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Martin-MolineroMartin-Molinero
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Merge pull request QuantConnect#4407 from michael-sena/feature-open-interest-future-universe
Add a futures universe selection model that uses open interest
2 parents 86794a9 + a5d7bda commit 9385707

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‎Algorithm.CSharp/OpenInterestFuturesRegressionAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Futures framework algorithm that uses open interest to select the active contract.
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/// </summary>
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="futures" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="filter selection" />
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public class OpenInterestFuturesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private static readonly HashSet<DateTime> ExpectedExpiryDates = new HashSet<DateTime>
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{
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new DateTime(2013, 12, 27),
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new DateTime(2014, 02, 26)
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};
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public override void Initialize()
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{
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UniverseSettings.Resolution = Resolution.Tick;
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 11);
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SetCash(10000000);
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// set framework models
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SetUniverseSelection(
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new OpenInterestFutureUniverseSelectionModel(
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this,
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t => new[] {QuantConnect.Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX)},
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null,
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ExpectedExpiryDates.Count
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)
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);
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}
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public override void OnData(Slice slice)
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{
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if (Transactions.OrdersCount == 0 && slice.HasData)
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{
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var matched = slice.Keys.Where(s => !ExpectedExpiryDates.Contains(s.ID.Date)).ToList();
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if (matched.Count != 0)
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{
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throw new Exception($"{matched.Count}/{slice.Keys.Count} were unexpected expiry date(s): " + string.Join(", ", matched.Select(x => x.ID.Date)));
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}
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foreach (var symbol in slice.Keys)
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{
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MarketOrder(symbol, 1);
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}
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}
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else if (Portfolio.Any(p => p.Value.Invested))
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{
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Liquidate();
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to
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/// run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = {Language.CSharp};
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "4"},
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{"Average Win", "0.00%"},
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{"Average Loss", "0.00%"},
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{"Compounding Annual Return", "0.003%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0.351"},
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{"Net Profit", "0.000%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "1.70"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-58.133"},
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{"Tracking Error", "0.173"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$7.40"},
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{"Fitness Score", "0.017"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0.017"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "824503313"}
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};
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}
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}

‎Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj‎

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<Compile Include="AltData\TiingoNewsAlgorithm.cs" />
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<Compile Include="AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs" />
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<Compile Include="AutomaticIndicatorWarmupRegressionAlgorithm.cs" />
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<Compile Include="OpenInterestFuturesRegressionAlgorithm.cs" />
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<Compile Include="CustomPartialFillModelAlgorithm.cs" />
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<Compile Include="EquityTradeAndQuotesRegressionAlgorithm.cs" />
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<Compile Include="BasicTemplateConstituentUniverseAlgorithm.cs" />

‎Algorithm.Framework/QuantConnect.Algorithm.Framework.csproj‎

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<Compile Include="Alphas\ConstantAlphaModel.cs" />
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<Compile Include="Alphas\MacdAlphaModel.cs" />
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<Compile Include="Selection\FutureUniverseSelectionModel.cs" />
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<Compile Include="Selection\OpenInterestFutureUniverseSelectionModel.cs" />
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<Compile Include="Selection\OptionUniverseSelectionModel.cs" />
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<Compile Include="Selection\ScheduledUniverseSelectionModel.cs" />
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<Compile Include="Selection\QC500UniverseSelectionModel.cs" />

‎Algorithm.Framework/Selection/OpenInterestFutureUniverseSelectionModel.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.Framework.Selection
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{
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/// <summary>
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/// Selects contracts in a futures universe, sorted by open interest. This allows the selection to identifiy current
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/// active contract.
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/// </summary>
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public class OpenInterestFutureUniverseSelectionModel : FutureUniverseSelectionModel
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{
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private readonly int? _chainContractsLookupLimit;
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private readonly IAlgorithm _algorithm;
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private readonly int? _resultsLimit;
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private readonly MarketHoursDatabase _marketHoursDatabase;
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/// <summary>
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/// Creates a new instance of <see cref="OpenInterestFutureUniverseSelectionModel" />
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/// </summary>
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/// <param name="algorithm">Algorithm</param>
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/// <param name="futureChainSymbolSelector">Selects symbols from the provided future chain</param>
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/// <param name="chainContractsLookupLimit">Limit on how many contracts to query for open interest</param>
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/// <param name="resultsLimit">Limit on how many contracts will be part of the universe</param>
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public OpenInterestFutureUniverseSelectionModel(IAlgorithm algorithm, Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector, int? chainContractsLookupLimit = 6,
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int? resultsLimit = 1) : base(TimeSpan.FromDays(1), futureChainSymbolSelector)
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{
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_marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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if (algorithm == null)
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{
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throw new ArgumentNullException(nameof(algorithm));
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}
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_algorithm = algorithm;
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_resultsLimit = resultsLimit;
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_chainContractsLookupLimit = chainContractsLookupLimit;
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}
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/// <summary>
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/// Defines the future chain universe filter
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/// </summary>
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protected override FutureFilterUniverse Filter(FutureFilterUniverse filter)
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{
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return filter.Contracts(FilterByOpenInterest(filter.ToDictionary(x => x, x => _marketHoursDatabase.GetEntry(x.ID.Market, x, x.ID.SecurityType).ExchangeHours)));
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}
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/// <summary>
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/// Filters a set of contracts based on open interest.
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/// </summary>
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/// <param name="contracts">Contracts to filter</param>
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/// <returns>Filtered set</returns>
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public IEnumerable<Symbol> FilterByOpenInterest(IReadOnlyDictionary<Symbol, SecurityExchangeHours> contracts)
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{
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var symbols = new List<Symbol>(_chainContractsLookupLimit.HasValue ? contracts.Keys.OrderBy(x => x.ID.Date).Take(_chainContractsLookupLimit.Value) : contracts.Keys);
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var openInterest = symbols.GroupBy(x => contracts[x]).SelectMany(g => GetOpenInterest(g.Key, g.Select(i => i))).ToDictionary(x => x.Key, x => x.Value);
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if (openInterest.Count == 0)
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{
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_algorithm.Error(
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$"{nameof(OpenInterestFutureUniverseSelectionModel)}.{nameof(FilterByOpenInterest)}: Failed to get historical open interest, no symbol will be selected."
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);
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return Enumerable.Empty<Symbol>();
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}
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var filtered = openInterest.OrderByDescending(x => x.Value).ThenBy(x => x.Key.ID.Date).Select(x => x.Key);
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if (_resultsLimit.HasValue)
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{
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filtered = filtered.Take(_resultsLimit.Value);
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}
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return filtered;
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}
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private Dictionary<Symbol, decimal> GetOpenInterest(SecurityExchangeHours exchangeHours, IEnumerable<Symbol> symbols)
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{
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var current = _algorithm.UtcTime;
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var endTime = Instant.FromDateTimeUtc(_algorithm.UtcTime).InZone(exchangeHours.TimeZone).ToDateTimeUnspecified();
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var previousDay = Time.GetStartTimeForTradeBars(exchangeHours, endTime, Time.OneDay, 1, true);
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var requests = symbols.Select(
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symbol => new HistoryRequest(
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previousDay,
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current,
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typeof(Tick),
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symbol,
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Resolution.Tick,
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exchangeHours,
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exchangeHours.TimeZone,
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null,
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true,
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false,
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DataNormalizationMode.Raw,
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TickType.OpenInterest
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)
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)
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.ToArray();
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return _algorithm.HistoryProvider.GetHistory(requests, exchangeHours.TimeZone)
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.Where(s => s.HasData && s.Ticks.Keys.Count > 0)
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.SelectMany(s => s.Ticks.Select(x => new Tuple<Symbol, Tick>(x.Key, x.Value.LastOrDefault())))
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.GroupBy(x => x.Item1)
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.ToDictionary(x => x.Key, x => x.OrderByDescending(i => i.Item2.Time).LastOrDefault().Item2.Value);
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}
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}
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}

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