Return weekly contracts if no standard contracts exist

Author: JosueNina

Algorithm.CSharp/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.cs

@@ -0,0 +1,143 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.Option;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Verifies that weekly option contracts are included when no standard contracts are available.
+    /// </summary>
+    public class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Option _option;
+        private Symbol _optionSymbol;
+        private int _weeklyCount;
+        private int _totalCount;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+
+            _option = AddOption("GOOG");
+            _optionSymbol = _option.Symbol;
+
+            _option.SetFilter((optionFilter) =>
+            {
+                return optionFilter.Strikes(-8, +8).Expiration(0, 0);
+            });
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            OptionChain chain;
+            if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+            {
+                _totalCount += chain.Contracts.Count;
+                foreach (var contract in chain.Contracts.Values)
+                {
+                    if (!OptionSymbol.IsStandard(contract.Symbol))
+                    {
+                        _weeklyCount++;
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_weeklyCount == 0)
+            {
+                throw new RegressionTestException("No weekly contracts found");
+            }
+            if (_totalCount != _weeklyCount)
+            {
+                throw new RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only");
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 22702;
+
+        /// <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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.Python/OptionChainIncludeWeeklysByDefaultRegressionAlgorithm.py

@@ -0,0 +1,46 @@
+# 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>
+### Verifies that weekly option contracts are included when no standard contracts are available.
+### </summary>
+class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 24)
+        self.set_end_date(2015, 12, 24)
+
+        self.option = self.add_option("GOOG")
+        self.option_symbol = self.option.Symbol
+
+        self.option.set_filter(lambda u: u.strikes(-8, 8).expiration(0, 0))
+
+        self.weekly_count = 0
+        self.total_count = 0
+
+    def on_data(self, data):
+        chain = data.option_chains.get(self.option_symbol)
+        if chain:
+            self.total_count += len(chain.contracts)
+            for contract in chain.contracts.values():
+                if not OptionSymbol.is_standard(contract.symbol):
+                    self.weekly_count += 1
+    
+    def on_end_of_algorithm(self):
+        if self.weekly_count == 0:
+            raise RegressionTestException("No weekly contracts found")
+        
+        if self.total_count != self.weekly_count:
+            raise RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only")

Common/Securities/ContractSecurityFilterUniverse.cs

@@ -27,8 +27,8 @@ namespace QuantConnect.Securities
     /// Used by OptionFilterUniverse and FutureFilterUniverse
     /// </summary>
     public abstract class ContractSecurityFilterUniverse<T, TData> : IDerivativeSecurityFilterUniverse<TData>
-        where T: ContractSecurityFilterUniverse<T, TData>
-        where TData: IChainUniverseData
+        where T : ContractSecurityFilterUniverse<T, TData>
+        where TData : IChainUniverseData
     {
         private bool _alreadyAppliedTypeFilters;
 
@@ -107,6 +107,7 @@ internal IEnumerable<Symbol> AllSymbols
         /// </summary>
         protected ContractSecurityFilterUniverse()
         {
+            Type = ContractExpirationType.Standard | ContractExpirationType.Weekly;
         }
 
         /// <summary>
@@ -116,7 +117,7 @@ protected ContractSecurityFilterUniverse(IEnumerable<TData> allData, DateTime lo
         {
             Data = allData;
             LocalTime = localTime;
-            Type = ContractExpirationType.Standard;
+            Type = ContractExpirationType.Standard | ContractExpirationType.Weekly;
         }
 
         /// <summary>
@@ -139,7 +140,7 @@ internal T ApplyTypesFilter()
         {
             if (_alreadyAppliedTypeFilters)
             {
-                return (T) this;
+                return (T)this;
             }
 
             // memoization map for ApplyTypesFilter()
@@ -174,7 +175,7 @@ internal T ApplyTypesFilter()
             }).ToList();
 
             _alreadyAppliedTypeFilters = true;
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -186,7 +187,7 @@ public virtual void Refresh(IEnumerable<TData> allData, DateTime localTime)
         {
             Data = allData;
             LocalTime = localTime;
-            Type = ContractExpirationType.Standard;
+            Type = ContractExpirationType.Standard | ContractExpirationType.Weekly;
             _alreadyAppliedTypeFilters = false;
         }
 
@@ -241,11 +242,11 @@ public virtual T FrontMonth()
         {
             ApplyTypesFilter();
             var ordered = Data.OrderBy(x => x.ID.Date).ToList();
-            if (ordered.Count == 0) return (T) this;
+            if (ordered.Count == 0) return (T)this;
             var frontMonth = ordered.TakeWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             Data = frontMonth.ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -256,11 +257,11 @@ public virtual T BackMonths()
         {
             ApplyTypesFilter();
             var ordered = Data.OrderBy(x => x.ID.Date).ToList();
-            if (ordered.Count == 0) return (T) this;
+            if (ordered.Count == 0) return (T)this;
             var backMonths = ordered.SkipWhile(x => ordered[0].ID.Date == x.ID.Date);
 
             Data = backMonths.ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -351,7 +352,7 @@ public T Contracts(PyObject contracts)
         public T Contracts(IEnumerable<Symbol> contracts)
         {
             AllSymbols = contracts.ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -376,7 +377,7 @@ public T Contracts(Func<IEnumerable<TData>, IEnumerable<Symbol>> contractSelecto
         {
             // force materialization using ToList
             AllSymbols = contractSelector(Data).ToList();
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>
@@ -400,7 +401,7 @@ public T Contracts(Func<IEnumerable<TData>, IEnumerable<TData>> contractSelector
         [Obsolete("Deprecated as of 2023-12-13. Filters are always non-dynamic as of now, which means they will only bee applied daily.")]
         public T OnlyApplyFilterAtMarketOpen()
         {
-            return (T) this;
+            return (T)this;
         }
 
         /// <summary>