Use universe settings when adding derivatives

Algorithm.CSharp/AuxiliaryDataHandlersRegressionAlgorithm.cs

@@ -119,7 +119,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 126222;
+        public long DataPoints => 17270;
 
         /// <summary>
         /// Data Points count of the algorithm history

Algorithm.CSharp/EquityOptionsUniverseSettingsRegressionAlgorithm.cs

@@ -0,0 +1,153 @@
+/*
+ * 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;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Securities;
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that options from universe are added with the same resolution, fill forward and extended market hours settings as the universe settings.
+    /// </summary>
+    public class EquityOptionsUniverseSettingsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private SecurityType[] _securityTypes;
+        private HashSet<SecurityType> _checkedSecurityTypes = new();
+
+        protected virtual DateTime TestStartDate => new DateTime(2015, 12, 24);
+
+        public override void Initialize()
+        {
+            SetStartDate(TestStartDate);
+            SetEndDate(TestStartDate.AddDays(1));
+            SetCash(100000);
+
+            UniverseSettings.Resolution = Resolution.Daily;
+            UniverseSettings.FillForward = false;
+            UniverseSettings.ExtendedMarketHours = true;
+
+            _securityTypes = AddSecurity();
+        }
+
+        protected virtual SecurityType[] AddSecurity()
+        {
+            var equity = AddEquity("GOOG");
+            var option = AddOption(equity.Symbol);
+            option.SetFilter(u => u.StandardsOnly().Strikes(-2, +2).Expiration(0, 180));
+
+            return [option.Symbol.SecurityType];
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            var securities = changes.AddedSecurities.Where(x => _securityTypes.Contains(x.Type) && !x.Symbol.IsCanonical()).Select(x => x.Symbol).ToList();
+            var configs = SubscriptionManager.Subscriptions.Where(x => securities.Contains(x.Symbol));
+
+            foreach (var config in configs)
+            {
+                if (config.Resolution != UniverseSettings.Resolution)
+                {
+                    throw new RegressionTestException($"Config '{config}' resolution {config.Resolution} does not match universe settings resolution {UniverseSettings.Resolution}");
+                }
+
+                if (config.FillDataForward != UniverseSettings.FillForward)
+                {
+                    throw new RegressionTestException($"Config '{config}' fill forward {config.FillDataForward} does not match universe settings fill forward {UniverseSettings.FillForward}");
+                }
+
+                if (config.ExtendedMarketHours != UniverseSettings.ExtendedMarketHours)
+                {
+                    throw new RegressionTestException($"Config '{config}' extended market hours {config.ExtendedMarketHours} does not match universe settings extended market hours {UniverseSettings.ExtendedMarketHours}");
+                }
+
+                _checkedSecurityTypes.Add(config.SecurityType);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_checkedSecurityTypes.Count != _securityTypes.Length || !_securityTypes.All(_checkedSecurityTypes.Contains))
+            {
+                throw new RegressionTestException($"Not all security types were checked. Expected: {string.Join(", ", _securityTypes)}. Checked: {string.Join(", ", _checkedSecurityTypes)}");
+            }
+        }
+
+        /// <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 => 4276;
+
+        /// <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 virtual 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.CSharp/FundamentalRegressionAlgorithm.cs

@@ -222,7 +222,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 77169;
+        public long DataPoints => 70972;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -239,34 +239,34 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "2"},
+            {"Total Orders", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "-1.016%"},
+            {"Compounding Annual Return", "-1.169%"},
             {"Drawdown", "0.100%"},
             {"Expectancy", "0"},
             {"Start Equity", "100000"},
-            {"End Equity", "99963.64"},
-            {"Net Profit", "-0.036%"},
-            {"Sharpe Ratio", "-4.731"},
-            {"Sortino Ratio", "-6.776"},
-            {"Probabilistic Sharpe Ratio", "24.373%"},
+            {"End Equity", "99958.14"},
+            {"Net Profit", "-0.042%"},
+            {"Sharpe Ratio", "-3.451"},
+            {"Sortino Ratio", "-4.933"},
+            {"Probabilistic Sharpe Ratio", "27.530%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
             {"Alpha", "-0.013"},
-            {"Beta", "0.023"},
-            {"Annual Standard Deviation", "0.003"},
+            {"Beta", "0.043"},
+            {"Annual Standard Deviation", "0.005"},
             {"Annual Variance", "0"},
             {"Information Ratio", "0.607"},
-            {"Tracking Error", "0.095"},
-            {"Treynor Ratio", "-0.654"},
-            {"Total Fees", "$2.00"},
+            {"Tracking Error", "0.093"},
+            {"Treynor Ratio", "-0.381"},
+            {"Total Fees", "$3.00"},
             {"Estimated Strategy Capacity", "$1900000000.00"},
             {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
-            {"Portfolio Turnover", "0.30%"},
-            {"Drawdown Recovery", "5"},
-            {"OrderListHash", "9b3bf202c3d5707779f25e9c7f7fdc92"}
+            {"Portfolio Turnover", "0.45%"},
+            {"Drawdown Recovery", "4"},
+            {"OrderListHash", "63a37fcfe86bca2e037d9dbb9c531e43"}
         };
     }
 }

Algorithm.CSharp/FuturesAndFutureOptionsUniverseSettingsRegressionAlgorithm.cs

@@ -0,0 +1,44 @@
+/*
+ * 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.Securities;
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that futures and future options from universe are added with the same resolution, fill forward and extended market hours settings as the universe settings.
+    /// </summary>
+    public class FuturesAndFutureOptionsUniverseSettingsRegressionAlgorithm : EquityOptionsUniverseSettingsRegressionAlgorithm
+    {
+        protected override DateTime TestStartDate => new DateTime(2020, 01, 03);
+
+        protected override SecurityType[] AddSecurity()
+        {
+            var futures = AddFuture(Futures.Indices.SP500EMini);
+            futures.SetFilter(0, 180);
+
+            AddFutureOption(futures.Symbol, universe => universe.Strikes(-5, +5));
+
+            return [SecurityType.Future, SecurityType.FutureOption];
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 456;
+    }
+}

Algorithm.CSharp/IndexOptionsUniverseSettingsRegressionAlgorithm.cs

@@ -0,0 +1,78 @@
+/*
+ * 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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that index options from universe are added with the same resolution, fill forward and extended market hours settings as the universe settings.
+    /// </summary>
+    public class IndexOptionsUniverseSettingsRegressionAlgorithm : EquityOptionsUniverseSettingsRegressionAlgorithm
+    {
+        protected override DateTime TestStartDate => new DateTime(2021, 01, 05);
+
+        protected override SecurityType[] AddSecurity()
+        {
+            var index = AddIndex("SPX");
+            var indexOption = AddOption(index.Symbol);
+            indexOption.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
+
+            return [indexOption.Symbol.SecurityType];
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 46;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override 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", "-16.713"},
+            {"Tracking Error", "0.067"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.Python/IndexOptionCallButterflyAlgorithm.py

@@ -65,6 +65,5 @@ def on_data(self, slice: Slice) -> None:
         call_butterfly = OptionStrategies.call_butterfly(self.spxw, otm_strike, atm_strike, itm_strike, expiry)
         price = sum([abs(self.securities[x.symbol].price * x.quantity) * self.multiplier for x in call_butterfly.underlying_legs])
         if price > 0:
-            quantity = self.portfolio.total_portfolio_value // price
+            quantity = int(self.portfolio.total_portfolio_value // price)
             self.tickets = self.buy(call_butterfly, quantity, asynchronous=True)
-

Algorithm.Python/IndexOptionPutButterflyAlgorithm.py

@@ -65,6 +65,5 @@ def on_data(self, slice: Slice) -> None:
         put_butterfly = OptionStrategies.put_butterfly(self.spxw, itm_strike, atm_strike, otm_strike, expiry)
         price = sum([abs(self.securities[x.symbol].price * x.quantity) * self.multiplier for x in put_butterfly.underlying_legs])
         if price > 0:
-            quantity = self.portfolio.total_portfolio_value // price
+            quantity = int(self.portfolio.total_portfolio_value // price)
             self.tickets = self.buy(put_butterfly, quantity, asynchronous=True)
-