracts of {killRec.cSymbol.Value} at {limitPrice.ToString()}"); //if (doDeepTracing) Log("-"); } else { closeCallTicket = MarketOrder(killRec.cSymbol, -killRec.cQty); // sell the puts if (doDeepTracing) Log($" KK ** KK ** MARKET ORDER TO SELL TO CLOSE {killRec.cQty.ToString()} contracts of {killRec.cSymbol.Value} at the market." ); if (doDeepTracing) Log("-"); if (closeCallTicket.Status == OrderStatus.Filled) { killRec.cEndPrice = closeCallTicket.AverageFillPrice; if (doDeepTracing) Log(" KK ** KK ** KK ** UPDATING CALL PRICE TO " + killRec.cEndPrice + " ** KK ** KK"); } return bKTC; } } // /// /// /// killRec.pSymbol != null /* if (killRec.wcSymbol != null && killRec.wcQty != 0 && killRec.wcEndPrice == 0) { if (killRec.wcStrike < stockPrice) /// ITM Put -- use limit order { limitPrice = stockPrice - killRec.wcStrike + 0.10M; //if (doDeepTracing) Log(" KK ** LIMIT ORDER TO SELL TO CLOSE WING " + killRec.wcQty.ToString() + " contracts of " + killRec.wcSymbol + " at " + limitPrice.ToString()); closeWCallTicket = LimitOrder(killRec.wcSymbol, -killRec.wcQty, limitPrice); // sell the wing calls OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closeWCallTicket; oLO.tpr = killRec; oLO.oRight = OptionRight.Call; oLO.isWingCall = true; oLOs.Add(oLO); //if (doDeepTracing) Log("-"); } else { closeWCallTicket = MarketOrder(killRec.wcSymbol, -killRec.wcQty); // sell the puts //if (doDeepTracing) Log(" KK ** LIMIT ORDER TO SELL TO CLOSE WING " + killRec.wcQty.ToString() + " contracts of " + killRec.wcSymbol + " at " + limitPrice.ToString()); //if (doDeepTracing) Log("-"); //} if (closeWCallTicket.Status == OrderStatus.Filled) { killRec.wcEndPrice = closePutTicket.AverageFillPrice; //if (doDeepTracing) Log(" KK ** UPDATING WING END PRICE TO " + killRec.wcEndPrice + " ** KK ** KK"); } } */ return bKTC; //if (doDeepTracing) Log("-"); } /////////////////////////////////////////////////////////////////////////////////// // RollCallDown //////////////////////////////////////////////////////////////////////////////////// public bool RollCallDown(SSQRColumn bestSSQRColumn, ref LookupData LUD, TradePerfRec oldTPR, decimal sPrice, bool isCollar){ int rollQty = oldTPR.cQty; // change in qty, difference between total stock and covered stock = uncovered stock == amount to roll up. int findYear = CurrentSlice.Time.Year; int findMonth = CurrentSlice.Time.Month; OrderTicket closePutTicket; // used to close the open puts OrderTicket rollPutTicket; // used to open (roll up) new puts OrderTicket closeCallTicket; OrderTicket rollCallTicket; if (LUD.doTracing) Log(" RP ** RP ** RP ** Logging ROLLCALL RR ** RR ** RR **"); // Compute the 3rd Friday of this month [options expiration] ---> do not adjust for potential holiday here DateTime thisMonthExpiry = FindDay(findYear, findMonth, DayOfWeek.Friday, 3); /* if (oldTPR.isSecondary) { // close secondary tickets only if (oldTPR.pStrike > sPrice & forceAction) { oldTPR.reasonForClose = "FAILED TO OBTAIN PUT ROLL SPREAD"; var putExerciseTicket = ExerciseOption(oldTPR.pSymbol, oldTPR.pQty); } else if (oldTPR.pStrike < sPrice & forceAction) { Close2ndTPR(oldTPR, slcData.Time, " CLOSING 2nd TPR at Expiration with stock @: " + String.Format("{0:C2}", sPrice)); } //if (doDeepTracing) Log(" ************** END 2nd TPR ITM PUT CALC ****************"); //if (doDeepTracing) Log("-"); } if (symbFilter != null) Plot("Stock Chart", "PTSs", divPlotValue); return bKTC; // loop around and try again } */ symbolDataBySymbol[oldTPR.uSymbol].intTPRCntr =+ 1; //if (doDeepTracing) Log(" RP ** MARKET ORDER TO SELL " + rollQty + " contracts of " + oldTPR.pSymbol + " at market"); closeCallTicket = MarketOrder(oldTPR.cSymbol, -rollQty); // sell the puts //if (doDeepTracing) Log(" RP ** MARKET ORDER TO BUY " + rollQty + " contracts of " + bestPutSpread.newPutSymb + " at market"); rollCallTicket = MarketOrder(bestSSQRColumn.callSymbol, rollQty); // buy the higher puts // first adjust the old tradePerfRec to decrement pQty and uQty. It remains open to be processed for the remaining covered, collared stock. TradePerfRec newTPR1 = new TradePerfRec(); // create a tradePerfRec #1 for the puts sold, solely to log their P/L (including underlying unrealized P/L). // TradePerfRec newTPR2 = new TradePerfRec(); // create a TradePerfRec #2 for the new Synthetic Call (stock-covered puts) //////////////////////////////////////////////////////////////////////////////////////////////////////////////////// // // // NOTE: THIS CODE MAY CLONE THE OLDTPR... DOES IT COPY SYMBOLS PROPERLY? //////////////////////////////////////////////////////////////////////////////////////////////////////////////////// /* foreach (var field in typeof(TradePerfRec).GetFields()) // copy oldTPR to newTPR1 { field.SetValue(newTPR1, field.GetValue(oldTPR)); } */ //TradePerfRec rolledPutTPR = this.MemberwiseClone(); //symbolDataBySymbol[oldTPR.uSymbol].intTPRCntr += 1; if (closeCallTicket.Status == OrderStatus.Filled) { oldTPR.cEndPrice = closeCallTicket.AverageFillPrice; } oldTPR.uEndPrice = sPrice; oldTPR.endDate = CurrentSlice.Time; newTPR1.uSymbol = oldTPR.uSymbol; // newTPR1 for the uncovered synthetic call (put + stock) portion of the original collar newTPR1.index = symbolDataBySymbol[oldTPR.uSymbol].intTPRCntr; // maintain collarIndex throughout the entire sequence of collars and synthCalls newTPR1.uQty = oldTPR.uQty; // log the starting and ending values and close the TradePerfRec newTPR1.uStartPrice = oldTPR.uStartPrice; newTPR1.uEndPrice = 0; newTPR1.cSymbol = bestSSQRColumn.callSymbol; newTPR1.cStrike = bestSSQRColumn.callStrike; //newTPR1.pSymbol = bestSSQRColumn.putSymbol; //newTPR1.pStrike = bestSSQRColumn.putStrike; newTPR1.expDate = bestSSQRColumn.callExpiry; newTPR1.cQty = rollQty; newTPR1.startDate = CurrentSlice.Time; newTPR1.isInitializer = false; newTPR1.isSecondary = false; newTPR1.numDividends = 0; newTPR1.divIncome = 0; newTPR1.tradeRecCount = oldTPR.tradeRecCount + 1; newTPR1.ROR = oldTPR.ROR; newTPR1.ROC = oldTPR.ROC; newTPR1.CCOR = oldTPR.CCOR; newTPR1.tradeCriteria = oldTPR.tradeCriteria; newTPR1.strtngCndtn = "PUT ROLL UP" + (bestSSQRColumn.callSymbol!=null ? " WITH PERK CALL" : ""); if (rollCallTicket.Status == OrderStatus.Filled) { newTPR1.cStartPrice = rollCallTicket.AverageFillPrice; } oldTPR.reasonForClose = $"P ROLL DOWN STOCK DEPRECIATION: {oldTPR.uSymbol.Value} : {String.Format("{0:0.00}",sPrice-oldTPR.uStartPrice)} COSTINg {(newTPR1.cStartPrice - oldTPR.cEndPrice).ToString()}"; if (doDeepTracing) Log($" RP ** RP ** CREATING NEW TPR IN ROLL PUT UP PROCESSING ** RP ** RP "); if (doDeepTracing) Log($" RP ** RP ** {oldTPR.uSymbol.Value} ** RP ** RP "); if (doDeepTracing) Log($" RP ** Appreciation: {String.Format("{0:0.00}",sPrice-oldTPR.uStartPrice)} COSTING {(newTPR1.cStartPrice - oldTPR.cEndPrice).ToString()} ** RP ** RP "); newTPR1.VERating = LUD.intVERating; newTPR1.momentum = LUD.decMomentum; newTPR1.oneYearPriceTarget = LUD.decOneYearPriceTarget; newTPR1.momentumRank = LUD.intMomentumRank; newTPR1.uStartPrice = sPrice; // set the newTPR.uPrice to 0-delta current sPrice if(isCollar & oldTPR.pSymbol!=null){ // buy back old calls /// NOTE: NEED TO VERIFY THIS SITUATION IS HANDLED PROPERLY if (oldTPR.pStrike > sPrice) { var limitPrice = (Securities[oldTPR.pSymbol].AskPrice - Securities[oldTPR.pSymbol].BidPrice) / 2M; // get the mid point for the limit price closePutTicket = LimitOrder(oldTPR.pSymbol, -oldTPR.pQty, limitPrice); // sell limit order oldTPR.pEndPrice = oldTPR.pStrike - sPrice; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closePutTicket; oLO.tpr = oldTPR; oLO.oRight = OptionRight.Put; oLOs.Add(oLO); //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice; } else { closePutTicket = MarketOrder(oldTPR.pSymbol, -oldTPR.pQty); if (closePutTicket.Status == OrderStatus.Filled) { oldTPR.pEndPrice = closePutTicket.AverageFillPrice; } } if (bestSSQRColumn.putSymbol!=null && doDeepTracing) Log($" RP ** RP ** SELL {oldTPR.pQty.ToString()} NEW CALLS {bestSSQRColumn.putSymbol.Value} ** RP ** RP "); } if(bestSSQRColumn.putSymbol!=null){ // sell calls to generate income /// NOTE: NEED TO VERIFY THIS SITUATION IS HANDLED PROPERLY newTPR1.pStrike = bestSSQRColumn.putStrike; newTPR1.thetaExpiration = bestSSQRColumn.putExpiry; newTPR1.pSymbol = bestSSQRColumn.putSymbol; newTPR1.pQty = -rollQty; if (bestSSQRColumn.putStrike > newTPR1.uStartPrice) { var limitPrice = (Securities[bestSSQRColumn.putSymbol].AskPrice - Securities[bestSSQRColumn.putSymbol].BidPrice) / 2M; // get the mid point for the limit price rollPutTicket = LimitOrder(bestSSQRColumn.putSymbol, -rollQty, limitPrice); // sell limit order OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = rollPutTicket; oLO.tpr = newTPR1; oLO.oRight = OptionRight.Put; oLOs.Add(oLO); //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice; } else { rollPutTicket = MarketOrder(bestSSQRColumn.putSymbol, -rollQty); if (rollPutTicket.Status == OrderStatus.Filled) { newTPR1.pStartPrice = rollPutTicket.AverageFillPrice; newTPR1.pQty = (int)rollPutTicket.QuantityFilled; } } if (doDeepTracing) Log($" RP ** RP ** ROLLING COLLAR CALLS ** RP ** RP "); if (doDeepTracing) Log($" RP ** RP ** BUYING: {(oldTPR.pSymbol!=null ? oldTPR.pSymbol.Value : "-- no put --")} | SELLING: {(bestSSQRColumn.putSymbol != null ? bestSSQRColumn.putSymbol.Value : "-- no put--") } ** RP ** RP "); if (doDeepTracing) Log($" RP ** Call Appreciation: {(oldTPR.pSymbol != null ? String.Format("{0:0.00}",Securities[oldTPR.pSymbol].AskPrice - oldTPR.pStartPrice) : "-- NA --")} COSTING {(oldTPR.pSymbol != null ? (Securities[newTPR1.pSymbol].BidPrice - Securities[oldTPR.pSymbol].AskPrice).ToString() : newTPR1.pStartPrice)} ** RP ** RP "); } if (doDeepTracing) Log(" -- "); if (doTracing) Log(" RP ** RP ** END PUT UP ** RP ** RP ** "); tprsToClose.Add(oldTPR); tprsToOpen.Add(newTPR1); return true; } /////////////////////////////////////////////////////////////////////////////////// // RollTheCollar //////////////////////////////////////////////////////////////////////////////////// public bool RollTheCollar(LookupData LUD, TradePerfRec oldTradeRec, ref SSQRColumn bestSSQRColumn, string reason) { Slice data = CurrentSlice; decimal stockPrice = Securities[LUD.uSymbol].Price; thisCCOR = bestSSQRColumn.CCOR; decimal thisNetOptions = bestSSQRColumn.netOptions; decimal limitPrice = 0; OrderTicket closeCallTicket; OrderTicket closePutTicket; OrderTicket callTicket; if (haltProcessing) { //if (doDeepTracing) Log(" Logging ROLL "); } //if (symbFilter != null) Plot("Stock Chart", "Rolls", stockPrice + 5); Symbol oldShortCallSymb = oldTradeRec.cSymbol; Symbol oldLongPutSymb = oldTradeRec.pSymbol; Symbol oldWCCallSymb = oldTradeRec.wcSymbol; // Cannot execute options spread orders at this time in QuantConnect, so do the collar as // individual legs // 1st sell the long put if (doDeepTracing) Debug(" ROLLING ** STARTING ** ROLLING ** STARTING ** ROLLING ** STARTING ** ROLLING ** STARTING ** ROLLING ** STARTING ** "); doTheTrade = true; //if (doDeepTracing) Log(" -- "); if (doDeepTracing) { foreach(var kvp in Securities) /// make sure there's no leaking of abandoned stocks or options { var security = kvp.Value; if (security.Invested) { //saveString = "," + security.Symbol + ", " + security.Holdings.Quantity + Environment.NewLine; //Log($" |||| HOLDINGS: {security.Symbol} : {security.Holdings.Quantity} @ {security.BidPrice} by {security.AskPrice}"); } } // Log($" |||| SELL OPTS P&L: " + String.Format("{0:0.00}", currSellPnL)); // Log($" |||| Exrcs PUT P&L: " + String.Format("{0:0.00}", currExrcsPutPnL)); // Log($" |||| Exrcs CALL P&L: " + String.Format("{0:0.00}", currExrcsCallPnL)); } if (oldTradeRec.cStrike <= stockPrice) /// ITM Call -- use limit order to close { limitPrice = stockPrice - oldTradeRec.cStrike + 0.10M; if (doDeepTracing) Log(" @R @R @R LIMIT ORDER TO SELL " + oldTradeRec.cQty.ToString() + " contracts of " + oldTradeRec.cSymbol + " at " + limitPrice.ToString()); closeCallTicket = LimitOrder(oldTradeRec.cSymbol, -oldTradeRec.cQty, limitPrice); // sell the callse // closeCallTicket = MarketOrder(oldTradeRec.cSymbol, -oldTradeRec.cQty); // sell the calls oldTradeRec.cEndPrice = stockPrice - oldTradeRec.cStrike; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closeCallTicket; oLO.tpr = oldTradeRec; oLO.oRight = OptionRight.Call; oLOs.Add(oLO); //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice; } else { if (doDeepTracing) Log(" @R @R @R @R MARKET ORDER TO SELL TO CLOSE " + oldTradeRec.cQty.ToString() + " contracts of " + oldTradeRec.cSymbol + " at market"); closeCallTicket = MarketOrder(oldTradeRec.cSymbol, -oldTradeRec.cQty); // sell the calls } if (closeCallTicket.Status == OrderStatus.Filled) { oldTradeRec.cEndPrice = closeCallTicket.AverageFillPrice; if (doDeepTracing) Log(" @R @R @R @R UPDATING PUT " + oldTradeRec.cSymbol + " END PRICE @ " + oldTradeRec.cEndPrice ); } if (doDeepTracing) Log("-"); // 2nd, buy back the long call doTheTrade = true; if(oldTradeRec.pSymbol != null){ if (oldTradeRec.pStrike >= stockPrice) /// ITM PUT -- use limit order { /// PUT QTY should be negative from the opening short trade limitPrice = oldTradeRec.pStrike - stockPrice + 0.10M; if (doDeepTracing) Log(" @R @R @R @R LIMIT ORDER TO BUY TO CLOSE " + oldTradeRec.pQty.ToString() + " contracts of " + oldTradeRec.pSymbol + " at " + limitPrice.ToString()); closePutTicket = LimitOrder(oldTradeRec.pSymbol, -oldTradeRec.pQty, limitPrice); //if (closePutTicket.Status == OrderStatus.Submitted) oldTradeRec.pEndPrice = limitPrice; oldTradeRec.pEndPrice = oldTradeRec.pStrike - stockPrice; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closePutTicket; oLO.tpr = oldTradeRec; oLO.oRight = OptionRight.Put; oLOs.Add(oLO); } else { if (doDeepTracing) Log(" @R @R @R @R MARKET ORDER TO BUY TO CLOSE " + oldTradeRec.pQty.ToString() + " contracts of " + oldTradeRec.pSymbol + " at market"); closePutTicket = MarketOrder(oldTradeRec.pSymbol, -oldTradeRec.pQty); // buy the calls } if (closePutTicket.Status == OrderStatus.Filled) { oldTradeRec.pEndPrice = closePutTicket.AverageFillPrice; if (doDeepTracing) Log(" @R @R @R @R UPDATING PUT END PRICE @ " + oldTradeRec.pEndPrice ); } } // Log("-"); // 3rd, buy back the long call doTheTrade = true; /* if (oldTradeRec.wcSymbol != null && oldTradeRec.wcQty != 0 && oldTradeRec.wcEndPrice == 0) { if (oldTradeRec.wcStrike <= stockPrice) /// ITM aCall -- use limit order { /// call QTY should be negative from the opening short trade limitPrice = stockPrice - oldTradeRec.wcStrike + 0.10M; if (doDeepTracing) Log(" @R @R @R LIMIT ORDER TO SELL TO CLOSE WING CALL " + oldTradeRec.wcQty.ToString() + " contracts of " + oldTradeRec.wcSymbol + " at " + limitPrice.ToString()); closeWCallTicket = LimitOrder(oldTradeRec.wcSymbol, -oldTradeRec.wcQty, limitPrice); //if (closeCallTicket.Status == OrderStatus.Submitted) oldTradeRec.cEndPrice = limitPrice; oldTradeRec.wcEndPrice = limitPrice; // set the wc Call End Price here bc finding this record in OnOrder() will be very difficult OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = closeWCallTicket; oLO.tpr = oldTradeRec; oLO.oRight = OptionRight.Call; oLO.isWingCall = true; oLOs.Add(oLO); } else { if (doDeepTracing) Log(" @R @R @R MARKET ORDER TO SELL TO CLOSE WING CALL " + oldTradeRec.wcQty.ToString() + " contracts of " + oldTradeRec.wcSymbol + " at market"); closeWCallTicket = MarketOrder(oldTradeRec.wcSymbol, -oldTradeRec.wcQty); // buy the calls } if (doDeepTracing) Log("-"); if (closeCallTicket.Status == OrderStatus.Filled) { oldTradeRec.wcEndPrice = closeWCallTicket.AverageFillPrice; if (doDeepTracing) Log(" @R @R @R UPDATING WING CALL " + oldTradeRec.wcSymbol + "END PRICE @ " + oldTradeRec.wcEndPrice ); } } // Keep the stock, but close this trade performance record. */ if (doDeepTracing) Log(" ROLLING ** ROLLING ** ROLLING ** ROLLING ** ROLLING ** SELL NEW COLLAR ** ROLLING ** ROLLING ** ROLLING ** ROLLING ** ROLLING ** "); symbolDataBySymbol[oldTradeRec.uSymbol].intTPRCntr += 1; LUD.GetNextExDate(this); // set last known dividend and next exdata LUD.loadVEData(this); symbolDataBySymbol[oldTradeRec.uSymbol].divdndAmt = LUD.divdndAmt; // set new dividend amount symbolDataBySymbol[oldTradeRec.uSymbol].decOneYearPriceTarget_Initial = LUD.decOneYearPriceTarget; // set new initial 1-yr price target symbolDataBySymbol[oldTradeRec.uSymbol].initialTargetEndDate = LUD.initialTargetEndDate; // set net initial 1-yr target date symbolDataBySymbol[oldTradeRec.uSymbol].VECase = LUD.VECase; oldTradeRec.uEndPrice = stockPrice; oldTradeRec.reasonForClose = reason; //oldTradeRec.isOpen = false; oldTradeRec.endDate = data.Time; oldTradeRec.grossPnL = currSellPnL; // rolling essentially sells the existing options. Log the currSellPnL for analysis purposes oldTradeRec.SSQRnetProfit = oldTradeRec.uQty*bestSSQRColumn.netIncome; // log the best SSQRColumn.netIncome for tracking purposes // Put on a new collar and start a new trade performance record // make a new TradePerfRec tradeRecCount = oldTradeRec.tradeRecCount + 1; // increment trade record count TradePerfRec thisNewTPRec = new TradePerfRec(); thisNewTPRec.uSymbol = LUD.uSymbol; // keep the underlying symbol thisNewTPRec.cSymbol = bestSSQRColumn.callSymbol; thisNewTPRec.pSymbol = bestSSQRColumn.putSymbol; //thisNewTPRec.wcSymbol = bestSSQRColumn.wCallSymbol; thisNewTPRec.uStartPrice = stockPrice; // log the current slice stock price thisNewTPRec.uQty = oldTradeRec.uQty; // maintain the same quantity //thisNewTPRec.isOpen = true; // this new trade performance record is open thisNewTPRec.isInitializer = false; // this is a continuation Collar thisNewTPRec.strtngCndtn = "ROLLED / " + reason; thisNewTPRec.index = symbolDataBySymbol[oldTradeRec.uSymbol].intTPRCntr; // maintain the collarIndex through the entire sequence of collars thisNewTPRec.tradeRecCount = oldTradeRec.tradeRecCount + 1; // count the trades thisNewTPRec.startDate = data.Time; // set the start date thisNewTPRec.cStrike = bestSSQRColumn.callStrike; //thisNewTPRec.wcStrike = bestSSQRColumn.wCallStrike; thisNewTPRec.expDate = bestSSQRColumn.callExpiry; // set the options Expiry //thisNewTPRec.thetaExpiration = bestSSQRColumn.callExpiry; // set the theta Expiry thisNewTPRec.ROC = bestSSQRColumn.ROC; thisNewTPRec.ROR = bestSSQRColumn.ROR; thisNewTPRec.CCOR = bestSSQRColumn.CCOR; thisNewTPRec.RORThresh = RORThresh; thisNewTPRec.ROCThresh = ROCThresh; thisNewTPRec.CCORThresh = CCORThresh; //thisNewTPRec.tradeCriteria = switchROC ? "ROC" : "ROR"; thisNewTPRec.tradeCriteria = LUD.VECase; // thisNewTPRec.stockADX = lastAdx; // thisNewTPRec.stockADXR = lastAdxr; // thisNewTPRec.stockOBV = lastObv; // thisNewTPRec.stockAD = lastAd; // thisNewTPRec.stockADOSC = lastAdOsc; // thisNewTPRec.stockSTO = lastSto; // thisNewTPRec.stockVariance = lastVariance; thisNewTPRec.VERating = LUD.intVERating; thisNewTPRec.momentum = LUD.decMomentum; thisNewTPRec.oneYearPriceTarget = LUD.decOneYearPriceTarget; thisNewTPRec.momentumRank = LUD.intMomentumRank; //Log(tradableColumn.ToString()); var tradablePut = bestSSQRColumn.putSymbol; // retrieve the put to buy var tradableCall = bestSSQRColumn.callSymbol; // retrieve the call to sell var tradableWCall = bestSSQRColumn.wCallSymbol; // retrievce wc call to sell // netOptions should be greater than the put premium + wc call premium. Figure out how many wings can be bought. // wingPremium = bestSSQRColumn.wingFactor; // thisWingFactor = bestSSQRColumn.wingFactor; // thisWingFactor = 1; doTheTrade = true; //calculate the # of call Options to sell in $-Neutral Variable Call Coverage model: optionsToTrade = oldTradeRec.uQty/100; //callsToTrade = Decimal.Round(optionsToTrade * bestSSQRColumn.putPremium / bestSSQRColumn.callPremium); /// VCCPTS legacy code // *** /// **** tradablePut can be null doTheTrade = true; //if (doDeepTracing) Log(" @R @R @R EXECUTING PUT BUY MARKET ORDER TO OPEN " + ((1 + thisWingFactor) * optionsToTrade) + " contracts of " + tradablePut ); var putTicket = MarketOrder(tradablePut, optionsToTrade); /// 2023-04-23 *** ::: **** reverted this to quantity==optionsToTrade from wingFactor*optionsToTrade if (putTicket.Status == OrderStatus.Filled) { thisNewTPRec.pSymbol = tradablePut; thisNewTPRec.pStartPrice = putTicket.AverageFillPrice; thisNewTPRec.pQty = (int)putTicket.QuantityFilled; thisNewTPRec.pStrike = bestSSQRColumn.putStrike; //if (doDeepTracing) Log(" @R @R @R UPDATING PUT START PRICE TO " + thisNewTPRec.pStartPrice + " FOR " + thisNewTPRec.pQty + " CONTRACTS" ); } doTheTrade = true; if(bestSSQRColumn.callSymbol != null) { if (doDeepTracing) Log(" @R @R @R @R EXECUTING CALL BUY MARKET ORDER TO OPEN " + optionsToTrade + " contracts of " + tradableCall ); //if (tradableCall.ID.StrikePrice > stockPrice) { callTicket = MarketOrder(tradableCall, -optionsToTrade); /*} else { limitPrice = stockPrice - tradableCall.ID.StrikePrice + 0.10M; if (doDeepTracing) Log(" @R @R @R @R LIMIT ORDER TO BUY TO CLOSE " + oldTradeRec.cQty.ToString() + " contracts of " + oldTradeRec.cSymbol + " at " + limitPrice.ToString()); callTicket = LimitOrder(tradableCall, -optionsToTrade, limitPrice); //if (closeCallTicket.Status == OrderStatus.Submitted) oldTradeRec.cEndPrice = limitPrice; OpenLimitOrder oLO = new OpenLimitOrder(); oLO.oTicket = callTicket; oLO.tpr = thisNewTPRec; oLO.oRight = OptionRight.Call; oLOs.Add(oLO); } */ //var callTicket = MarketOrder(tradableCall, -callsToTrade); if (callTicket.Status == OrderStatus.Filled) { thisNewTPRec.cSymbol = tradableCall; thisNewTPRec.cStartPrice = callTicket.AverageFillPrice; thisNewTPRec.cQty = (int)callTicket.QuantityFilled; //if (doDeepTracing) Log(" @R @R @R UPDATING SHORT CALL START PRICE TO " + thisNewTPRec.cStartPrice + " FOR " + thisNewTPRec.cQty + " CONTRACTS" ); } } /* doTheTrade = true; if (thisWingFactor > 0) { //if (doDeepTracing) Log(" @R @R @R EXECUTING WING CALL BUY MARKET ORDER TO OPEN " + (thisWingFactor*optionsToTrade) + " contracts of " + tradableWCall ); var wCallTicket = MarketOrder(tradableWCall, thisWingFactor * optionsToTrade); if (wCallTicket.Status == OrderStatus.Filled) { thisNewTPRec.wcSymbol = tradableWCall; thisNewTPRec.wcStartPrice = wCallTicket.AverageFillPrice; thisNewTPRec.wcQty = (int)wCallTicket.QuantityFilled; //if (doDeepTracing) Log(" @R @R @R UPDATING WING CALL START PRICE TO " + thisNewTPRec.wcStartPrice + " FOR " + thisNewTPRec.wcQty + " CONTRACTS" ); } else { //if (doDeepTracing) Log(" ROLLING ** WING FACTOR IS 0 -- NO WINGS ADDED"); } } */ /// Roll is done. save the new trade performance record var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.ROR); IterateOrderedSSQRMatrix(orderedSSQRMatrix); // IterateTradeRecord(thisNewTPRec); tprsToClose.Add(oldTradeRec); tprsToOpen.Add(thisNewTPRec); //tradeRecs.Add(thisNewTPRec); return true; } /////////////////////////////////////////////////////////////////////////////////// // ETF Rotate //////////////////////////////////////////////////////////////////////////////////// public void ETFRotate(List<SymbolData> SD_ToDo, List<SymbolData> SD_ToKill, LookupData LD){ bool isKilled = false; bool didETFTrade = false; decimal decOneYearPriceTarget; decimal stkPrc; foreach (SymbolData sd in SD_ToDo){ sd.isRollable = true; LD.uSymbol = sd.symbol; if(CurrentSlice.ContainsKey(sd.symbol)) { LD.stockPrice = CurrentSlice[sd.symbol].Price; } else LD.stockPrice = Securities[sd.symbol].Price; LD.decOneYearPriceTarget = sd.decOneYearPriceTarget_Initial; Debug($" ETF ETF ETF -- The 1Yr Price Target for {sd.symbol.Value} is {sd.decOneYearPriceTarget_Initial.ToString()} or {LD.decOneYearPriceTarget.ToString()}"); didETFTrade = GetETFMatrix(ref LD, true); // if the ETF is not on, put it on. Set firstTime to true } foreach (SymbolData sd in SD_ToKill){ sd.isRollable = false; LD.uSymbol = sd.symbol; if (ETFRecs.Where(etfr => etfr!=null && etfr.isOpen && etfr.uSymbol.Equals(sd.symbol)).Any()) { TradePerfRec ETFRec = ETFRecs.Where(etfr => etfr!=null && etfr.isOpen && etfr.uSymbol.Equals(sd.symbol)).FirstOrDefault(); if(Portfolio[sd.symbol].Invested) isKilled = KillTheCollar(ETFRec, ref LD, "ETF Month End negative MOMP_1 Kill Expiration", true, false); if (LD.doTracing){ if(isKilled){ Log($" ETF ETF ETF ETF -- Successfully killed {LD.uSymbol.Value}"); } else Log($" ETF ETF ETF ETF -- Couldn't kill {LD.uSymbol.Value}"); } } } } /////////////////////////////////////////////////////////////////////////////////// // GetBestCollar 2 parameters //////////////////////////////////////////////////////////////////////////////////// public SSQRColumn GetBestCollar(CollarAlgorithm algo, ref LookupData LD) { if (haltProcessing) { // Log(" @@@@@@ Logging GetPotentialCollars 1 on Upside Potential"); } Slice thisSlice = CurrentSlice; Symbol thisStock = LD.uSymbol; // First get the underlying stock price in this Slice decimal stockPrice = thisSlice[thisStock].Price; SSQRColumn bestTradableColumn = new SSQRColumn(); OptionChain putChain; // instantiate an OptionChain var for updating SSQRMatrix with slice data OptionChain callChain; // OptionChain wcallChain; // OptionContract putContract; // OptionContract callContract; // Symbol ssqrPutSymbol; // instantiate a Symbol var for updating SSQRMatrix with slice Data Symbol ssqrCallSymbol; // // Second get its options symbols var allUnderlyingOptionsSymbols = OptionChainProvider.GetOptionContractList(thisStock, thisSlice.Time); if (allUnderlyingOptionsSymbols.Count() == 0) // missing data at this time { if (doDeepTracing) Debug(" DDDDDDDDDDDDDDDDDDDDD Missing Data at " + thisSlice.Time + " no options for " + thisStock); return bestTradableColumn; } int findYear = thisSlice.Time.Year; int findMonth = thisSlice.Time.Month; // Compute the 3rd Friday of this month [options expiration] ---> do not adjust for potential holiday here DateTime thisMonthExpiry = FindDay(findYear, findMonth, DayOfWeek.Friday, 3); // Use the 3rd Friday of the current month to seed the function to return the next 4 ex-dividends expiries adjusted for holidays // in version 6, put package on whenever VE ranking is high. (or Chaiken / Accumulation/Distribution indicates) Dictionary<int, DateTime> putExpiries = GetOptionExpiries(thisSlice.Time, LD.exDivdnDate, thisMonthExpiry, true, false); Dictionary<int, DateTime> callExpiries = GetOptionExpiries(thisSlice.Time, LD.exDivdnDate, thisMonthExpiry, true, true); // now assemble the SSQR matrix using the expiries dictionary and the contracts lists LD.SSQRMatrix.Clear(); AssembleSSQRMatrix(this, ref LD, putExpiries, callExpiries); // Get the SSQRColumn with the best reward to risk if (LD.SSQRMatrix == null | LD.SSQRMatrix.Count == 0){ if(LD.doTracing) algo.Debug($" TD ** TD ** TD ** TD *** 0 or empty SSQR in TradeDetermination.GetBestCollar for {LD.uSymbol.Value}"); return bestTradableColumn; /// found it's possible to have no SSQRs, if so, pass the empty/null SSQRColumn to calling routine } if(algo.symbolDataBySymbol.ContainsKey(thisStock)) { algo.symbolDataBySymbol[thisStock].VECase = LD.VECase; } // var qualifyingCollars = LD.SSQRMatrix.Where(s=>s.putPremium!=0 & s.putPremium<=s.callPremium).Count(); // if (qualifyingCollars == 0) return bestTradableColumn; // bestTradableColumn = passedMatrix.OrderByDescending(p => p.CCOR).FirstOrDefault(); bestTradableColumn = LD.SSQRMatrix.OrderByDescending(bTC => bTC.ROR).FirstOrDefault(); /// 2021-03-21 -- changed from OrderedByDescending ..... using downsideRisk/upsidePotential //bestTradableColumn = LD.SSQRMatrix.OrderByDescending(bTC => bTC.upsidePotential).FirstOrDefault(); /// 2022-12-12 -- changed from ROR ..... using upsidePotential //bestTradableColumn = LD.SSQRMatrix.OrderByDescending(bTC=>bTC.putExpiry).ThenByDescending(bTC=>bTC.upsidePotential).FirstOrDefault(); if(LD.doDeepTracing) algo.Log($" TD ** TD ** TD ** TD ** TD ** The bestTradable ROR for {LD.uSymbol.Value} is {bestTradableColumn.ROR.ToString("0.00")}"); /*if ((decimal)bestTradableColumn.ROR < 1m){ if(LD.doTracing) algo.Debug($" TD ** TD ** TD ** TD *** BestCollar {bestTradableColumn.ROR} failed ROR Threshold for {LD.uSymbol.Value}"); if (symbolDataBySymbol.ContainsKey(bestTradableColumn.uSymbol)) { symbolDataBySymbol[bestSSQRColumn.uSymbol].SSQRFailCnt += 1; if (symbolDataBySymbol[bestSSQRColumn.uSymbol].SSQRFailCnt >=4 ) { symbolDataBySymbol[bestSSQRColumn.uSymbol].isRollable = false; SymbolsToRemove.Add(bestSSQRColumn.uSymbol); } } return null; /// found it's possible to have no SSQRs, if so, pass the empty/null SSQRColumn to calling routine } */ return bestTradableColumn; } ///////////////////////////////////////////////////////////////////////////////////// // // // Excute SSQRS //////////////////////////////////////////////////////////////////////////////////// public void ExecuteSSQRs(Slice slc, ColumnSD csd){ didTheTrade = ExecuteTrade(slc, csd.col, ref csd.sd, csd.ld); if (didTheTrade) { logPortfolio = true; if (doTracing) Log($"*** *** *** DID TRADE -- {thisSymbol} --- Based upon this SSQR matrix: "); tradedSymbols.Add(thisSymbol); // var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.upsidePotential); var orderedSSQRMatrix = csd.ld.SSQRMatrix.OrderByDescending(p => p.ROR); IterateOrderedSSQRMatrix(orderedSSQRMatrix); } else { if (doTracing) Log($"*** *** *** DIDN'T TRADE - {thisSymbol} --- "); } if (doTracing && logPortfolio) { Log($"|||| |||| TRADE RESULTS/HOLDINGS: on {slc.Time.ToShortDateString()} at {slc.Time.ToShortTimeString()}"); foreach(var kvp in Securities) /// make sure there's no leaking of abandoned stocks or options { try{ var security = kvp.Value; if (security.Invested) { Log($"|||| |||| |||| Package: {security.Symbol} : "); } } catch (Exception errMsg) { Log(" ERROR at 383 in main.cs " + errMsg ); } } didTheTrade = false; } } // ||||||||||||||||||||||||||||||||||||||||||||||| // Prints greeks for the corresponding symbol public void PrintGreeks(ref Dictionary<Symbol, bool> foundOption, Slice thisSlice, Symbol pairKey, bool pairValue) { decimal callDelta; if (pairValue == true) { return; } foreach(var chain in thisSlice.OptionChains) { foreach(var option in chain.Value) { if(pairKey.ToString() == option.ToString()) { callDelta = option.Greeks.Delta; foundOption[pairKey] = true; /////if (doDeepTracing) Log(" || Succesfully added Greeks || " + pairKey + " Delta = " + callDelta.ToString()); //break; } } } } // ||||||||||||||||||||||||||||||||||||||||||||||| // Loops through dictionary of active contracts public void CheckGreeks(ref Dictionary<Symbol, bool> foundOption, Slice thisSlice) { OptionContract callContract; OptionChain callChain; Symbol optSymbol; Dictionary<Symbol, bool> tempDict = foundOption; foreach(var pair in tempDict) { Symbol pairKey = pair.Key; bool pairValue = pair.Value; PrintGreeks(ref foundOption, thisSlice, pairKey, pairValue); } } } }
#region imports using System; using System.Collections.Generic; using System.Linq; using QuantConnect.Data; using QuantConnect.Orders; #endregion using QuantConnect.Securities.Option; using Newtonsoft.Json; namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { public class optGrksRec { //algo.Log(thisContract.Symbol.Value + ", " + thisContract.BidPrice + ", " + thisContract.AskPrice + ", " + thisContract.LastPrice + ", " + //thisContract.OpenInterest + ", "+ testVol + ", " + thisContract.TheoreticalPrice + ", " + thisContract.Greeks.Delta + ", " + thisContract.ImpliedVolatility); // "Gamma: " + thisContract.Greeks.Gamma + "Vega: " + thisContract.Greeks.Vega + "Rho: " + thisContract.Greeks.Rho + "Theta: " + thisContract.Greeks.Theta / 365 +4 public string uSymbol; // Underlying Symbol public string BidPrice; // Bid Price public string AskPrice; // Ask Price public string LastPrice; // Last Price public string OpenInterest; // Open Interest public string TheoreticalPrice; // Theoretical Price public string Delta; // Delta public string ImpliedVolatility; // Implied Vol public string Gamma; // Gamma public string Vega; // Vega public string Rho; // Rho public string Theta; // Theta public string ToJson() { string json = JsonConvert.SerializeObject(this, Formatting.Indented); return json; } } public partial class TradePerfRec { public Symbol uSymbol; // 1 Underlying Symbol public int index; // 2 Index to trace the trade and all offspring P&L public bool isOpen = false; // 3 Is the trade ongoing (open)? public bool isInitializer = false; // 4 Is this the collar-initializing trade public bool isSecondary = false; // 5 Is this a put roll up public bool isTheta = false; // 6 Is this a solely-call TPR public int tradeRecCount; // 7 counter for trade records -- use in the single-stock use case public DateTime startDate; // 8 starting date for collar public DateTime endDate; // 9 ending date for the collar public string strtngCndtn; // 10 for 2nd TPRs, record the starting conditions public string reasonForClose; // 11 reason why collar was killed (ITM options roll, etc.) public DateTime expDate; // 12 expiration date for collar public DateTime thetaExpiration; // 13 expiration date for the short call public Symbol pSymbol; // 14 Put Symbol public Symbol cSymbol; // 15 Call Symbol public Symbol wcSymbol; // 16 Wing Call Symbol public decimal pStrike; // 17 put strike public decimal cStrike; // 18 call strike public decimal wcStrike; // 19 ATM Call Strike public decimal pDelta; // 20 put Delta public decimal cDelta; // 21 call Delta public decimal wcDelta; // 22 atm Call Delta public decimal pGamma; // 23 put Gamma public decimal cGamma; // 24 call Gamma public decimal wcGamma; // 25 atm Call Gamma public int uQty; // 26 number of underlying shares public int pQty; // 27 number of put contracts public int cQty; // 28 number of call contracts public int wcQty; // 29 number of wing call contracts public decimal uStartPrice; // 30 Underlying Price when trade put on public decimal pStartPrice; // 31 Put Price when trade put on public decimal cStartPrice; // 32 Call Price when trade put on public decimal wcStartPrice; // 33 ATM Call Price when trade put on public decimal uEndPrice; // 34 Underlying Price when trade taken off public decimal pEndPrice; // 35 Put Price when trade taken off public decimal cEndPrice; // 36 Call Price when trade taken off public decimal wcEndPrice; // 37 ATM Call Price when trade taken off public int numDividends; // 38 # of dividends collected during the trade public decimal divIncome; // 39 $'s collected in Dividend income during the trade public decimal betaValue; // 40 beta value of underlying when trade put on public decimal RORThresh; // 41 Threshold for ROR public decimal ROCThresh; // 42 Threshold for ROC public decimal CCORThresh; // 43 Threshold for CCOR public string tradeCriteria; // 44 ROR or ROC or CCOR public decimal ROR; // 45 ROR calculation from SSQR Matrix public decimal ROC; // 46 ROC calculation from SSQR Matrix public decimal CCOR; // 47 CCOR calculation from SSQR Matrix public decimal stockADX; // 48 Average Directional Index Value public decimal stockADXR; // 49 Average Directional Index Rating public decimal stockOBV; // 50 On Balance Volume public decimal stockAD; // 51 Accumulation/Distribution public decimal stockADOSC; // 52 Accumulation/Distribution Oscillator public decimal stockSTO; // 53 Stochastic value public decimal stockVariance; // 54 Variance of underlying stock public decimal currSellPnL; // 55.. Rolltime evaluation of PnL if selling public decimal currExrcsPutPnL; // 56.. Rolltime evaluation of PnL if exercising put public decimal currExrcsCallPnL; // 57.. Rolltime evaluation of PnL if calls are assigned public decimal grossPnL; // 58 runtime calculation of PnL at close; public decimal SSQRnetProfit; // 59 runtime calculation of replacement bestSSQR net Profit public int VERating; // 60 VE Rating for Stat Analysis public decimal momentum; // 61 VE momentum for Stat Analysis public decimal oneYearPriceTarget; // 62 VE OYPT for Stat Analysis public int momentumRank; // 63 VE Momentum Rank for Stat Analysis // **** put class methods here to use collection of TradePerfRecs as basis to examine positions for expirations and assignments public void CleanUp(CollarAlgorithm algo) { DateTime endTime = algo.CurrentSlice.Time; //if (this.pEndPrice != 0) this.pEndPrice = 0; //if (this.cEndPrice != 0) this.cEndPrice = 0; this.endDate = endTime; /*decimal securitiesPrice = algo.Securities[this.uSymbol].Price; if (securitiesPrice == 0){ algo.Debug($" ***** ***** No Clean up Securities Price for {this.uSymbol.Value}. "); if (algo.lastClosePrice[this.uSymbol] !=0 ){ securitiesPrice = algo.lastClosePrice[this.uSymbol]; } else algo.Debug($" ***** ***** No Clean up lastClosePrice data for {this.uSymbol.Value} . "); } if (this.uEndPrice != 0) this.uEndPrice = securitiesPrice; */ this.reasonForClose = "Orphaned Package due to Options Expiration without assignment / exercise."; //algo.Log($" ************** CLEANING UP ORPHAN STOCK {this.uSymbol.Value} and setting end price to {this.uEndPrice.ToString("0.00")}"); algo.tprsToClose.Add(this); } public bool CheckRolling(CollarAlgorithm algo, LookupData LUD) { try { bool hasPut = false; bool hasCall = false; Slice slc = algo.CurrentSlice; Symbol symbUndr = this.uSymbol; LUD.clearLD(algo); LUD.uSymbol = this.uSymbol; //// CRITICAL :: SET THE SYMBOL TO BE PROCESSED IN THE LUD //if (symbUndr.Value == "CNP") { // algo.Debug(" --- --- This is CNP Processing"); //} string strTckr = symbUndr.Value; decimal stkPrc = 0m; decimal putPrc = 0m; decimal callPrc = 0m; //if(LUD.doTracing) algo.Log($" ******* Check Rolling Symbol {this.uSymbol.Value} TPR ."); if (LUD.intType==0 && algo.symbolDataBySymbol.ContainsKey(this.uSymbol)){ if(!algo.symbolDataBySymbol[this.uSymbol].isRollable){ if(LUD.doTracing) algo.Log($" ************** Symbol {this.uSymbol.Value} is not rollable -- check if this TPR is going to be closed."); return true; } } else if (LUD.intType!=0 && algo.etfDataBySymbol.ContainsKey(this.uSymbol)){ if(!algo.etfDataBySymbol[this.uSymbol].isRollable){ if(LUD.doTracing) algo.Log($" ************** Symbol {this.uSymbol.Value} is not rollable -- check if this EFTPR is going to be closed."); return true; } } else { if(LUD.doTracing) algo.Log($" ************** Symbol {this.uSymbol.Value} is no longer in SDBS."); algo.tprsToClose.Add(this); return false; } //if (LUD.doTracing) algo.Log(" ************** TPR CheckRolling for " + symbUndr.Value + " @" + slc.Time.ToString() ); //if (slc.ContainsKey(symbUndr) ) // 2023-03-12 ***** **** WHY CHECK IF THERE WAS A TICK FOR THIS UNDERLYING IN CURRENT SLICE. SHOULD BE UNNECCESSARY //{ // var tryPrice = slc[symbUndr].Price; // 2023-03-13 *** *** *** NOTE NOTE NOTE *** SUBSTANTIAL CHANGE // var tryPrice == null; if(slc.ContainsKey(this.uSymbol)) { stkPrc = slc[this.uSymbol].Price; } else stkPrc = algo.Securities[this.uSymbol].Price; if (stkPrc == 0) { if (LUD.doTracing) algo.Log(" ************** TPR CheckRolling found no price data for " + symbUndr.Value + " @" + slc.Time.ToString() ); return false; } //stkPrc = Convert.ToDecimal(tryPrice); LUD.stockPrice = stkPrc; if(LUD.intType==0){ LUD.initialTargetEndDate = algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate; LUD.decOneYearPriceTarget = algo.symbolDataBySymbol[this.uSymbol].decOneYearPriceTarget_Initial; } else { LUD.initialTargetEndDate = algo.FindDay(slc.Time.AddMonths(1).Year, slc.Time.AddMonths(1).Month, DayOfWeek.Friday, 4); LUD.decOneYearPriceTarget = algo.etfDataBySymbol[this.uSymbol].decMOMP/100m * stkPrc; } if (this.pQty != 0){ var tryPrice = algo.Securities[this.pSymbol].AskPrice; if (tryPrice==null) { if (LUD.doTracing) algo.Log(" ************** TPR CheckRolling found no Put Bid Price data for " + this.pSymbol.Value + " @" + slc.Time.ToString() ); return false; } else { putPrc = Convert.ToDecimal(tryPrice); hasPut = true; } } if (this.cQty != 0){ var tryPrice = algo.Securities[this.cSymbol].BidPrice; if (tryPrice==null) { if (LUD.doTracing) algo.Log(" ************** TPR CheckRolling found no Call Price data for " + this.pSymbol.Value + " @" + slc.Time.ToString() ); return false; } else { callPrc = Convert.ToDecimal(tryPrice); hasCall = true; } } //} else { // if (LUD.doTracing) algo.Log(" ************** TPR CheckRolling found no data for " + symbUndr.Value + " @" + slc.Time.ToString() ); // return false; //} LUD.dtTst = slc.Time; if(LUD.intType==0) LUD.GetNextExDate(algo); //// get NextExDate for this symbol this.GetPnLs(algo, LUD, ref stkPrc, ref callPrc, ref putPrc); if(LUD.intType==0) LUD.daysRemainingDiv = LUD.exDivdnDate.Subtract(slc.Time).Days; if (hasCall) { LUD.daysRemainingC = this.cSymbol.ID.Date.Subtract(slc.Time).Days; } else LUD.daysRemainingC = 100; if (hasPut) { LUD.daysRemainingP = this.pSymbol.ID.Date.Subtract(slc.Time).Days; } else LUD.daysRemainingP = 100; //if(LUD.doDeepTracing) algo.Debug($" ********* {this.uSymbol.Value} Package Days Remaining: | Div: {LUD.daysRemainingDiv.ToString()} | Put: {LUD.daysRemainingP.ToString()} | Call: {LUD.daysRemainingC.ToString()} ---" ); /* if (LUD.intType==0 && hasCall && LUD.daysRemainingDiv < 4 && LUD.daysRemainingDiv > 0) // restrict Dividend Approachment to stock. Don't do ETF's { LUD.SSQRMatrix.Clear(); if (LUD.doTracing) algo.Debug(" ************** Calling TPR CheckDivRoll " + symbUndr.Value + " @" + slc.Time.ToString() ); if (this.CheckDivRoll(algo, ref stkPrc, LUD)) return true; } */ if (hasCall) { if (((stkPrc - this.cStrike)/stkPrc >= .05M && LUD.daysRemainingC <= 10 && LUD.daysRemainingC > 1) || ((stkPrc - this.cStrike) > 0 && LUD.daysRemainingC <= 1)) { LUD.SSQRMatrix.Clear(); if (LUD.doTracing) algo.Debug(" ************** Calling TPR CheckCallRoll " + symbUndr.Value + " @" + slc.Time.ToString() ); if (this.CheckCallRoll(algo, LUD, ref stkPrc, ref callPrc, ref putPrc)) return true; } } if (hasPut) { if (( (this.pStrike - stkPrc )/stkPrc >= .05M && LUD.daysRemainingP <= 10 && LUD.daysRemainingP > 1) || ( (this.pStrike > stkPrc) && LUD.daysRemainingP <= 1) ) { LUD.SSQRMatrix.Clear(); if (LUD.doTracing) algo.Debug(" ************** Calling TPR CheckPutRoll " + symbUndr.Value + " @" + slc.Time.ToString() ); if (this.CheckPutRoll(algo, LUD, ref stkPrc, ref callPrc, ref putPrc)) return true; } } if ((hasCall && (LUD.daysRemainingC <= 1 && stkPrc <= this.cStrike)) | (hasPut && (LUD.daysRemainingP <= 1 && stkPrc >= this.pStrike))) // this is the put expiration by design. the puts always control the collar and the risk { LUD.SSQRMatrix.Clear(); if (LUD.doTracing) algo.Debug(" ************** Calling TPR CheckOTMRoll " + symbUndr.Value + " @" + slc.Time.ToString() ); if (CheckOTMRoll(algo, LUD, ref stkPrc, ref callPrc, ref putPrc) ) return true; } return false; } catch (Exception errMsg) { algo.Debug(" ERROR TradeLogging.CheckRolling.cs " + errMsg ); return false; //// 2022-02-15: replaced return with continue -- could have caused premature exits } } ////// end CheckRolling //************************************************************************************************* //************** GetPnLs ************************************************************* //*** **** **** calculate P^L based upon current put bid and current call ask prices -- //*** **** **** this is conservative becuase limit orders at mid point would actually be used. //************************************************************************************************* public void GetPnLs(CollarAlgorithm algo, LookupData LUD, ref decimal stockPrice, ref decimal currCallBidPrice, ref decimal currPutAskPrice) { this.currSellPnL = (this.uQty*(stockPrice-this.uStartPrice)) + (100*this.pQty*(currPutAskPrice - this.pStartPrice)) + (100*this.cQty*(currCallBidPrice - this.cStartPrice)); /// + (100*this.wcQty*(this.wcEndPrice - this.wcStartPrice)); if (this.pStrike > stockPrice ) { this.currExrcsPutPnL = (this.uQty*(this.pStrike-this.uStartPrice)) + (100*this.pQty*(0 + this.pStartPrice)) + (100*this.cQty*(currCallBidPrice - this.cStartPrice)); /// + (100*this.wcQty*(this.wcEndPrice - this.wcStartPrice)); } else {this.currExrcsPutPnL = -1;} if (this.cStrike < stockPrice ) { this.currExrcsCallPnL = (this.uQty*(this.cStrike-this.uStartPrice)) + (100*this.pQty*(currPutAskPrice - this.pStartPrice)) + (100*this.cQty*(0 - this.cStartPrice)); /// + (100*this.wcQty*(this.wcEndPrice - this.wcStartPrice)); } else {this.currExrcsCallPnL = -1;} } //************************************************************************************************* //************** GetCorrspndingPut ******************************************************* //************************************************************************************************* private Symbol GetCorrspndngPut() { int indexOfC = this.cSymbol.ToString().LastIndexOf("C"); char[] charArrayC = this.cSymbol.ToString().ToCharArray(); char[] charArrayP = charArrayC; charArrayP[indexOfC] = 'P'; string putString = new string(charArrayP); return putString; } //************************************************************************************************* //************** CheckOTMRoll ******************************************************* //************************************************************************************************* public bool CheckOTMRoll(CollarAlgorithm algo , LookupData LUD, ref decimal stockPrice, ref decimal currCallBidPrice, ref decimal currPutAskPrice) { bool killed = false; bool annHighFade = false; bool isRolled = false; // risk of options expiration WITHOUT EXERCISE if (LUD.doTracing) algo.Debug($" ************** BEGIN OTM OPTIONS CALC FOR {LUD.uSymbol} ****************"); try { SymbolData sd = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol] : algo.etfDataBySymbol[LUD.uSymbol]; if (LUD.intType == 0) sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget; //LUD.loadVEData(algo); Slice slD = algo.CurrentSlice; var oneYearBars = sd.Bars.ToList(); var lowBar = oneYearBars.Min(b => b.Close); if (stockPrice < lowBar) annHighFade = true; if(LUD.intType==0 && annHighFade) { if (LUD.doTracing) algo.Debug($" ************** KILLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {lowBar.ToString()} minus 2."); killed = isRolled = algo.KillTheCollar(this, ref LUD, "ABORT OTM ROLL -- PROXIMITY TO ANNUAL HIGH " + LUD.uSymbol, false, true ); if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } return killed; } if(LUD.intType!=0) { LUD.decOneYearPriceTarget = (1m + sd.decMOMP/100m) * stockPrice; LUD.stockPrice = stockPrice; if (LUD.doTracing) algo.Debug($" *** *** *** *** *** THE {LUD.uSymbol.Value} ETF LUD.TYPE IS {(LUD.intType == 1 ? "Equity" : "Bond") }"); isRolled = algo.GetETFMatrix(ref LUD, false); if (!isRolled) return isRolled; } //bestSSQRColumn = GetBestSSQR(data, LUD.uSymbol, nextExDate); SSQRColumn bestSSQRColumn = new SSQRColumn(); if (LUD.intType==0) { bestSSQRColumn = algo.GetBestCollar(algo, ref LUD); } else { //algo.Debug($" *** *** *** *** *** THE {LUD.uSymbol.Value} SECURITY LUD.TYPE IS {LUD.intType}"); bestSSQRColumn = LUD.SSQRMatrix.FirstOrDefault(); } if (LUD.SSQRMatrix.Count == 0) { if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) { if (LUD.doTracing) algo.Debug($" *** *** *** *** *** KILLING {LUD.uSymbol.Value} on last day because no collars came back."); killed = isRolled = algo.KillTheCollar(this, ref LUD, $"ABORT OTM ROLL -- NO POT COLLARS FOR {LUD.uSymbol.Value}", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doDeepTracing) algo.Debug($" ************** END OTM OPTIONS KILL FOR {LUD.uSymbol.Value} ****************"); if (LUD.doDeepTracing) algo.Log("-"); return isRolled; } else { LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); algo.Debug($" ************** END OTM OPTIONS CALC -- NO POTCOLS FOR {LUD.uSymbol.Value} -- LOOP AND TRY AGAIN LATER ***"); return isRolled; // if no collars then return and loop around again } } if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty()) { if (LUD.doTracing) algo.Debug($" ************** null bestSSQRColumn in OTM Expiry Approachment FOR {LUD.uSymbol.Value} *************"); if (LUD.doTracing) algo.Log($" ************** END OTM OPTIONS CALC FOR {LUD.uSymbol.Value} ****************"); if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) { if (LUD.doTracing) algo.Debug($" *** *** *** *** *** KILLING {LUD.uSymbol.Value} on last day because no collars came back."); killed = isRolled = algo.KillTheCollar(this, ref LUD, $"KILLED IN OTM PROCESSING -- NO VIABLE SSQRS FOR {LUD.uSymbol.Value}", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; //algo.SymbolsToRemove.Add(this.uSymbol); } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doDeepTracing) algo.Debug($" ************** END OTM OPTIONS KILL FOR {LUD.uSymbol} LOOP AND TRY AGAIN LATER ****************"); if (LUD.doDeepTracing) algo.Log("-----"); return isRolled; } else { LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doDeepTracing) algo.Debug($" ************** END OTM OPTIONS CALC FOR {LUD.uSymbol} -- bestSSQRColumn NULL or EMPTY ***"); return isRolled; // exit OnData() and loop around and try again } } // no bestSSQRColumn // IS IT NECESSARY TO SET THESE HERE Symbol tradablePut = bestSSQRColumn.putSymbol; Symbol tradableCall = bestSSQRColumn.callSymbol; //goodThresh = bestSSQRColumn.CCOR >= CCORThresh; // bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5); bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice); if (goodThresh) // roll the position forward { if (LUD.doTracing) algo.Debug($" ************** BEGIN OTM OPTIONS ROLL FOR {LUD.uSymbol} ****************"); bool bRollable = algo.symbolDataBySymbol[LUD.uSymbol].isRollable; if (!annHighFade && bRollable && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))){ // only roll the collar if the current record may be closed profitably-- otherwise seek exercise in kill //if (currSellPnL > 0) { if (algo.RollTheCollar(LUD, this, ref bestSSQRColumn, "ROLLED IN OTM EXPIRATION ")) { isRolled = true; if (LUD.doDeepTracing) algo.Debug($" ************** ROLLED OTM OPTIONS FOR {LUD.uSymbol} COMPLETED WITH SSQR: ****************"); if (LUD.doDeepTracing) algo.Log("-"); var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential); algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix); //didTheTrade = false; LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doDeepTracing) algo.Debug($" ************** END SUCCESSFUL OTM OPTIONS ROLL FOR {LUD.uSymbol} ****************"); if (LUD.doDeepTracing) algo.Log("-"); return isRolled; } else { if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) { if (LUD.doTracing) algo.Log($" ************** KILLING OTM OPTIONS COLLAR FOR {LUD.uSymbol} ON LAST DAY - FAILED ROLL ****************"); killed = isRolled = algo.KillTheCollar(this, ref LUD, $"KILLED IN OTM PROCESSING -- FAILED ROLL FOR {LUD.uSymbol}", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Debug($" ************** END OTM OPTIONS KILL FOR {LUD.uSymbol} ON LAST DAY - FAILED ROLL ****************"); if (LUD.doTracing) algo.Log("-"); return isRolled; } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Debug($" ************** END OTM OPTIONS ROLL FOR {LUD.uSymbol} -- FAILED ROLL ****************"); if (LUD.doTracing) algo.Log("-"); return isRolled; } } else if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) { // CANNOT EXECUTE ROLL PROFITABLY SO KILL THE COLLAR IF ON LAST DAY if (annHighFade & LUD.doTracing) algo.Debug($" ************** FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {lowBar.ToString()} minus 2."); killed = isRolled = algo.KillTheCollar(this, ref LUD, $"KILLED IN OTM PROCESSING -- UNPROFITABLE ROLL FOR {LUD.uSymbol} ON THE LAST DAY", false, true ); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Debug($" ************** END OTM OPTIONS ROLL FOR {LUD.uSymbol} WITH KILL ****************"); if (LUD.doTracing) algo.Log("-"); return isRolled; } if (LUD.doTracing) algo.Debug($" ************** END OTM OPTIONS ROLL PROCSSING FOR {LUD.uSymbol} ****************"); if (LUD.doTracing) algo.Log("------------------------------------"); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); return isRolled; } else if (LUD.daysRemainingC <= 1 | LUD.daysRemainingP <= 1) { // IF BADTHRESH if (LUD.doTracing) algo.Debug($" ************** BEGIN OTM OPTIONS COLLAR KILL FOR {LUD.uSymbol} ON LAST DAY ****************"); // kill the collar killed = isRolled = algo.KillTheCollar(this, ref LUD, "BAD THRESH ON OTM OPTIONS ROLL", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & killed){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Debug($" ************** END OTM OPTIONS ROLL WITH KILL ON BAD THRESH FOR {LUD.uSymbol} ****************"); if (LUD.doTracing) algo.Log("-------"); return isRolled; } // goodThresh on rolling OTM Options LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Debug($" ************** END OTM OPTIONS ROLL PROCESSING FOR {LUD.uSymbol} ****************"); if (LUD.doTracing) algo.Log("-"); return isRolled; } catch (Exception errMsg) { //algo.Debug(" ERROR TradeLogging.CheckOTMRoll.cs " + errMsg ); return false; //// 2022-02-15: replaced return with continue -- could have caused premature exits } } /// END OTM OPTIONS ROLL //************************************************************************************************* //************** CheckPutRoll ******************************************************* //************************************************************************************************* public bool CheckPutRoll (CollarAlgorithm algo , LookupData LUD, ref decimal stockPrice, ref decimal currCallBidPrice, ref decimal currPutAskPrice) { try{ bool isRolled = false; bool annHighFade = false; // Determine if it should be rolled forward. if (LUD.doTracing) algo.Log($" ************** BEGIN ITM PUT CALC FOR {LUD.uSymbol} ****************"); Slice slD = algo.CurrentSlice; //LUD.loadVEData(algo); /// load VE Data in Main.cs prior to calling tpr.CheckRolling SymbolData sd = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol] : algo.etfDataBySymbol[LUD.uSymbol]; if (LUD.intType==0 ) sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget; /// set current 1-year price target for stocks. For ETFs use the price target set on the Last Day of Month var oneYearBars = sd.Bars.ToList(); var lowBar = oneYearBars.Min(b => b.Close); if (sd.decOneYearPriceTarget_Current < lowBar + 2m) annHighFade = true; if (LUD.doTracing & annHighFade) algo.Debug($" ************** FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {lowBar.ToString()} minus 2."); if(LUD.intType!=0) { LUD.decOneYearPriceTarget = (1m + sd.decMOMP/100m) * stockPrice; LUD.stockPrice = stockPrice; isRolled = algo.GetETFMatrix(ref LUD, false); if (!isRolled) return isRolled; } //SSQRColumn bestSSQRColumn = LUD.intType==0 ? algo.GetBestCollar(algo, ref LUD) : LUD.SSQRMatrix.FirstOrDefault(); SSQRColumn bestSSQRColumn = new SSQRColumn(); if (LUD.intType==0) { bestSSQRColumn = algo.GetBestCollar(algo, ref LUD); } else bestSSQRColumn = LUD.SSQRMatrix.FirstOrDefault(); if (LUD.SSQRMatrix.Count == 0) { if (LUD.daysRemainingP <= 1) { if (LUD.doTracing) algo.Log($" ************** END ITM PUT FORCED ASSIGNMENT PROCESSING FOR {LUD.uSymbol} -- NO POTENTIAL COLLARS ON LAST DAY *************"); isRolled = algo.KillTheCollar(this, ref LUD, "KILL ITM PUT ASSIGNMENT -- NO POTENTIAL COLLARS ON LAST DAY", false, true); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.intType == 0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (isRolled) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } if (LUD.doTracing) algo.Log($" ************** END CHECK IMPLICIT PUT ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log("-----"); } if (LUD.doTracing) algo.Log($" ************** END ITM PUT CALC FOR {LUD.uSymbol} -- NO POTCOLS ***"); return isRolled; // if no collars then return and loop around again } if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty() ) { if (LUD.daysRemainingP <= 1) { // if at the last day of put expiration and haven't yet rolled, kill the collar. if (LUD.doTracing) algo.Log($" ********* KILL 1st TPR ON LAST DAY OF ITM PUT PROCESSING FOR {LUD.uSymbol} *************"); isRolled = algo.KillTheCollar(this, ref LUD, "KILLED IN ITM PUT ASSIGNMENT -- EMPTY BEST COLLARS ON LAST DAY", false, true); if (LUD.intType == 0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (isRolled) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" ************** END CHECK IMPLICIT PUT ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log("--------"); return isRolled; } else { if (LUD.doTracing) algo.Log($" ********* END ITM PUT FORCED ASSIGNMENT PROCESSING FOR {LUD.uSymbol} -- bestSSQR null or empty LOOPING TO TRY AGAIN"); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); return isRolled; // loop around and try again } } Symbol tradablePut = bestSSQRColumn.putSymbol; Symbol tradableCall = bestSSQRColumn.callSymbol; bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice); if (goodThresh) // roll the position forward { // check bestSSQRColumn to make sure we don't roll into a collar that will be subsequently exercised // this was fixed in v17+ by adding condition to .where() of LINQ to prevent such options from being returned if (currPutAskPrice!=0 && currPutAskPrice + bestSSQRColumn.putStrike > stockPrice) // make sure that no one can buy the option for less than the stock { if (LUD.doTracing) algo.Log($"@@@@@@@@@@@@@@@@@@@ ITM PUT ROLL ABORT FOR {LUD.uSymbol} -- IMMEDIATE CALL-EXERCISE PREVENTION FADE @@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@ CALL ASK: " + currCallBidPrice + " Strike: " + bestSSQRColumn.callStrike + " Stock Price: " + stockPrice +" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log("------"); if (LUD.daysRemainingP <= 1) { isRolled = algo.KillTheCollar(this, ref LUD, "ABORT ITM PUT ROLL TO PREVENT SUBSEQUENT CALL ASSIGNMENT", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (isRolled) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); return isRolled; } if (LUD.doTracing) algo.Log($" ************** BEGIN ITM PUT ROLL FOR {LUD.uSymbol} ****************"); //if (!newRollDate.Equals(oldRollDate)) { bool bRollable = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol].isRollable : algo.etfDataBySymbol[LUD.uSymbol].isRollable; bool isKilled = false; if (!annHighFade && bRollable && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))) { // Roll solely if we can sell the current collar profitably //if (currSellPnL > 0 ) { // Roll solely if we can sell the current collar profitably if (LUD.doTracing) algo.Debug($" *** *** *** *** *** {LUD.uSymbol.Value} selling is more profitable or new collar can make more money than selling."); if (algo.RollTheCollar(LUD, this, ref bestSSQRColumn, "ROLLED -- ITM PUT NEAR EXPIRATION")) { isRolled = true; if (LUD.doTracing) algo.Log($" ************** ROLLED ITM PUTS COMPLETED FOR {LUD.uSymbol} ****************"); var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential); // 2021-03-21 -- changed from OrderedByDescending algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix); // didTheTrade = false; LUD.SSQRMatrix.Clear(); return isRolled; } else { if (LUD.daysRemainingP <= 1) { isKilled = algo.KillTheCollar(this, ref LUD, "KILLED IN FAILED ITM PUT ROLL", false, true); if(LUD.intType==0){ if( isRolled & algo.symbolDataBySymbol.ContainsKey(this.uSymbol)) { algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (isKilled) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } LUD.SSQRMatrix.Clear(); return isKilled; } } } else { // un profitable roll if (LUD.daysRemainingP <= 1) { if (annHighFade & LUD.doTracing) algo.Debug($" ************** FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being below annual low close {lowBar.ToString()} minus 2."); if (LUD.doTracing) algo.Log($" ************** UNPROFITABLE ITM PUT ROLL FOR {LUD.uSymbol} ON LAST DAY -- ATTEMPT KILL"); isKilled = algo.KillTheCollar(this, ref LUD, "KILL- LOSS IN 1st TPR IN ITM PUT ROLL", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (isKilled) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT PUT ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log("-----"); } return isRolled; // exit OnData and try again until last day } else { // bad threshhold on ITM PUT ROLL -- EXERCISE IT if (LUD.daysRemainingP <= 1) { if (LUD.doTracing) algo.Log($" ************** BAD SSQR THRESHOLD IN ITM PUT ROLL FOR {LUD.uSymbol} ON LAST DAY -- ATTEMPT KILL"); isRolled = algo.KillTheCollar(this, ref LUD, "KILL ON LAST DAY OF ITM PUT ", false, true); if (LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if(isRolled){ algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" ************** END ITM PUT CALC FOR {LUD.uSymbol} ****************"); if (LUD.doTracing) algo.Log("---------"); return isRolled; // roll around and try again } } catch (Exception errMsg) { algo.Debug(" ERROR in TradeLogging.CheckPutRoll.cs " + errMsg ); return false; //// 2022-02-15: replaced return with continue -- could have caused premature exits } } // end CheckPutRoll //************************************************************************************************* //************** CheckDividendRoll ******************************************************* //************************************************************************************************* private bool CheckDivRoll(CollarAlgorithm algo, ref decimal stockPrice, LookupData LUD) { int daysRemaining = LUD.daysRemainingDiv; bool annHighFade = false; if (LUD.doTracing) algo.Debug("//************** CheckDividendRoll ****************************" ); try{ Slice slc = algo.CurrentSlice; bool isRolled = false; string strCorrSpndngPut = this.GetCorrspndngPut(); Symbol symbCorrSpndngPut = strCorrSpndngPut; decimal decCrrSpndgPutPrice = 0m; if (algo.Securities.TryGetValue(symbCorrSpndngPut, out var cpSecurity)) { if (!cpSecurity.IsTradable) { if (LUD.doTracing) algo.Log(" ************** TPR CheckDividendRol found no tradable corresponding put " + symbCorrSpndngPut.Value + " on " + slc.Time.ToString() ); if (LUD.doTracing) algo.Log(" ************** *************** Adding Put Contract" ); algo.AddOptionContract(symbCorrSpndngPut, Resolution.Minute, true, 0m, false); return false; } //if (LUD.doTracing) algo.Log(" ************** TPR CheckDividendRol found tradable corresponding put " + symbCorrSpndngPut.Value + " on " + slc.Time.ToString() + " @ " + string.Format("{0,5:C2}", decCrrSpndgPutPrice ) ); decCrrSpndgPutPrice = cpSecurity.AskPrice; //if (LUD.doTracing) algo.Log(" ************** TPR CheckDividendRol found tradable corresponding put " + symbCorrSpndngPut.Value + " on " + slc.Time.ToString() + " @ " + decCrrSpndgPutPrice ) ; } else { if (LUD.doTracing) algo.Log(" ************** TPR CheckDividendRol found no Put securities data for corresponding put " + symbCorrSpndngPut.Value + " on " + slc.Time.ToString() ); if (LUD.doTracing) algo.Log(" ************** *************** Adding Put Contract" ); algo.AddOptionContract(symbCorrSpndngPut, Resolution.Minute, true, 0m, false); return false; } if (decCrrSpndgPutPrice < LUD.divdndAmt) { if (LUD.doTracing) algo.Log(" ************** BEGIN APPROACHMENT CALC FOR " + this.uSymbol + " priced @" ); ///+ algo.Securities[this.uSymbol].Price ); if (LUD.doTracing) algo.Log(" ************** EX-Date: " + LUD.exDivdnDate.ToString() ); if (LUD.doTracing) algo.Log(" ************** DIVIDEND " + LUD.divdndAmt.ToString() + " Extrinsic Value: " + decCrrSpndgPutPrice.ToString() ); //bestSSQRColumn = GetBestSSQR(data, LUD.uSymbol, nextExDate); // this is the normal route of non-delta execution SSQRColumn bestSSQRColumn = new SSQRColumn(); LUD.loadVEData(algo); SymbolData sd = algo.symbolDataBySymbol[LUD.uSymbol]; sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget; var oneYearBars = sd.Bars.ToList(); var highBar = oneYearBars.Max(b => b.Close); if (LUD.decOneYearPriceTarget > highBar - 2m) annHighFade = true; bestSSQRColumn = algo.GetBestCollar(algo, ref LUD); if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty()) { if (daysRemaining <= 1) // Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here { if (LUD.doTracing) algo.Log(" OOOOOOOOOOOO NO bestSSQR ON LAST DAY OF DIVIDEND-FORCED EXERCISE -- KILL THE COLLAR OOOOOOOOOO"); isRolled = algo.KillTheCollar(this, ref LUD, "KILLED -- NO bestSSQR ON LAST DAY OF DIVIDEND-APPROACHMENT", false, true ); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } if (LUD.doTracing) algo.Log("************** END APPROACHMENT PROCESSING ******************"); if (LUD.doTracing) algo.Log("-"); return isRolled; // Don't execute further processing in this slice if rolled due to dividend approachment } else { if (LUD.doTracing) algo.Log("************** END DIV APPROACHMENT PROCESSING -- NULL bestSSQR -- TRY AGAIN ******************"); if (LUD.doTracing) algo.Log("-"); return isRolled; // Exit CheckDivRoll if there's no SSQR Column to process but don't move onto CallExpiryEvaluation for this reason } } if (!bestSSQRColumn.IsEmpty() ) { //TimeSpan expireDateDeltaSSQR = bestSSQRColumn.putExpiry.Subtract(slD.Time); //goodThresh = (bestSSQRColumn.CCOR >= CCORThresh); //bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5); bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice); if (goodThresh) // roll the position forward { TimeSpan expireDateDeltaSSQR = bestSSQRColumn.putExpiry.Subtract(slc.Time); if ((bestSSQRColumn.callStrike < stockPrice) && expireDateDeltaSSQR.Days <= 10 ) // make sure that the collar won't be assigned because we're in the options danger zone { /////// THIS SHOULD NOT HAPPEN IN v17 AND BEYOND BECAUSE LINQ WAS AMENDED TO PREVENT THESE OPTIONS if (LUD.doTracing) algo.Log(" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ DIVIDEND EXERCISE ROLL ABORT -- CALL PREVENTION @@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log(" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ @@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log("-"); if (LUD.doTracing) algo.Log("************** END APPROACHMENT PROCESSING ******************"); if (LUD.doTracing) algo.Log("-"); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); // DO NOT KILL THE COLLAR HERE. return isRolled; // Exit CheckDivRoll if there's no SSQR Column to process but don't move onto CallExpiryEvaluation for this reason } if (LUD.doTracing) algo.Log(" ************** BEGIN DIV APPROACHMENT ROLL ****************"); //iterate potetialCollars here solely when executing a trade if (!annHighFade && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))) { // Roll solely if we can sell the current collar profitably bool didTheTrade = algo.RollTheCollar(LUD, this, ref bestSSQRColumn, "ROLLED ON DIVIDEND APPROACHMENT"); if (didTheTrade) { isRolled = true; //oldRollDate = slc.Time.Date; // set the oldRollDate to Date of Roll if (LUD.doTracing) algo.Log(" ************** SUCCESSFUL DIV APPROACHMENT ROLL WITH SSQR: "); var orderedSSQRMatrix = LUD.SSQRMatrix.OrderByDescending(p => p.upsidePotential); algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix); didTheTrade = false; } else if (daysRemaining <= 1) // Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here { isRolled = algo.KillTheCollar(this, ref LUD, "KILL- FAILED ROLL 1ST TPR IN DIVIDEND-FORCED EXERCISE ON LAST DAY", false, true ); // KillTheCollar may return to try again as well if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } return didTheTrade; } else if (annHighFade & LUD.doTracing) algo.Debug($" ************** FADE ROLLING {LUD.uSymbol.Value} due to price {stockPrice.ToString()} being above annual high close {highBar.ToString()} minus 2."); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log("************** END APPROACHMENT PROCESSING ******************"); if (LUD.doTracing) algo.Log("-"); if (LUD.doTracing) algo.Log(" ************** END DIV APPROACHMENT ROLL ****************"); if (LUD.doTracing) algo.Log("-"); return isRolled; // get out of this Slice // prevent immediate call assignment } else { // NOT goodThresh --- kill the collar if (daysRemaining <= 1) // Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here { if (LUD.doTracing) algo.Log(" OOOOOOOOOOOO BAD THRESH ON DIVIDEND-FORCED EXERCISE -- KILL THE COLLAR ON LAST DAY OOOOOOOOOO"); isRolled = algo.KillTheCollar(this, ref LUD, "KILL- LAST DAY BAD THRESH ON DIVIDEND-FORCED EXERCISE", false, true ); // KillTheCollar may return to try again as well LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } if (LUD.doTracing) algo.Log("************** END APPROACHMENT PROCESSING ******************"); if (LUD.doTracing) algo.Log("-"); return isRolled; } else { if (LUD.doTracing) algo.Log(" OOOOOOOOOOOO BAD THRESH ON DIVIDEND-FORCED EXERCISE -- RETURN AND TRY AGAIN"); } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log("************** END APPROACHMENT PROCESSING ******************"); if (LUD.doTracing) algo.Log("-"); return isRolled; // Don't execute further processing in this slice if rolled due to dividend approachment } // not goodThresh } // !bestSSQRColumn /// there was no bestSSQRColumn } /// *** decCrrSpndgPutPrice > LUD.divdndAmt return isRolled; } catch (Exception errMsg) { // algo.Debug(" ERROR TradeLogging.CheckDivRoll.cs " + errMsg ); return false; //// 2022-02-15: replaced return with continue -- could have caused premature exits } } //************************************************************************************************* //************** CheckCallRoll ******************************************************* //************************************************************************************************* public bool CheckCallRoll (CollarAlgorithm algo, LookupData LUD, ref decimal stockPrice, ref decimal currCallAskPrice, ref decimal currPutBidPrice) { try{ // Determine if it should be rolled forward. bool isRolled = false; bool killed = false; bool annHighFade = false; Slice slD = algo.CurrentSlice; if (LUD.doTracing) algo.Log($" ************** BEGIN ITM CALL CALC FOR {LUD.uSymbol} ****************"); //LUD.loadVEData(algo); ////**** **** **** 2023-03-12 do this in Main.cs for stocks only. For ETFs there is no VE data SymbolData sd = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol] : algo.etfDataBySymbol[LUD.uSymbol]; if(LUD.intType==0) sd.decOneYearPriceTarget_Current = LUD.decOneYearPriceTarget; var oneYearBars = sd.Bars.ToList(); var highBar = oneYearBars.Max(b => b.Close); if (sd.decOneYearPriceTarget_Current > highBar - 2m) annHighFade = true; if(LUD.intType!=0) { LUD.decOneYearPriceTarget = (1m + sd.decMOMP/100m) * stockPrice; LUD.stockPrice = stockPrice; isRolled = algo.GetETFMatrix(ref LUD, false); if (!isRolled) return isRolled; } //bestSSQRColumn = GetBestSSQR(data, LUD.uSymbol, nextExDate); //SSQRColumn bestSSQRColumn = LUD.intType==0 ? algo.GetBestCollar(algo, ref LUD) : LUD.SSQRMatrix.FirstOrDefault(); SSQRColumn bestSSQRColumn = new SSQRColumn(); if (LUD.intType==0) { bestSSQRColumn = algo.GetBestCollar(algo, ref LUD); } else bestSSQRColumn = LUD.SSQRMatrix.FirstOrDefault(); if (LUD.SSQRMatrix.Count == 0) { if (LUD.daysRemainingC <= 1) { // if at the last day of call expiration and haven't yet rolled, kill the collar. if (LUD.doTracing) algo.Log($" ********* END ITM CALL FORCED ASSIGNMENT PROCESSING FOR {LUD.uSymbol} -- NO POTENTIAL COLLARS ON LAST DAY *************"); isRolled = killed = algo.KillTheCollar(this, ref LUD, "KILL IN ITM CALL ASSIGNMENT -- NO POTENTIAL COLLARS ON LAST DAY", false, true); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.intType == 0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } if (LUD.doTracing) algo.Log($" OOOOOOOOO TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log("-----"); } // algo.Log($" ************** END ITM CALL CALC PROCESSING FOR {LUD.uSymbol} -- NO MATRICES ***"); return isRolled; // if no collars then return and loop around again } if (bestSSQRColumn == null || bestSSQRColumn.IsEmpty() ) { if (LUD.daysRemainingC <= 1) { // if at the last day of call expiration and haven't yet rolled, kill the collar. if (LUD.doTracing) algo.Log($" ********* END ITM CALL FORCED ASSIGNMENT PROCESSING FOR {LUD.uSymbol} -- bestSSQR null or empty ON LAST DAY"); killed = algo.KillTheCollar(this, ref LUD, "KILL IN ITM CALL ASSIGNMENT -- EMPTY BEST COLLAR ON LAST DAY", false, true); LUD.SSQRMatrix.Clear(); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log("-"); } else { if (LUD.doTracing) algo.Log($" ************** END ITM CALL CALC FOR {LUD.uSymbol} -- null bestSSQRColumn **** -- RETURN AND TRY AGAIN -- *********"); LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); } return isRolled; // return and exit OnData() } //bool goodThresh = (LUD.intVERating == 5 & LUD.decOneYearPriceTarget > 1.05m * stockPrice) | (LUD.intVERating > 3 & bestSSQRColumn.upsidePotential >=5); bool goodThresh = (((LUD.divdndAmt * 4m) + LUD.decOneYearPriceTarget) > 1.05m * stockPrice); if (goodThresh) // roll the position forward { if (LUD.doTracing) algo.Log($" ************** BEGIN ITM CALL ROLL FOR {LUD.uSymbol} ****************"); //decimal stockPrice = slD[bestSSQRColumn.uSymbol].Price; // check to make sure we don't roll into a collar that will be exercised // SHOULD NOT EXECUTE IN v17+ BECAUSE LINQ MODIDFIED TO PREVENT SUCH OPTIONS if (currPutBidPrice!=0 &&bestSSQRColumn.putStrike - currPutBidPrice > stockPrice) // make sure that no one can buy the option for less than the stock { if (LUD.doTracing) algo.Log($"@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ ABORT ITM CALL ROLL TO PREVENT EXERCISE FOR {LUD.uSymbol} @@@@@@@@@@@"); if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@ CALL ASK: " + slD[bestSSQRColumn.putSymbol].Price + " Strike: " + bestSSQRColumn.putStrike + " Stock Price: " + stockPrice +" @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log("@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@ @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@"); if (LUD.doTracing) algo.Log("-"); if (LUD.daysRemainingC <= 1) // Risk of Dividend Assignment too high at Ex-Dividend Date so if haven't been able to get at RollTheCollar, kill it here { isRolled = killed = algo.KillTheCollar(this, ref LUD, "ABORT ITM CALL ROLL TO PREVENT EXERCISE ON LAST DAY", false, true ); // KillTheCollar may return to try again as well if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } } LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log($" ------------------------------------------------ "); return isRolled; } bool bRollable = LUD.intType==0 ? algo.symbolDataBySymbol[LUD.uSymbol].isRollable : algo.etfDataBySymbol[LUD.uSymbol].isRollable; if (!annHighFade && bRollable && (this.currSellPnL > 0 | this.uQty * bestSSQRColumn.netIncome > Math.Abs(this.currSellPnL))) // only roll the collar if the current record may be closed profitably-- otherwise seek exercise in kill //if (currSellPnL > 0 ) { /// Roll the Collar if the bestSSQRColumn won't be subsequently exercised. isRolled = algo.RollTheCollar(LUD, this,ref bestSSQRColumn, "ROLLED -- ITM CALL EXPIRATION APPROACHMENT"); if (isRolled) { if (LUD.doTracing) algo.Log($" ************** ROLLED ITM CALLS COMPLETED FOR {LUD.uSymbol}*************"); var orderedSSQRMatrix = LUD.SSQRMatrix.OrderBy(p => p.upsidePotential); algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix); //didTheTrade = false; LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); return isRolled; } else if (LUD.daysRemainingC <= 1) { if (LUD.doTracing) algo.Log($" ************** UNSUCCESSFUL ROLL FOR {LUD.uSymbol} -- KILL ITM PUT COLLAR ON LAST DAY **************"); killed = algo.KillTheCollar(this, ref LUD, "KILL- FAILED ROLL ON LAST DAY" , false, true); // Goto KillTheCollar and determine whether to close or allow call assignment there LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log($" ------------------------------------------------ "); return isRolled; } else if (LUD.daysRemainingC <= 1) { if (LUD.doTracing) algo.Log($" ************** UNPROFITABLE ROLL FOR {LUD.uSymbol} -- KILL ITM PUT COLLAR ON LAST DAY **************"); killed = algo.KillTheCollar(this, ref LUD, "KILL- LOSS IN 1st PACKAGE AND UNPROFITABLE 2nd PACKAGE" , false, true); // Goto KillTheCollar and determine whether to close or allow call assignment there LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if(LUD.intType==0) { if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (killed ){ algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log($" ------------------------------------------------ "); return isRolled; } } else // If not goodThresh, but expireDateDelta<=1, may get assigned on ITM calls { // This programmatic flow allows days expireDateDelta -9 through -2 to be evaluated sequentially // because stock price fluctuations may trigger assignment in that date range. But on the last day // and the call is ITM, assignment will probably happen. If goodThresh above, RollTheCollar was called // Put options should expire without value but sell them and capture whatever value possible // exercise the calls here while puts may be sold for some value, even a penny. <4¢ can be sold for 0 commission // capture the ending prices and close the TradePerformanceRecord by removing the old instance and inserting the updated copy if (LUD.doTracing) algo.Log($" ************** END ITM CALL FORCED ASSIGNMENT PROCESSING FOR {LUD.uSymbol}-- BAD THRESH ****************"); if (LUD.daysRemainingC <= 1) { if (LUD.doTracing) algo.Log($" ************** KILL COLLAR IN ITM CALL FORCED ASSIGNMENT PROCESSING FOR {LUD.uSymbol} -- BAD THRESH ON LAST DAY"); algo.KillTheCollar(this, ref LUD, "KILL ITM CALL -- PREVENT ASSIGNMENT", false, true); if(LUD.intType==0){ if(algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & isRolled){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } } else if (isRolled) { algo.etfDataBySymbol[this.uSymbol].isRollable = false; // algo.SymbolsToRemove.Add(this.uSymbol); } } LUD.SSQRMatrix.Clear();if (LUD.doTracing) bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log($" ------------------------------------------------ "); return isRolled; // exit OnData() and loop around again until last day. May get assigned! //ExerciseOption(shortedCallSymbol, Decimal.ToInt32(this.cQty)); // LEAN error, cannot exercise short options } } // end CheckCallRoll function LUD.SSQRMatrix.Clear(); bestSSQRColumn = new SSQRColumn(); if (LUD.doTracing) algo.Log($" TT END CHECK IMPLICIT CALL ASSIGNMENT FOR {LUD.uSymbol} OOOOOOOOO"); if (LUD.doTracing) algo.Log($" ------------------------------------------------ "); return false; // endif ITM calls -10 -> Expiry. Probably do an elseif {ITM puts here to definitively trap all assignments } catch (Exception errMsg) { algo.Debug(" ERROR TradeLogging.CheckCallRoll.cs " + errMsg ); return false; //// 2022-02-15: replaced return with continue -- could have caused premature exits } } /// end CheckCallRoll //************************************************************************************************* //************** CloseTPR ******************************************************* //************************************************************************************************* public void CloseTPR() { this.isOpen = false; // effectively closes the tpr. called in looping through tprsToClose after processing them. } //************************************************************************************************* //************** CloseTPR ******************************************************* //************************************************************************************************* public void OpenTPR() { this.isOpen = true; // effectively opens the tpr. called in looping through tprsToOpen after processing them. } } /// ***** END CLASS TradePerformanceRecord public class OpenLimitOrder { public OrderTicket oTicket; // order ticket public TradePerfRec tpr; // Trade performance record for transaction public OptionRight oRight; // Option Right (OptionRight.Call or OptionRight.Put) public bool isWingCall = false; // is this oLO a Wing Call public int counter = 0; // iterate this for processing } } }
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { public bool IsOrphaned(Symbol testSymb){ Option testOpt; foreach(var kvp in Portfolio.Securities) { var security = kvp.Value; if (security.Invested && security.Type == SecurityType.Option ) { testOpt = (Option)security; if (testOpt.Right == OptionRight.Call & testOpt.Underlying.Symbol.Equals(testSymb)){ Debug($" |||| |||| |||| HOLDINGS: {testOpt.Right}: has underlying {testOpt.Underlying.Symbol.Value} not orphaned."); return false; } } } Debug($" |||| **** ||||| **** {testSymb.Value} is Orphaned."); return true; } public partial class TradePerfRec { public bool CheckRollingDown(CollarAlgorithm algo, LookupData LD){ bool hasPut = false; bool hasCall = false; bool isCollar = false; Slice slc = algo.CurrentSlice; Symbol symbUndr = this.uSymbol; LD.uSymbol = this.uSymbol; int putCount = 0; decimal strikeStep = 0; //if (symbUndr.Value == "CNP") { // algo.Debug(" --- --- This is CNP Processing"); //} string strTckr = symbUndr.Value; decimal stkPrc = 0m; decimal putPrc = 0m; decimal callPrc = 0m; int monthsRemaining = 0; if(LD.intType!=0 && !algo.symbolDataBySymbol.ContainsKey(this.uSymbol)) { if(LD.doTracing) algo.Log($" ************** Symbol {this.uSymbol.Value} is no longer in SDBS! *^*^*^*^ Check order flow *^*^*^"); algo.tprsToClose.Add(this); return false; } if(LD.intType!=0 && !algo.symbolDataBySymbol[this.uSymbol].isRollable){ if(LD.doTracing) algo.Log($" ************** Symbol {this.uSymbol.Value} is not rollable Down -- check if this TPR is going to be closed."); return false; } if (LD.doTracing) algo.Log($" ************** TPR CheckRollingDown for {symbUndr.Value} @ {slc.Time.ToString()}" ); //if (slc.ContainsKey(symbUndr) ) if (algo.Securities.ContainsKey(symbUndr) ) { // var tryPrice = slc[symbUndr].Price; var tryPrice = algo.Securities[symbUndr].Price; if (tryPrice == null) { if (LD.doTracing) algo.Log(" ************** TPR CheckRollingDown found no price data for " + symbUndr.Value + " @" + slc.Time.ToString() ); return false; } stkPrc = Convert.ToDecimal(tryPrice); } else if(LD.doTracing){ algo.Log(" ************** TPR CheckRollingDown found no slice data for " + symbUndr.Value + " @" + slc.Time.ToString() ); return false; } if (this.cQty != 0){ if (!slc.OptionChains.TryGetValue(this.cSymbol.Canonical, out var cOptChain)) { if (LD.doTracing) algo.Log(" ************** TPR CheckRollingDown found no Call chains data for " + this.cSymbol.Value + " @" + slc.Time.ToString() ); return false; } else if (cOptChain.Contracts.TryGetValue(this.cSymbol, out var cContract)){ callPrc = cContract.BidPrice; } else { if (LD.doTracing) algo.Log(" ************** TPR CheckRollingDown found no Call Contract data for " + this.cSymbol.Value + " @" + slc.Time.ToString() ); return false; } hasCall = true; } if (this.pQty != 0){ if (!slc.OptionChains.TryGetValue(this.pSymbol.Canonical, out var pOptChain)) { if (LD.doTracing) algo.Log(" ************** TPR CheckRollingUp found no PUT chains data for " + this.pSymbol.Value + " @" + slc.Time.ToString() ); return false; } else if (pOptChain.Contracts.TryGetValue(this.pSymbol, out var pContract)){ putPrc = pContract.AskPrice; } else { if (LD.doTracing) algo.Log(" ************** TPR CheckRollingUp found no PUT Contract data for " + this.pSymbol.Value + " @" + slc.Time.ToString() ); return false; } if (LD.doTracing) algo.Log(" ************** TPR CheckRollingUp HAS A PUT Contract data for " + this.pSymbol.Value + " @" + slc.Time.ToString() ); hasPut = true; } var upChains = slc.OptionChains.get(algo.symbolDataBySymbol[this.uSymbol].optSymbol); if(upChains == null) { if(LD.doTracing) algo.Log($" ************** TPR CheckRollingDown failed to locate Contract data for {symbUndr.Value} @ {slc.Time.ToString()}" ); return false; } var atmPut = upChains.Where(o=>o.Right == OptionRight.Put) .OrderBy(o=> Math.Abs(o.Strike - stkPrc)) .FirstOrDefault(); var highPut = upChains.Where(o=>o.Right == OptionRight.Put) .OrderByDescending(o=>o.Strike) .FirstOrDefault(); var lowPut = upChains.Where(o=>o.Right == OptionRight.Put) .OrderBy(o=>o.Strike) .FirstOrDefault(); var strikesList = upChains.DistinctBy(o => o.Strike).ToList(); if (strikesList.Count() == 1){ strikeStep = 2.5m; } else { strikeStep = (highPut.Strike - lowPut.Strike)/(strikesList.Count() - 1m); } if (strikeStep % 0.5m != 0) strikeStep = Math.Round(strikeStep/0.5m) * 0.5m; if(LD.doTracing) algo.Log($" ************** TPR strikeStep equals: {strikeStep.ToString()}" ); if(algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate.Year > this.endDate.Year) { monthsRemaining = algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate.Month + 12 - this.endDate.Month; } else { monthsRemaining = algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate.Month - this.endDate.Month; } //LD.clearLD(algo); /// //// Already cleared in Main.cs OnData()... Don't clear here, will reset intType LD.loadVEData(algo); decimal oneYrTrgtPrice_Current = algo.symbolDataBySymbol[this.uSymbol].decOneYearPriceTarget_Current = LD.decOneYearPriceTarget; decimal oneYrTrgtPrice_Initial = algo.symbolDataBySymbol[this.uSymbol].decOneYearPriceTarget_Initial; decimal trgtPrice = oneYrTrgtPrice_Initial < oneYrTrgtPrice_Current ? oneYrTrgtPrice_Initial : oneYrTrgtPrice_Current; /// //// //// //// SHOULD THIS CODE AND CHECK PRECEDE THE TRYGET OPTIONS CHAIN CODE /// /// /// ///// ??? ??? ??? if (stkPrc < 1.03M * trgtPrice){ // /// // THE STOCK HAS DEPRECIATED TO WITHIN 97% OF INITIAL OR CURRENT TARGET PRICE (BELOW 1.03*TARGET) bool forceKill = true; this.GetPnLs(algo, LD, ref stkPrc, ref callPrc, ref putPrc); if(LD.doTracing) algo.Log($" ************** ************** {this.uSymbol.Value} attained less than 103% of {trgtPrice.ToString("0.00")} "); bool didKill = algo.KillTheCollar(this, ref LD, "Package attained 97% of current target price.", forceKill, true); if(LD.intType==0 && algo.symbolDataBySymbol.ContainsKey(this.uSymbol) & didKill){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); if (LD.doTracing) algo.Log( " tprtprtprtprtprtprtpr --- logging RollDown Attainment Kill --- tprtprtrptrptrptpr"); if (LD.doTracing) algo.Log( $" tprtprtprtprtprtprtpr --- ---- TPR.EndDate {this.expDate.ToString()} StockPrice: {stkPrc.ToFinancialFigures()} "); } return true; } OptionContract perkPut = null; if (monthsRemaining <=2 & !hasPut) { if (stkPrc < 1.05m * trgtPrice & !hasPut) { if(LD.doTracing) algo.Log($" ************** ************** {this.uSymbol.Value} is within 2 months of PUT expiration adn attained greater than 90% of {trgtPrice.ToString("0.00")}. Write a call, capture profit "); perkPut = upChains.Where(o=>o.Right == OptionRight.Put & o.Strike <= stkPrc & o.Strike >= .97M * trgtPrice & DateTime.Compare(o.Expiry, algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate)<0) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o=> Math.Abs(o.Strike - trgtPrice)) .FirstOrDefault(); //if(perkPut != null) hasPut = true; } } if (monthsRemaining > 2) monthsRemaining = 2; if (LD.doTracing) algo.Log(" tprtprtprtprtprtprtpr --- logging upChains --- tprtprtrptrptrptpr"); if (LD.doTracing) algo.Log($" tprtprtprtprtprtprtpr --- ---- TPR.EndDate {this.expDate.ToString()} StockPrice: {stkPrc.ToFinancialFigures()} "); // foreach (var option in upChains){ // algo.Log($" symbol: {option.Symbol.Value} Expiry: {option.Expiry} Strike: {option.Strike}"); // } var targetCall = upChains.Where(o=>o.Right == OptionRight.Call & o.Strike >= atmPut.Strike + strikeStep & DateTime.Compare(o.Expiry, slc.Time.AddMonths(monthsRemaining))<=0 & o.AskPrice - callPrc <= 0.3m * (this.uStartPrice - stkPrc)) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o=>o.Strike) .FirstOrDefault(); if (targetCall == null || targetCall.Strike >= this.cSymbol.ID.StrikePrice){ if (LD.doDeepTracing) algo.Log(" tprtprtprtprtprtprtpr --- ---- ---- Target call not found 1X -- decrement to 1 month."); targetCall = upChains.Where(o=>o.Right == OptionRight.Call & o.Strike >= atmPut.Strike + strikeStep & DateTime.Compare(o.Expiry, slc.Time.AddMonths(1))>=0 & o.AskPrice - callPrc <= 0.3m * (this.uStartPrice - stkPrc)) .OrderByDescending(o=>o.Expiry) .ThenByDescending(o=>o.Strike) .FirstOrDefault(); if (targetCall == null){ if (LD.doDeepTracing) algo.Log(" tprtprtprtprtprtprtpr --- ---- ---- Target Call not found 2X -- exit."); return false; } } if(hasPut && (this.pStrike > stkPrc | DateTime.Compare(this.pSymbol.ID.Date, algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate) < 0)) { // have an ITM call or a Call that has a short expiry perkPut = upChains.Where( o=> o.Right == OptionRight.Put && DateTime.Compare(o.Expiry, algo.symbolDataBySymbol[this.uSymbol].initialTargetEndDate) <= 0 & // get close, but don't exceed 1 year target. Get as much call premium (theta) as possible o.Strike >= oneYrTrgtPrice_Current + strikeStep) .OrderByDescending(o=>o.Expiry) .ThenBy(o=>Math.Abs(o.Strike-trgtPrice)).FirstOrDefault(); isCollar = true; } SSQRColumn thisSSQRColumn = algo.buildSSQRColumn(perkPut, targetCall, algo, LD); if (thisSSQRColumn != null) { if (thisSSQRColumn.callSymbol == null){ algo.Log($" @@@@@ @@@@@ tprtprtprtpr -- null put in column {targetCall.Symbol.Value} for {this.uSymbol.Value}"); return false; } LD.SSQRMatrix.Add(thisSSQRColumn); } else if(LD.doTracing) algo.Debug($"@@@@@ @@@@@ -- failed to get VE4 SSSQRColumn for {LD.uSymbol}."); if (LD.doDeepTracing) algo.Log($" tprtprtprtprtprtprtpr --- ---- Calling RollCallDown for {LD.uSymbol} because the current price {stkPrc.ToString()} is less than start: {this.uStartPrice.ToString()}. "); //algo.RollPutUp(targetPut, perkCall, ref LD, this, stkPrc); algo.didTheTrade = algo.RollCallDown(thisSSQRColumn, ref LD, this, stkPrc, isCollar); //var orderedSSQRMatrix = LD.SSQRMatrix.OrderBy(p => p.upsidePotential); var orderedSSQRMatrix = LD.SSQRMatrix.OrderBy(p => p.ROR); algo.IterateOrderedSSQRMatrix(orderedSSQRMatrix); return algo.didTheTrade; } public bool HandleCollapse(CollarAlgorithm algo, LookupData LUD){ bool hasPut = false; bool hasCall = false; bool isCollar = false; OrderTicket handlePutTicket; OrderTicket handleCallTicket; OrderTicket handleStockTicket; Slice slc = algo.CurrentSlice; Symbol symbUndr = this.uSymbol; LUD.uSymbol = this.uSymbol; string strTckr = symbUndr.Value; decimal stkPrc = 0m; decimal putPrc = 0m; decimal callPrc = 0m; if(LUD.intType !=0 &&!algo.symbolDataBySymbol.ContainsKey(this.uSymbol)) { if(LUD.doTracing) algo.Log($" ************** Symbol {this.uSymbol.Value} is no longer in SDBS! *^*^*^*^ Check order flow *^*^*^"); algo.tprsToClose.Add(this); return false; } var tryPrice = algo.Securities[symbUndr].Price; if (tryPrice == null) { if (LUD.doTracing) algo.Log(" ************** TPR HandleCollapse found no U price data for " + symbUndr.Value + " @" + slc.Time.ToString() ); return false; } stkPrc = Convert.ToDecimal(tryPrice); if(this.pSymbol != null){ tryPrice = algo.Securities[this.pSymbol].Price; if (tryPrice == null) { if (LUD.doTracing) algo.Log(" ************** TPR HandleCollapse found no put price data for " + symbUndr.Value + " @" + slc.Time.ToString() ); return false; } putPrc = Convert.ToDecimal(tryPrice); hasPut = true; } if(this.cSymbol != null){ tryPrice = algo.Securities[this.cSymbol].Price; if (tryPrice == null) { if (LUD.doTracing) algo.Log(" ************** TPR HandleCollapse found no call price data for " + symbUndr.Value + " @" + slc.Time.ToString() ); return false; } callPrc = Convert.ToDecimal(tryPrice); hasCall = true; } LUD.dtTst = slc.Time; LUD.GetNextExDate(algo); //// get NextExDate for this symbol this.GetPnLs(algo, LUD, ref stkPrc, ref callPrc, ref putPrc); if (hasCall){ //// sell or exercise put if (this.currExrcsCallPnL > this.currSellPnL) { if (LUD.doDeepTracing) algo.Log($" HC ** HC ** HC ** EXERCISE {this.cQty.ToString()} CALL contracts of {this.cSymbol} at {this.cStrike.ToString()}."); handleCallTicket = algo.ExerciseOption(this.cSymbol, this.cQty); /// underlying and calls will be closed in onOrder() event this.grossPnL = this.currExrcsCallPnL; /// log the PnL used in runtime decision this.uEndPrice = this.cStrike; /// 2023-04-15 :: forgot this in previous versions this.endDate = slc.Time; this.reasonForClose = $" Underlying Collapse EXERCISE CALL {this.uEndPrice.ToString()} above {this.cStrike.ToString()}."; if (hasPut){ if(algo.Securities[this.pSymbol].Price > 0.05m) { handlePutTicket = algo.MarketOrder(this.pSymbol,-this.pQty); if (handlePutTicket.Status == OrderStatus.Filled) { this.pEndPrice = handleCallTicket.AverageFillPrice; } if (LUD.doDeepTracing) algo.Log($" HC ** HC ** HC ** MARKET ORDER TO BUY {this.pQty.ToString()} contracts of {this.pSymbol.Value} at the market. Filled at {handleCallTicket.AverageFillPrice.ToString("0.00")}"); if (LUD.doDeepTracing) algo.Log("-"); } } return true; } else { handleCallTicket = algo.MarketOrder(this.cSymbol, -this.cQty); // buy the calls if (LUD.doDeepTracing) algo.Log(" HC ** HC ** HC ** MARKET ORDER TO SELL " + this.pQty.ToString() + " contracts of " + this.cSymbol + " at the market."); if (LUD.doDeepTracing) algo.Log("-"); if (handleCallTicket.Status == OrderStatus.Filled) { this.pEndPrice = handleCallTicket.AverageFillPrice; this.grossPnL = this.currSellPnL; /// log the PnL used in runtime decision } if (LUD.doDeepTracing) algo.Log(" HC ** HC ** HC ** MARKET ORDER TO SELL " + this.uQty.ToString() + " shares of " + this.uSymbol + " at the market."); handleStockTicket = algo.MarketOrder(this.uSymbol, -this.uQty); if (handleStockTicket.Status == OrderStatus.Filled) { this.uEndPrice = handleStockTicket.AverageFillPrice; this.reasonForClose = $" Underlying MeltUp SELL CALLS {this.uEndPrice.ToString()} below {this.pStrike.ToString()}."; this.endDate = slc.Time; } if (hasPut){ //// buy back short call handlePutTicket = algo.MarketOrder(this.pSymbol, -this.pQty); // buy the calls if (LUD.doDeepTracing) algo.Log(" HC ** HC ** HC ** MARKET ORDER TO BUY " + this.pQty.ToString() + " contracts of " + this.pSymbol + " at the market."); if (LUD.doDeepTracing) algo.Log("-"); if (handlePutTicket.Status == OrderStatus.Filled) { this.pEndPrice = handleCallTicket.AverageFillPrice; } } } } if(LUD.intType !=0 && algo.symbolDataBySymbol.ContainsKey(this.uSymbol)){ algo.symbolDataBySymbol[this.uSymbol].isRollable = false; algo.SymbolsToRemove.Add(this.uSymbol); } algo.tprsToClose.Add(this); return true; } } public string ConvertTradePerfRec(List<TradePerfRec> tPR) { string tPRString = ""; string jasonString = ""; int counter = 0; jasonString = "{"; tPRString = ",^^^"; TradePerfRec tprLister = new TradePerfRec(); var tprType = tprLister.GetType(); var tprProperties = tprType.GetFields(); foreach (var property in tprProperties) { tPRString = tPRString + ", " + property.Name; } Debug(tPRString); var tPREnum = tPR.GetEnumerator(); /////// NOTE: Have to get the JASON formatted correctly. Need one long string. CHECK THIS while (tPREnum.MoveNext()) { try { counter += 1; TradePerfRec thisPerfRec = tPREnum.Current; //Debug(String.Format("{0:000}: ", counter) + thisPerfRec.uSymbol.Value); jasonString = "{"; tPRString = ",^^^"; tPRString = tPRString + ", " + thisPerfRec.uSymbol.Value; tPRString = tPRString + ", " + thisPerfRec.index; tPRString = tPRString + ", " + thisPerfRec.isOpen; tPRString = tPRString + ", " + thisPerfRec.isInitializer; tPRString = tPRString + ", " + thisPerfRec.isSecondary; tPRString = tPRString + ", " + thisPerfRec.isTheta; tPRString = tPRString + ", " + thisPerfRec.tradeRecCount; tPRString = tPRString + ", " + String.Format("{0:MM/dd/yy H:mm:ss}", thisPerfRec.startDate); tPRString = tPRString + ", " + String.Format("{0:MM/dd/yy H:mm:ss}", thisPerfRec.endDate); tPRString = tPRString + ", " + thisPerfRec.strtngCndtn; tPRString = tPRString + ", " + thisPerfRec.reasonForClose; tPRString = tPRString + ", " + String.Format("{0:MM/dd/yy H:mm:ss}", thisPerfRec.expDate); tPRString = tPRString + ", " + "-no theta-"; if (thisPerfRec.pSymbol != null){ tPRString = tPRString + ", " + thisPerfRec.pSymbol.Value; } else { tPRString = tPRString + ", " + "-null-"; } if (thisPerfRec.cSymbol != null) { tPRString = tPRString + ", " + thisPerfRec.cSymbol.Value; } else { tPRString = tPRString + ", " + "-null-"; } // tPRString = tPRString + ", " + thisPerfRec.cSymbol!=null ? thisPerfRec.cSymbol.Value : "-null-"; tPRString = tPRString + ", " + "-null-"; tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pStrike); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cStrike); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcStrike); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pDelta); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cDelta); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcDelta); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pGamma); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cGamma); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcGamma); tPRString = tPRString + ", " + thisPerfRec.uQty; tPRString = tPRString + ", " + thisPerfRec.pQty; tPRString = tPRString + ", " + thisPerfRec.cQty; tPRString = tPRString + ", " + thisPerfRec.wcQty; tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.uStartPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pStartPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cStartPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcStartPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.uEndPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.pEndPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.cEndPrice); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.wcEndPrice); tPRString = tPRString + ", " + thisPerfRec.numDividends; tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.divIncome); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.betaValue); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.RORThresh); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.ROCThresh); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.CCORThresh); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.tradeCriteria); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.ROR); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.ROC); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.CCOR); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockADX); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockADXR); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockOBV); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockAD); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockADOSC); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockSTO); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.stockVariance); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.currSellPnL); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.currExrcsPutPnL); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.currExrcsCallPnL); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.grossPnL); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.SSQRnetProfit); tPRString = tPRString + ", " + String.Format("{0:0 }", thisPerfRec.VERating); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.momentum); tPRString = tPRString + ", " + String.Format("{0:0.00}", thisPerfRec.oneYearPriceTarget); tPRString = tPRString + ", " + String.Format("{0:0 }", thisPerfRec.momentumRank); /*foreach (var field in typeof(TradePerfRec).GetFields()) { if (field is decimal) { //tPRString = tPRString + "," + String.Format("{0:0.00}", field.GetValue(thisPerfRec)); tPRString = tPRString + "," + String.Format("{0:0.00}", field.GetValue(thisPerfRec)); } else if (field is int) { tPRString = tPRString + "," + String.Format("{0}", field.GetValue(thisPerfRec)); } else if (field is DateTime) { tPRString = tPRString + "," + String.Format("{0:MM/dd/yy H:mm:ss}", field.GetValue(thisPerfRec)); } else if (field is bool) { tPRString = tPRString + ", " + field.GetValue(thisPerfRec); } else { //Console.WriteLine("{0} = {1}", field.Name, field.GetValue(thisPerfRec)); tPRString = tPRString + ", " + field.GetValue(thisPerfRec).ToString(); } jasonString = jasonString + "\"" + field.Name + "\":\"" + field.GetValue(thisPerfRec) + "\""; } ^/ /*foreach (var field in typeof(TradePerfRec).GetFields()) { if (field.GetType() == typeof(decimal)) { //tPRString = tPRString + "," + String.Format("{0:0.00}", field.GetValue(thisPerfRec)); tPRString = tPRString + "," + String.Format("{0:0.00}", field); } else if (field.GetType() == typeof(DateTime)) { tPRString = tPRString + "," + String.Format("{0:MM/dd/yy H:mm:ss}", field.GetValue(thisPerfRec)); } else if (field.GetType() == typeof(Symbol)) { tPRString = tPRString + ", " + field; } else { //Console.WriteLine("{0} = {1}", field.Name, field.GetValue(thisPerfRec)); tPRString = tPRString + ", " + field.GetValue(thisPerfRec); } jasonString = jasonString + "\"" + field.Name + "\":\"" + field.GetValue(thisPerfRec) + "\""; } */ jasonString = jasonString + "}," + Environment.NewLine; Debug(tPRString); } catch (Exception errMsg) { Debug(" ERROR Converting TPR to JSON " + errMsg); continue; } } return jasonString; } } }
#region imports using System; using System.Collections.Generic; using System.Linq; using QuantConnect.Data; #endregion namespace QuantConnect { class StockDataSource : BaseData { private const string LiveUrl = @"https://www.dropbox.com/s/rfvg9ce040she5y/ValuEngine%20Annual%20Universes.csv?dl=1"; private const string BacktestUrl = @"https://www.dropbox.com/s/rfvg9ce040she5y/ValuEngine%20Annual%20Universes.csv?dl=1"; /// <summary> /// The symbols to be selected /// </summary> public List<string> Symbols { get; set; } /// <summary> /// Required default constructor /// </summary> public StockDataSource() { // initialize our list to empty Symbols = new List<string>(); } /// <summary> /// Return the URL string source of the file. This will be converted to a stream /// </summary> /// <param name="config">Configuration object</param> /// <param name="date">Date of this source file</param> /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param> /// <returns>String URL of source file.</returns> public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { //var url = isLiveMode ? LiveUrl : BacktestUrl; var url = BacktestUrl; return new SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile); } /// <summary> /// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object /// each time it is called. The returned object is assumed to be time stamped in the config.ExchangeTimeZone. /// </summary> /// <param name="config">Subscription data config setup object</param> /// <param name="line">Line of the source document</param> /// <param name="date">Date of the requested data</param> /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param> /// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns> public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { try { // create a new StockDataSource and set the symbol using config.Symbol var stocks = new StockDataSource {Symbol = config.Symbol}; // break our line into csv pieces var csv = line.ToCsv(); if (isLiveMode) { // our live mode format does not have a date in the first column, so use date parameter stocks.Time = date; stocks.Symbols.AddRange(csv); } else { // our backtest mode format has the first column as date, parse it stocks.Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null); // any following comma separated values are symbols, save them off stocks.Symbols.AddRange(csv.Skip(1)); } return stocks; } // return null if we encounter any errors catch { return null; } } } }
#region imports using System; using System.Collections; using System.Collections.Generic; using System.Linq; using System.Globalization; using System.Drawing; using QuantConnect; using QuantConnect.Algorithm.Framework; using QuantConnect.Algorithm.Framework.Selection; using QuantConnect.Algorithm.Framework.Alphas; using QuantConnect.Algorithm.Framework.Portfolio; using QuantConnect.Algorithm.Framework.Execution; using QuantConnect.Algorithm.Framework.Risk; using QuantConnect.Parameters; using QuantConnect.Benchmarks; using QuantConnect.Brokerages; using QuantConnect.Util; using QuantConnect.Interfaces; using QuantConnect.Algorithm; using QuantConnect.Indicators; using QuantConnect.Data; using QuantConnect.Data.Consolidators; using QuantConnect.Data.Custom; using QuantConnect.DataSource; using QuantConnect.Data.Fundamental; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Notifications; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Orders.Fills; using QuantConnect.Orders.Slippage; using QuantConnect.Scheduling; using QuantConnect.Securities; using QuantConnect.Securities.Equity; using QuantConnect.Securities.Future; using QuantConnect.Securities.Option; using QuantConnect.Securities.Forex; using QuantConnect.Securities.Crypto; using QuantConnect.Securities.Interfaces; using QuantConnect.Storage; using QuantConnect.Data.Custom.AlphaStreams; using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm; using QCAlgorithmFrameworkBridge = QuantConnect.Algorithm.QCAlgorithm; #endregion namespace QuantConnect.Algorithm.CSharp { public partial class CollarAlgorithm : QCAlgorithm { public void ProcessOpenLimitOrders(Slice sld) { try { if (doDeepTracing) Debug(" |()|()|() We have " + oLOs.Count+ " open limit order tickets"); List<int> RemovableLOs = new List<int>(); foreach (OpenLimitOrder olo in oLOs) { int currentLO = oLOs.IndexOf(olo); var option = (Option)Securities[olo.oTicket.Symbol]; string oloMsg = ""; if (doTracing) Debug($" |()|()|() Found a {olo.oTicket.Status} limit order for {olo.oTicket.Symbol} with limit price and {olo.oTicket.OrderEvents.ToString()} "); if (doTracing) Debug($" |()|()|() Limit Price {olo.oTicket.Get(OrderField.LimitPrice)} Last Price {Securities[olo.oTicket.Symbol].Price} "); olo.counter += 1; /// increment processing counter if(olo.oTicket.Status == OrderStatus.Canceled | olo.oTicket.Status == OrderStatus.Invalid ) { if (doTracing) Debug(" |()|()|() Found a " + olo.oTicket.Status + " order and marking olo record index " + currentLO + " for removal."); RemovableLOs.Add(currentLO); continue; } TradePerfRec updateTPR = olo.tpr; if (olo.oTicket.Status == OrderStatus.Filled) { if (olo.oRight == OptionRight.Call) { if (olo.isWingCall) { if (doTracing) Debug(" |()|()|() Found a filled wing call closing limit order and updated end price to " + olo.oTicket.AverageFillPrice); updateTPR.wcEndPrice = olo.oTicket.AverageFillPrice; } else { if (olo.oTicket.Quantity < 0 ) { // Sell order for Short Call -- initializing a collar updateTPR.cStartPrice = olo.oTicket.AverageFillPrice; if (doTracing) Debug(" |()|()|() Found a filled collar initiating short call limit order and updated start price to " + olo.oTicket.AverageFillPrice); } else { updateTPR.cEndPrice = olo.oTicket.AverageFillPrice; if (doTracing) Debug(" |()|()|() Found a filled collar ending short call limit order and updated end price to " + olo.oTicket.AverageFillPrice); } } } else if (olo.oRight == OptionRight.Put) { // never buy ITM Puts -- forces taxable "synthetic sale" of underlying updateTPR.pEndPrice = olo.oTicket.AverageFillPrice; if (doTracing) Debug(" |()|()|() Found a filled collar ending long put limit order and updated end price to " + olo.oTicket.AverageFillPrice); } if (doTracing) Debug(" |()|()|() marking olo at " + currentLO + " for removal "); RemovableLOs.Add(currentLO); continue; ///// ///// ///// ---- Convert Limit Orders to Market Orders if they are more than 15 minutes old } else if (olo.oTicket.Status == OrderStatus.Submitted & ((int)sld.Time.Subtract(olo.oTicket.Time).TotalMinutes > 5) | olo.counter >= 5 ){ if (olo.oRight == OptionRight.Call) { //var option = (Option)Securities[olo.oTicket.Symbol]; var orderUnderlyingPrice = option.Underlying.Price; var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice); var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice; var lPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M; if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.10M) { /// this is the criteria for placing a call buyback limit order. This contition will exist if the underlying price has moved up olo.oTicket.Cancel(); if (doTracing) Debug(" |()|()|() With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice); if (doTracing) Debug(" |()|()|() updating " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order"); if (doTracing) Debug(" |()|()|() IN MAIN INVESTING"); var callTkt = MarketOrder(olo.oTicket.Symbol, olo.oTicket.Quantity); if (callTkt.Status == OrderStatus.Filled ){ if (olo.isWingCall) { updateTPR.wcEndPrice = callTkt.AverageFillPrice; if (doTracing) Debug(" |()|()|() Converted and filled wing call limit to market order and updated end price to " + callTkt.AverageFillPrice); } else { if (olo.oTicket.Quantity < 0){ // this is a collar initiating sell short call order updateTPR.cStartPrice = callTkt.AverageFillPrice; if (doTracing) Debug(" |()|()|() Converted and filled short call SELL TO OPEN limit to market order and updated START price to " + callTkt.AverageFillPrice); } else { updateTPR.cEndPrice = callTkt.AverageFillPrice; if (doTracing) Debug(" |()|()|() Converted and filled short call BUY TO CLOSE limit to market order and updated end price to " + callTkt.AverageFillPrice); } } if (doTracing) Debug(" |()|()|() marking converted olo at " + currentLO + " for removal "); RemovableLOs.Add(currentLO); } } else { if (doTracing) Debug(" |()|()|() With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice); if (doTracing) Debug(" |()|()|() waiting on " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + "limit order fulfillment."); } } else if (olo.oRight == OptionRight.Put) { //var option = (Option)Securities[olo.oTicket.Symbol]; var orderUnderlyingPrice = option.Underlying.Price; var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice); var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice; var lPrice = orderStrikePrice - orderUnderlyingPrice + 0.10M; if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice + 0.10M) { /// this is the criteria for placing a call buyback limit order. This contition will exist if the underlying price has moved up olo.oTicket.Cancel(); if (doTracing) Debug(" |()|()|() With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice); if (doTracing) Debug(" |()|()|() converting " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order"); if (doTracing) Debug(" |()|()|() IN OLO PROCESSING"); var sellPutTkt = MarketOrder(olo.oTicket.Symbol, olo.oTicket.Quantity); if (sellPutTkt.Status == OrderStatus.Filled ){ updateTPR.pEndPrice = sellPutTkt.AverageFillPrice; if (doTracing) Debug(" |()|()|() Converted and filled long put SELL TO CLOSE limit to market order and updated end price to " + sellPutTkt.AverageFillPrice); if (doTracing) Debug(" |()|()|() marking converted olo at " + currentLO + " for removal "); RemovableLOs.Add(currentLO); } } else { if (doTracing) Debug(" |()|()|() With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice); if (doTracing) Debug(" |()|()|() waiting on " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + "limit order fulfillment."); } } // OptionRight == call or put // ticket = submitted } else if (olo.oTicket.Status == OrderStatus.Submitted) { if (olo.oRight == OptionRight.Call) { //var option = (Option)Securities[olo.oTicket.Symbol]; var orderUnderlyingPrice = option.Underlying.Price; var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice); var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice; var lPrice = orderUnderlyingPrice - orderStrikePrice + 0.10M; if (orderLimitPrice < orderUnderlyingPrice - orderStrikePrice + 0.50M) { /// this is the criteria for placing a call buyback limit order. This contition will exist if the underlying price has moved up by 50cents olo.oTicket.UpdateLimitPrice(lPrice); /// update the limit price for the order to track the market. olo.counter = 0; /// reset the counter to try new limit price if (doTracing) Debug(" |()|()|() With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice); if (doTracing) Debug(" |()|()|() updating " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order"); if (doTracing) Debug(" |()|()|() IN MAIN INVESTING"); } } else if (olo.oRight == OptionRight.Put) { //var option = (Option)Securities[olo.oTicket.Symbol]; var orderUnderlyingPrice = option.Underlying.Price; var orderLimitPrice = olo.oTicket.Get(OrderField.LimitPrice); var orderStrikePrice = olo.oTicket.Symbol.ID.StrikePrice; var lPrice = orderStrikePrice - orderUnderlyingPrice + 0.10M; if (orderLimitPrice > orderStrikePrice - orderUnderlyingPrice + 0.50M) { olo.oTicket.UpdateLimitPrice(lPrice); olo.counter = 0; /// reset the counter to try new limit price if (doTracing) Debug(" |()|()|() With " + olo.oTicket.Symbol.ID.Underlying.Symbol + " trading at " + orderUnderlyingPrice + " and limit price set to " + orderLimitPrice); if (doTracing) Debug(" |()|()|() updating " + olo.oTicket.Quantity + " of " + olo.oTicket.Symbol + " limit order to market order"); if (doTracing) Debug(" |()|()|() IN MAIN INVESTING"); } } } } // for each OLO in oLOs if (haltProcessing) { Debug(" HALTED IN OLO PROCESSING"); } if (RemovableLOs.Count > 0 ) { if (haltProcessing) { Debug(" ************ HALT IN REMOVABLE OLO PROCESSING "); } if (doTracing) Debug(" |||| |||| |||| ITERATING REMOVABLE LOs DIAGNOSTICALLY " ); foreach (int r in RemovableLOs ) { if (doTracing) Debug(" |||| |||| RemovableOLO @ index:" + r + " = " + oLOs[r].oTicket.Symbol); } for (int i = RemovableLOs.Count - 1; i > -1; i--) // have to count down because deleting olo[0] resets next olo to 0. { int rOLO = RemovableLOs[i]; if (doTracing) Debug(" |||| |||| Removing OLO @ index " + RemovableLOs[i] + " for " + oLOs[rOLO].oTicket.Symbol); oLOs.RemoveAt(rOLO); } } } catch (Exception errMsg) { Debug(" ERROR " + errMsg ); if (errMsg.Data.Count > 0) { Debug(" Extra details:"); foreach (DictionaryEntry de in errMsg.Data) Debug(" Key: {0,-20} Value: {1}'" + de.Key.ToString() + "'" + de.Value); } } } } }