Remove dynamic options filter behavior (#7620)

* Make options filter non-dynamic by default and explicitly set * Deprecate ContractSecurityFilterUniverse.OnlyApplyFilterAtMarketOpen * Add regression algorithm * Remove dynamic option chain filter behavior
QuantConnect · Dec 14, 2023 · 442dd77 · 442dd77
1 parent 59b9e57
commit 442dd77
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Showing 72 changed files with 276 additions and 205 deletions.
diff --git a/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs
@@ -116,7 +116,7 @@ public override void OnData(Slice data)
                     }
                     // find first put above market price
                     return u.IncludeWeeklys()
-                        .Strikes(+1, +1)
+                        .Strikes(+1, +3)
                         .Expiration(TimeSpan.Zero, TimeSpan.FromDays(1))
                         .Contracts(c => c.Where(s => s.ID.OptionRight == OptionRight.Put));
                 });
@@ -141,16 +141,6 @@ public override void OnData(Slice data)
 
         public override void OnSecuritiesChanged(SecurityChanges changes)
         {
-            if (changes.AddedSecurities.Count > 1)
-            {
-                // added event fired for underlying since it was added to the option chain universe
-                if (changes.AddedSecurities.All(s => s.Symbol != Underlying))
-                {
-                    var securities = string.Join(Environment.NewLine, changes.AddedSecurities.Select(s => s.Symbol));
-                    throw new Exception($"This algorithm intends to add a single security at a time but added: {changes.AddedSecurities.Count}{Environment.NewLine}{securities}");
-                }
-            }
-
             if (changes.AddedSecurities.Any())
             {
                 foreach (var added in changes.AddedSecurities)
@@ -213,7 +203,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 200618;
+        public long DataPoints => 200807;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -246,10 +236,10 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$6.00"},
-            {"Estimated Strategy Capacity", "$2000.00"},
+            {"Estimated Strategy Capacity", "$3000.00"},
             {"Lowest Capacity Asset", "GOOCV 305RBR0BSWIX2|GOOCV VP83T1ZUHROL"},
-            {"Portfolio Turnover", "1.19%"},
-            {"OrderListHash", "f5fb175f744ac9021efd92be13fbe386"}
+            {"Portfolio Turnover", "1.49%"},
+            {"OrderListHash", "3adcc7ebf4153baabb073a8152e8cb2b"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs b/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs
@@ -296,7 +296,7 @@ public override OrderEvent MarketFill(Security asset, MarketOrder order)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1272232;
+        public long DataPoints => 1267414;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs
@@ -102,7 +102,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475788;
+        public long DataPoints => 471135;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs
@@ -112,7 +112,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475777;
+        public long DataPoints => 471124;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs
@@ -109,7 +109,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475777;
+        public long DataPoints => 471124;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs
@@ -100,7 +100,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1253773;
+        public long DataPoints => 1252633;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs
@@ -109,7 +109,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 32492;
+        public long DataPoints => 32351;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
@@ -105,7 +105,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 65536;
+        public virtual long DataPoints => 57794;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs
@@ -48,7 +48,7 @@ public override void Initialize()
 
             // weekly option SPX contracts
             var spxw = AddIndexOption(spx, "SPXW");
-            spxw.SetFilter(u => u.Strikes(0, 1)
+            spxw.SetFilter(u => u.Strikes(-1, +1)
                  // single week ahead since there are many SPXW contracts and we want to preserve performance
                  .Expiration(0, 7)
                  .IncludeWeeklys());
@@ -66,7 +66,7 @@ public override void OnData(Slice slice)
             OptionChain chain;
             if (slice.OptionChains.TryGetValue(_spxOption, out chain))
             {
-                // we find the first expiration group of call options and order them in ascending strike 
+                // we find the first expiration group of call options and order them in ascending strike
                 var contracts = chain
                     .Where(x => x.Right == OptionRight.Call)
                     .OrderBy(x => x.Expiry)
@@ -109,7 +109,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 35451;
+        public virtual long DataPoints => 40893;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -121,31 +121,31 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Trades", "4"},
-            {"Average Win", "0.12%"},
-            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "8.975%"},
+            {"Total Trades", "10"},
+            {"Average Win", "0.47%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "99.729%"},
             {"Drawdown", "0.100%"},
-            {"Expectancy", "62.078"},
-            {"Net Profit", "0.110%"},
-            {"Sharpe Ratio", "-14.495"},
+            {"Expectancy", "24.484"},
+            {"Net Profit", "0.890%"},
+            {"Sharpe Ratio", "8.078"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "1.216%"},
+            {"Probabilistic Sharpe Ratio", "93.697%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "125.16"},
-            {"Alpha", "-0.014"},
-            {"Beta", "0.001"},
-            {"Annual Standard Deviation", "0"},
+            {"Profit-Loss Ratio", "49.97"},
+            {"Alpha", "-1.975"},
+            {"Beta", "0.301"},
+            {"Annual Standard Deviation", "0.021"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-103.223"},
-            {"Tracking Error", "0.069"},
-            {"Treynor Ratio", "-4.479"},
+            {"Information Ratio", "-143.477"},
+            {"Tracking Error", "0.049"},
+            {"Treynor Ratio", "0.566"},
             {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$1800000.00"},
+            {"Estimated Strategy Capacity", "$13000000.00"},
             {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
-            {"Portfolio Turnover", "0.03%"},
-            {"OrderListHash", "3d5b18554d5e10a5edaed0c7cb298192"}
+            {"Portfolio Turnover", "0.28%"},
+            {"OrderListHash", "ddc78aa04824180bc36aac3472ae22b4"}
         };
     }
 }
diff --git a/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs b/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs
@@ -53,7 +53,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 475788;
+        public override long DataPoints => 471135;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs b/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs
@@ -120,7 +120,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 475788;
+        public override long DataPoints => 471135;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs b/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs
@@ -52,7 +52,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 475788;
+        public override long DataPoints => 471135;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs b/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs
@@ -331,7 +331,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475788;
+        public long DataPoints => 471135;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs b/Algorithm.CSharp/CoveredCallComboLimitOrderAlgorithm.cs
@@ -106,7 +106,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 465320;
+        public long DataPoints => 463141;
 
         /// </summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/DefaultOptionPriceModelRegressionAlgorithm.cs b/Algorithm.CSharp/DefaultOptionPriceModelRegressionAlgorithm.cs
@@ -64,7 +64,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 7311;
+        public long DataPoints => 5265;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs b/Algorithm.CSharp/DelistingFutureOptionRegressionAlgorithm.cs
@@ -107,7 +107,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 4263205;
+        public virtual long DataPoints => 4180329;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/FutureNoTimeInUniverseRegressionAlgorithm.cs b/Algorithm.CSharp/FutureNoTimeInUniverseRegressionAlgorithm.cs
@@ -90,7 +90,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 14931;
+        public long DataPoints => 18491;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs b/Algorithm.CSharp/LiquidatingMultipleOptionStrategiesRegressionAlgorithm.cs
@@ -147,7 +147,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 526804;
+        public long DataPoints => 522277;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs b/Algorithm.CSharp/NakedShortOptionStrategyOverMarginAlgorithm.cs
@@ -131,7 +131,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 475777;
+        public long DataPoints => 471124;
 
         /// <summary>
         /// Data Points count of the algorithm history