Polish the order surface: numeric OrderFee, flat combo group ids, tag tolerance and notional targeting

Algorithm.CSharp/OrderSurfaceShortcutsRegressionAlgorithm.cs

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+/*
+ * 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;
+using System.Collections.Generic;
+using System.Linq;
+
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the flat order surface shortcuts: the numeric OrderFee
+    /// surface (OrderFee.Amount, arithmetic and comparison operators, OrderEvent.OrderFeeAmount),
+    /// the flat combo group ids (Order.GroupOrderManagerId, OrderEvent.GroupId, ComboOrderTicket),
+    /// the tag-argument tolerance of MarketOrder/Liquidate and OrderTargetNotional
+    /// </summary>
+    public class OrderSurfaceShortcutsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _equitySymbol;
+        private Symbol _optionSymbol;
+        private OrderTicket _taggedTicket;
+        private OrderTicket _notionalTicket;
+        private ComboOrderTicket _comboTicket;
+        private readonly HashSet<int?> _comboFillGroupIds = new();
+        private int _comboFillEventsCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(200000);
+
+            var equity = AddEquity("GOOG", leverage: 4, fillForward: true);
+            _equitySymbol = equity.Symbol;
+            var option = AddOption(equity.Symbol, fillForward: true);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_taggedTicket == null && IsMarketOpen(_equitySymbol))
+            {
+                // tag in the tag argument slot; the Python version passes it in the third positional slot
+                _taggedTicket = MarketOrder(_equitySymbol, 1, tag: "tagged entry");
+
+                // target an absolute notional value instead of a portfolio percentage
+                _notionalTicket = OrderTargetNotional(_equitySymbol, 10000);
+                if (_notionalTicket == null)
+                {
+                    throw new RegressionTestException("OrderTargetNotional was expected to place an order");
+                }
+
+                // a tag slipped into the symbol slot must fail pointing to the tag parameter
+                var liquidateFailed = false;
+                try
+                {
+                    Liquidate("EOD close");
+                }
+                catch (ArgumentException exception)
+                {
+                    liquidateFailed = true;
+                    if (!exception.Message.Contains("tag"))
+                    {
+                        throw new RegressionTestException(
+                            $"Liquidate() with an unknown ticker was expected to point to the tag parameter but the error was: {exception.Message}");
+                    }
+                }
+                if (!liquidateFailed)
+                {
+                    throw new RegressionTestException("Liquidate() with an unknown ticker was expected to fail");
+                }
+            }
+
+            if (_comboTicket == null && IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out var chain))
+            {
+                var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
+                    .GroupBy(x => x.Expiry)
+                    .OrderBy(grouping => grouping.Key)
+                    .First()
+                    .OrderBy(x => x.Strike)
+                    .ToList();
+                if (callContracts.Count < 3)
+                {
+                    return;
+                }
+
+                var legs = new List<Leg>()
+                {
+                    Leg.Create(callContracts[0].Symbol, 1),
+                    Leg.Create(callContracts[1].Symbol, -2),
+                    Leg.Create(callContracts[2].Symbol, 1)
+                };
+                _comboTicket = ComboMarketOrder(legs, 10);
+
+                if (_comboTicket.Count != legs.Count || _comboTicket.Tickets.Count != legs.Count)
+                {
+                    throw new RegressionTestException($"Expected {legs.Count} leg tickets, found {_comboTicket.Count}");
+                }
+                if (_comboTicket.GroupOrderManagerId == null)
+                {
+                    throw new RegressionTestException("The combo order ticket was expected to have a group order manager id");
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status != OrderStatus.Filled)
+            {
+                return;
+            }
+
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+
+            // the fee amount shortcuts and operators must match the two-level Value.Amount
+            var feeAmount = orderEvent.OrderFee.Value.Amount;
+            if (orderEvent.OrderFeeAmount != feeAmount || orderEvent.OrderFee.Amount != feeAmount)
+            {
+                throw new RegressionTestException($"Order fee amount shortcuts do not match the fee amount {feeAmount}");
+            }
+            if (orderEvent.OrderFee + orderEvent.OrderFee != 2 * feeAmount || (feeAmount != 0 && !(orderEvent.OrderFee > 0)))
+            {
+                throw new RegressionTestException($"Order fee operators do not match the fee amount {feeAmount}");
+            }
+
+            if (order.Type == OrderType.ComboMarket)
+            {
+                // Note: these fill events are received while the synchronous ComboMarketOrder() call is still
+                // in flight, so the combo ticket is checked against them in OnEndOfAlgorithm
+                _comboFillEventsCount++;
+                if (order.GroupOrderManagerId == null)
+                {
+                    throw new RegressionTestException("Combo orders were expected to have a group order manager id");
+                }
+                if (orderEvent.GroupId != order.GroupOrderManagerId)
+                {
+                    throw new RegressionTestException($"Expected order event group id {order.GroupOrderManagerId}, found {orderEvent.GroupId}");
+                }
+                _comboFillGroupIds.Add(order.GroupOrderManagerId);
+            }
+            else if (order.GroupOrderManagerId != null || orderEvent.GroupId != null)
+            {
+                throw new RegressionTestException("Non-combo orders were expected to have null group ids");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_taggedTicket == null || _taggedTicket.Tag != "tagged entry")
+            {
+                throw new RegressionTestException("The market order tag was not set from the tag argument");
+            }
+            if (_notionalTicket.Status != OrderStatus.Filled)
+            {
+                throw new RegressionTestException("The notional target order was expected to be filled");
+            }
+            if (_comboTicket == null || _comboFillEventsCount != _comboTicket.Count)
+            {
+                throw new RegressionTestException("The combo order was expected to be placed and filled");
+            }
+            if (!_comboTicket.Filled)
+            {
+                throw new RegressionTestException("The combo order ticket was expected to aggregate the leg fills");
+            }
+            if (_comboFillGroupIds.Single() != _comboTicket.GroupOrderManagerId)
+            {
+                throw new RegressionTestException($"Expected all combo fills to have group id {_comboTicket.GroupOrderManagerId}, " +
+                    $"found {string.Join(", ", _comboFillGroupIds)}");
+            }
+        }
+
+        /// <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 => 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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 15023;
+
+        /// <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", "5"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200000"},
+            {"End Equity", "198005.36"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$28.00"},
+            {"Estimated Strategy Capacity", "$80000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "35.27%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "94d4e9ad7a0c13884b49d68165ce6766"}
+        };
+    }
+}

Algorithm.Python/OrderSurfaceShortcutsRegressionAlgorithm.py

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+# 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.
+
+from AlgorithmImports import *
+
+### <summary>
+### Regression algorithm asserting the flat order surface shortcuts: the numeric OrderFee
+### surface (order_fee.amount, arithmetic and comparison operators, order_event.order_fee_amount),
+### the flat combo group ids (order.group_order_manager_id, order_event.group_id, ComboOrderTicket),
+### the tag-argument tolerance of market_order/liquidate and order_target_notional
+### </summary>
+class OrderSurfaceShortcutsRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+        self.set_cash(200000)
+
+        equity = self.add_equity("GOOG", leverage=4, fill_forward=True)
+        self._equity_symbol = equity.symbol
+        option = self.add_option(equity.symbol, fill_forward=True)
+        self._option_symbol = option.symbol
+
+        option.set_filter(lambda u: u.standards_only().strikes(-2, 2).expiration(0, 180))
+
+        self._tagged_ticket = None
+        self._notional_ticket = None
+        self._combo_ticket = None
+        self._combo_fill_group_ids = set()
+        self._combo_fill_events_count = 0
+
+    def on_data(self, slice):
+        if self._tagged_ticket is None and self.is_market_open(self._equity_symbol):
+            # the tag in the third positional slot must be accepted as the tag argument
+            self._tagged_ticket = self.market_order(self._equity_symbol, 1, "tagged entry")
+
+            # target an absolute notional value instead of a portfolio percentage
+            self._notional_ticket = self.order_target_notional(self._equity_symbol, 10000)
+            if self._notional_ticket is None:
+                raise AssertionError("order_target_notional was expected to place an order")
+
+            # a tag slipped into the symbol slot must fail pointing to the tag parameter
+            liquidate_failed = False
+            try:
+                self.liquidate("EOD close")
+            except Exception as exception:
+                liquidate_failed = True
+                if "tag" not in str(exception):
+                    raise AssertionError("liquidate() with an unknown ticker was expected to point to the "
+                                         f"tag parameter but the error was: {exception}")
+            if not liquidate_failed:
+                raise AssertionError("liquidate() with an unknown ticker was expected to fail")
+
+        if self._combo_ticket is None and self.is_market_open(self._option_symbol):
+            chain = slice.option_chains.get(self._option_symbol)
+            if chain is None:
+                return
+            call_contracts = [contract for contract in chain if contract.right == OptionRight.CALL]
+            if not call_contracts:
+                return
+            first_expiry = min(contract.expiry for contract in call_contracts)
+            call_contracts = sorted((contract for contract in call_contracts if contract.expiry == first_expiry),
+                                    key=lambda contract: contract.strike)
+            if len(call_contracts) < 3:
+                return
+
+            legs = [
+                Leg.create(call_contracts[0].symbol, 1),
+                Leg.create(call_contracts[1].symbol, -2),
+                Leg.create(call_contracts[2].symbol, 1),
+            ]
+            self._combo_ticket = self.combo_market_order(legs, 10)
+
+            if len(self._combo_ticket) != len(legs) or len(self._combo_ticket.tickets) != len(legs):
+                raise AssertionError(f"Expected {len(legs)} leg tickets, found {len(self._combo_ticket)}")
+            if self._combo_ticket.group_order_manager_id is None:
+                raise AssertionError("The combo order ticket was expected to have a group order manager id")
+
+    def on_order_event(self, order_event):
+        if order_event.status != OrderStatus.FILLED:
+            return
+
+        order = self.transactions.get_order_by_id(order_event.order_id)
+
+        # the fee amount shortcuts and operators must match the two-level value.amount
+        fee_amount = order_event.order_fee.value.amount
+        if order_event.order_fee_amount != fee_amount or order_event.order_fee.amount != fee_amount:
+            raise AssertionError(f"Order fee amount shortcuts do not match the fee amount {fee_amount}")
+        fee = order_event.order_fee
+        if fee + fee != 2 * fee_amount or sum([fee, fee], 0) != 2 * fee_amount or (fee_amount != 0 and not fee > 0):
+            raise AssertionError(f"Order fee operators do not match the fee amount {fee_amount}")
+
+        if order.type == OrderType.COMBO_MARKET:
+            # Note: these fill events are received while the synchronous combo_market_order() call is still
+            # in flight, so the combo ticket is checked against them in on_end_of_algorithm
+            self._combo_fill_events_count += 1
+            if order.group_order_manager_id is None:
+                raise AssertionError("Combo orders were expected to have a group order manager id")
+            if order_event.group_id != order.group_order_manager_id:
+                raise AssertionError(f"Expected order event group id {order.group_order_manager_id}, "
+                                     f"found {order_event.group_id}")
+            self._combo_fill_group_ids.add(order.group_order_manager_id)
+        elif order.group_order_manager_id is not None or order_event.group_id is not None:
+            raise AssertionError("Non-combo orders were expected to have null group ids")
+
+    def on_end_of_algorithm(self):
+        if self._tagged_ticket is None or self._tagged_ticket.tag != "tagged entry":
+            raise AssertionError("The market order tag was not set from the tag argument")
+        if self._notional_ticket.status != OrderStatus.FILLED:
+            raise AssertionError("The notional target order was expected to be filled")
+        if self._combo_ticket is None or self._combo_fill_events_count != len(self._combo_ticket):
+            raise AssertionError("The combo order was expected to be placed and filled")
+        if not self._combo_ticket.filled:
+            raise AssertionError("The combo order ticket was expected to aggregate the leg fills")
+        if self._combo_fill_group_ids != {self._combo_ticket.group_order_manager_id}:
+            raise AssertionError(f"Expected all combo fills to have group id {self._combo_ticket.group_order_manager_id}, "
+                                 f"found {self._combo_fill_group_ids}")