/*

* 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.Linq;

using QuantConnect.Data;

using QuantConnect.Data.Market;

using QuantConnect.Orders;

using QuantConnect.Securities;

using QuantConnect.Securities.Option;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// This example demonstrates how to create a multi asset class trading strategy.

/// It is designed for test purposes and can be used with paper brokerage. All asset classes are not

/// necessarily supported by some brokers. See our website for details.

/// </summary>

/// <meta name="tag" content="using data" />

/// <meta name="tag" content="futures" />

/// <meta name="tag" content="equity" />

/// <meta name="tag" content="options" />

public class BasicTemplateMultiAssetAlgorithm : QCAlgorithm

{

private int _barCount = 0;

private Symbol _equitySymbol;

private Symbol _forexSymbol;

private Symbol _futureSymbol;

private Symbol _optionSymbol;

public override void Initialize()

{

SetStartDate(2016, 01, 28);

SetEndDate(2016, 02, 29);

SetCash(1000000);

// setting up Microsoft Equity

_equitySymbol = AddEquity("MSFT").Symbol;

// setting up EUR/USD FX spot pair

_forexSymbol = AddForex("EURUSD").Symbol;

// setting up S&P 500 EMini futures

var futureSP500 = AddFuture(Futures.Indices.SP500EMini);

_futureSymbol = futureSP500.Symbol;

// set our expiry filter for this futures chain

// SetFilter method accepts TimeSpan objects or integer for days.

// The following statements yield the same filtering criteria

futureSP500.SetFilter(10, 182);

// futureSP500.SetFilter(TimeSpan.FromDays(10), TimeSpan.FromDays(182));

// setting up Dow Jones ETF Options

var option = AddOption("DIA");

_optionSymbol = option.Symbol;

option.PriceModel = OptionPriceModels.BinomialCoxRossRubinstein();

// option.EnableGreekApproximation = true;

// set our strike/expiry filter for this option chain

// SetFilter method accepts TimeSpan objects or integer for days.

// The following statements yield the same filtering criteria

option.SetFilter(-2, +2, 0, 180);

// option.SetFilter(-2, +2, TimeSpan.Zero, TimeSpan.FromDays(180));

// specifying zero benchmark

SetBenchmark(date => 0m);

}

/// <summary>

/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event

/// </summary>

/// <param name="slice">The current slice of data keyed by symbol string</param>

public override void OnData(Slice slice)

{

_barCount++;

if (_barCount % 20 == 0)

{

if (!Portfolio.Invested)

{

foreach (var chain in slice.FutureChains)

{

// find the front contract expiring no earlier than in 90 days

var contract = (

from futuresContract in chain.Value.OrderBy(x => x.Expiry)

where futuresContract.Expiry > Time.Date.AddDays(90)

select futuresContract

).FirstOrDefault();

// if found, trade it

if (contract != null)

{

MarketOrder(contract.Symbol, 1);

}

}

OptionChain optionChain;

if (slice.OptionChains.TryGetValue(_optionSymbol, out optionChain))

{

// find a farthest ATM contract

var contract = optionChain

.OrderBy(x => Math.Abs(optionChain.Underlying.Price - x.Strike))

.ThenByDescending(x => x.Expiry)

.FirstOrDefault();

// if found, trade it

if (contract != null)

{

MarketOrder(contract.Symbol, 1);

}

}

// trade MSFT

MarketOrder(_equitySymbol, 100);

// trade FX pair

MarketOrder(_forexSymbol, 100000);

}

else

{

Liquidate();

}

}

if (_barCount % 20 == 1)

{

Log($"P/L:{Portfolio.TotalUnrealisedProfit.ToStringInvariant("0.00")}, " +

$"Fees:{Portfolio.TotalFees.ToStringInvariant("0.00")}, " +

$"Profit:{Portfolio.TotalProfit.ToStringInvariant("0.00")}, " +

$"Eq:{Portfolio.TotalPortfolioValue.ToStringInvariant("0.00")}, " +

$"Holdings:{Portfolio.TotalHoldingsValue.ToStringInvariant("0.00")}, " +

$"Vol: {Portfolio.TotalSaleVolume.ToStringInvariant("0.00")}, " +

$"Margin: {Portfolio.TotalMarginUsed.ToStringInvariant("0.00")}"

);

foreach (var holding in Securities.Values.OrderByDescending(x => x.Holdings.AbsoluteQuantity))

{

Log($" - {holding.Symbol.Value}, " +

$"Avg Prc:{holding.Holdings.AveragePrice.ToStringInvariant("0.00")}, " +

$"Qty:{holding.Holdings.Quantity.ToStringInvariant("0.00")}, " +

$"Mkt Prc:{holding.Holdings.Price.ToStringInvariant("0.00")}, " +

$"Mkt Val:{holding.Holdings.HoldingsValue.ToStringInvariant("0.00")}, " +

$"Unreal P/L: {holding.Holdings.UnrealizedProfit.ToStringInvariant("0.00")}, " +

$"Fees: {holding.Holdings.TotalFees.ToStringInvariant("0.00")}, " +

$"Vol: {holding.Holdings.TotalSaleVolume.ToStringInvariant("0.00")}"

);

}

}

if (_barCount % 20 == 2)

{

foreach (var chain in slice.OptionChains)

{

var underlying = Securities[chain.Key.Underlying];

foreach (var contract in chain.Value)

{

Log($"{Time.ToStringInvariant()} {contract.Symbol.Value}," +

$"B={contract.BidPrice.ToStringInvariant()} " +

$"A={contract.AskPrice.ToStringInvariant()} " +

$"L={contract.LastPrice.ToStringInvariant()} " +

$"OI={contract.OpenInterest.ToStringInvariant()} " +

$"σ={underlying.VolatilityModel.Volatility:0.00} " +

$"NPV={contract.TheoreticalPrice.ToStringInvariant("0.00")} " +

$"Δ={contract.Greeks.Delta.ToStringInvariant("0.00")} " +

$"Γ={contract.Greeks.Gamma.ToStringInvariant("0.00")} " +

$"ν={contract.Greeks.Vega.ToStringInvariant("0.00")} " +

$"ρ={contract.Greeks.Rho.ToStringInvariant("0.00")} " +

$"Θ={(contract.Greeks.Theta / 365.0m).ToStringInvariant("0.00")} " +

$"IV={contract.ImpliedVolatility.ToStringInvariant("0.00")}"

);

}

}

foreach (var chain in slice.FutureChains)

{

foreach (var contract in chain.Value)

{

Log($"{contract.Symbol.Value}, {Time}, " +

$"B={contract.BidPrice} " +

$"A={contract.AskPrice} " +

$"L={contract.LastPrice} " +

$"OI={contract.OpenInterest}"

);

}

}

}

foreach (var kpv in slice.QuoteBars)

{

Log($"---> QuoteBar: {Time}, {kpv.Key.Value}, {kpv.Value.Close:0.0000}");

}

foreach (var kpv in slice.Bars)

{

Log($"---> Bar: {Time}, {kpv.Key.Value}, {kpv.Value.Close.ToStringInvariant("0.0000")}");

}

}

/// <summary>

/// Order fill event handler. On an order fill update the resulting information is passed to this method.

/// </summary>

/// <param name="orderEvent">Order event details containing details of the evemts</param>

/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>

public override void OnOrderEvent(OrderEvent orderEvent)

{

Log(orderEvent.ToString());

}

}

}