Daily options contracts valid open interest values (#8450)

* Fix for daily options open interest data to be added to contracts * Cleanup * Update regression algorithms stats * Minor fix and cleanup * Minor fix * Minor fix * Update regression algorithms data point count * Address peer review
QuantConnect · Dec 12, 2024 · ec428c5 · ec428c5
1 parent 2a62f16
commit ec428c5
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Showing 34 changed files with 263 additions and 53 deletions.
diff --git a/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs
@@ -176,7 +176,7 @@ public void Dispose()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1199;
+        public long DataPoints => 1185;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -219,7 +219,7 @@ public void Dispose()
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
             {"Portfolio Turnover", "0.13%"},
-            {"OrderListHash", "273dd05b937c075b75baf8af46d3c7de"}
+            {"OrderListHash", "7c8700a9baa24f6f76d866e7d88cc19c"}
         };
     }  
 }
diff --git a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs
@@ -117,7 +117,7 @@ select futuresContract
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 12455;
+        public virtual long DataPoints => 12474;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -160,7 +160,7 @@ select futuresContract
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
             {"Portfolio Turnover", "0.92%"},
-            {"OrderListHash", "7afa589d648c3f24253cd59156a2014e"}
+            {"OrderListHash", "9507abc8348ff3cb1e2a9a5f48d128a7"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs
@@ -36,7 +36,7 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 14884;
+        public override long DataPoints => 14713;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -69,7 +69,7 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
             {"Portfolio Turnover", "0.87%"},
-            {"OrderListHash", "ef59fd5e4a7ae483a60d25736cf5d2d8"}
+            {"OrderListHash", "ea6fdf3133bde7063e4fc0fa809ae260"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs
@@ -70,7 +70,7 @@ public override void OnEndOfAlgorithm()
             }
 
             var openInterest = Securities[SpxOption].Cache.GetAll<OpenInterest>();
-            if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 23, 0, 0))
+            if (openInterest.Single().EndTime != new DateTime(2021, 1, 15, 15, 15, 0))
             {
                 throw new ArgumentException($"Unexpected open interest time: {openInterest.Single().EndTime}");
             }
@@ -106,7 +106,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 121;
+        public override long DataPoints => 122;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -126,7 +126,7 @@ public override void OnEndOfAlgorithm()
             {"Total Orders", "11"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "621.484%"},
+            {"Compounding Annual Return", "653.545%"},
             {"Drawdown", "0%"},
             {"Expectancy", "0"},
             {"Start Equity", "1000000"},

diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
@@ -67,7 +67,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 356;
+        public override long DataPoints => 360;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ContinuousFutureHistoryRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureHistoryRegressionAlgorithm.cs
@@ -120,7 +120,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 9951;
+        public virtual long DataPoints => 9953;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/...thm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs b/...thm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionAlgorithm.cs
@@ -33,6 +33,6 @@ public class ContinuousFutureRolloverDailyExchangeTimeZoneAheadOfDataRegressionA
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1022;
+        public override long DataPoints => 1002;
     }
 }
diff --git a/...hm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs b/...hm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegressionAlgorithm.cs
@@ -33,6 +33,6 @@ public class ContinuousFutureRolloverDailyExchangeTimeZoneBehindOfDataRegression
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1017;
+        public override long DataPoints => 1004;
     }
 }
diff --git a/...ithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm.cs b/...ithm.CSharp/ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAlgorithm.cs
@@ -33,6 +33,6 @@ public class ContinuousFutureRolloverDailyExchangeTimeZoneSameAsDataRegressionAl
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1015;
+        public override long DataPoints => 995;
     }
 }
diff --git a/Algorithm.CSharp/ContinuousFuturesDailyRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFuturesDailyRegressionAlgorithm.cs
@@ -109,7 +109,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1268;
+        public long DataPoints => 1276;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/...ithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs b/...ithm.CSharp/DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm.cs
@@ -0,0 +1,130 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that the option chain data has valid open interest values for daily resolution.
+    /// Reproduces GH issue #8421.
+    /// </summary>
+    public class DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _symbol;
+
+        private List<decimal> _openInterests = new();
+
+        public virtual bool DailyPreciseEndTime => true;
+
+        public override void Initialize()
+        {
+            Settings.DailyPreciseEndTime = DailyPreciseEndTime;
+
+            SetStartDate(2014, 06, 01);
+            SetEndDate(2014, 07, 06);
+
+            var option = AddOption("AAPL", Resolution.Daily);
+            option.SetFilter(-5, +5, 0, 365);
+
+            _symbol = option.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (slice.OptionChains.TryGetValue(_symbol, out var chain) && chain.Contracts.Count > 0)
+            {
+                var openInterest = chain.Sum(x => x.OpenInterest);
+                _openInterests.Add(openInterest);
+                Debug($"[{Time}] Sum of open interest: {openInterest}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_openInterests.Count == 0)
+            {
+                throw new RegressionTestException("No option chain data was received by the algorithm.");
+            }
+
+            if (_openInterests.All(x => x == 0))
+            {
+                throw new RegressionTestException("Contracts received didn't have valid open interest values.");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 47132;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-5.732"},
+            {"Tracking Error", "0.05"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}
diff --git a/...m.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs b/...m.CSharp/DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm.cs
@@ -0,0 +1,31 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that the option chain data has valid open interest values for daily resolution.
+    /// Reproduces GH issue #8421.
+    /// </summary>
+    public class DailyOptionChainOpenInterestDataWithoutStrictDailyEndTimesRegressionAlgorithm : DailyOptionChainOpenInterestDataWithStrictDailyEndTimesRegressionAlgorithm
+    {
+        public override bool DailyPreciseEndTime => false;
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 46264;
+    }
+}
diff --git a/Algorithm.CSharp/DelistedFutureLiquidateDailyRegressionAlgorithm.cs b/Algorithm.CSharp/DelistedFutureLiquidateDailyRegressionAlgorithm.cs
@@ -28,7 +28,7 @@ public class DelistedFutureLiquidateDailyRegressionAlgorithm : DelistedFutureLiq
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1681;
+        public override long DataPoints => 1690;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -38,7 +38,7 @@ public class DelistedFutureLiquidateDailyRegressionAlgorithm : DelistedFutureLiq
             {"Total Orders", "2"},
             {"Average Win", "7.78%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "38.564%"},
+            {"Compounding Annual Return", "38.609%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},

diff --git a/Algorithm.CSharp/HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm.cs b/Algorithm.CSharp/HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm.cs
@@ -129,7 +129,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1423;
+        public long DataPoints => 1432;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/HistoryWithDifferentDataMappingModeRegressionAlgorithm.cs b/Algorithm.CSharp/HistoryWithDifferentDataMappingModeRegressionAlgorithm.cs
@@ -101,7 +101,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1423;
+        public long DataPoints => 1432;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/HistoryWithDifferentDataNormalizationModeRegressionAlgorithm.cs b/Algorithm.CSharp/HistoryWithDifferentDataNormalizationModeRegressionAlgorithm.cs
@@ -93,7 +93,7 @@ private void CheckHistoryResultsForDataNormalizationModes(Symbol symbol, DateTim
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1483;
+        public long DataPoints => 1490;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallITMExpiryDailyRegressionAlgorithm.cs
@@ -38,7 +38,7 @@ public override void Initialize()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 194;
+        public override long DataPoints => 195;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionCallOTMExpiryDailyRegressionAlgorithm.cs
@@ -38,7 +38,7 @@ public override void Initialize()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 184;
+        public override long DataPoints => 185;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs b/Algorithm.CSharp/IndicatorSelectorsWorkWithDifferentOptions.cs
@@ -186,7 +186,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1575425;
+        public long DataPoints => 1575349;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/OptionIndicatorsMirrorContractsRegressionAlgorithm.cs b/Algorithm.CSharp/OptionIndicatorsMirrorContractsRegressionAlgorithm.cs
@@ -100,7 +100,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 49;
+        public long DataPoints => 51;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForSupportedAmericanOptionRegressionAlgorithm.cs
@@ -41,7 +41,7 @@ public override void Initialize()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 15785;
+        public override long DataPoints => 15787;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm.cs
@@ -40,7 +40,7 @@ public override void Initialize()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 15785;
+        public override long DataPoints => 15787;
 
         /// <summary>
         /// Data Points count of the algorithm history