Index option chain backwards compatibility (#8395)

* Fix option universe Set right time using exchange time zone when reading. Remove OptionUniverse market hours hack in GetEntry extension method. * Minor change
QuantConnect · Nov 15, 2024 · fa1ef4f · fa1ef4f
1 parent f7b012a
commit fa1ef4f
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Showing 14 changed files with 46 additions and 38 deletions.
diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
@@ -67,7 +67,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 356;
+        public override long DataPoints => 350;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs
@@ -38,7 +38,7 @@ public class BasicTemplateIndexOptionsHourlyAlgorithm : BasicTemplateIndexOption
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 1269;
+        public override long DataPoints => 1263;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
@@ -123,29 +123,29 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Total Orders", "5"},
             {"Average Win", "0%"},
             {"Average Loss", "-0.69%"},
-            {"Compounding Annual Return", "54.478%"},
+            {"Compounding Annual Return", "55.039%"},
             {"Drawdown", "0.400%"},
             {"Expectancy", "-0.5"},
             {"Start Equity", "1000000"},
             {"End Equity", "1006025"},
             {"Net Profit", "0.602%"},
-            {"Sharpe Ratio", "2.62"},
+            {"Sharpe Ratio", "3.01"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "63.221%"},
+            {"Probabilistic Sharpe Ratio", "62.865%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.067"},
-            {"Beta", "-0.013"},
+            {"Alpha", "0.249"},
+            {"Beta", "-0.033"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-50.808"},
-            {"Tracking Error", "0.086"},
-            {"Treynor Ratio", "-0.725"},
+            {"Information Ratio", "-99.414"},
+            {"Tracking Error", "0.072"},
+            {"Treynor Ratio", "-0.382"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$580000.00"},
             {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
-            {"Portfolio Turnover", "0.40%"},
+            {"Portfolio Turnover", "0.48%"},
             {"OrderListHash", "07a085baedb37bb7c8d460558ea77e88"}
         };
     }

diff --git a/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs b/Algorithm.CSharp/IndexOptionScaledStrikeRegressionAlgorithm.cs
@@ -92,7 +92,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 106;
+        public long DataPoints => 104;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.cs
@@ -33,15 +33,15 @@ public override void Initialize()
             // BlackScholes model supports European style options
             option.PriceModel = OptionPriceModels.BlackScholes();
 
-            SetWarmup(7, Resolution.Daily);
+            SetWarmup(8, Resolution.Daily);
 
             Init(option, optionStyleIsSupported: true);
         }
 
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 177;
+        public override long DataPoints => 193;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.cs b/Algorithm.CSharp/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.cs
@@ -34,15 +34,15 @@ public override void Initialize()
             // BaroneAdesiWhaley model does not support European style options
             option.PriceModel = OptionPriceModels.BaroneAdesiWhaley();
 
-            SetWarmup(7, Resolution.Daily);
+            SetWarmup(8, Resolution.Daily);
 
             Init(option, optionStyleIsSupported: false);
         }
 
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 177;
+        public override long DataPoints => 193;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.Python/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.py b/Algorithm.Python/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.py
@@ -27,6 +27,6 @@ def initialize(self):
         # BlackScholes model supports European style options
         option.price_model = OptionPriceModels.black_scholes()
 
-        self.set_warmup(7, Resolution.DAILY)
+        self.set_warmup(8, Resolution.DAILY)
 
         self.init(option, option_style_is_supported=True)
diff --git a/Algorithm.Python/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.py b/Algorithm.Python/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.py
@@ -27,6 +27,6 @@ def initialize(self):
         # BaroneAdesiWhaley model does not support European style options
         option.price_model = OptionPriceModels.barone_adesi_whaley()
 
-        self.set_warmup(7, Resolution.DAILY)
+        self.set_warmup(8, Resolution.DAILY)
 
         self.init(option, option_style_is_supported=False)
diff --git a/Common/Data/UniverseSelection/OptionUniverse.cs b/Common/Data/UniverseSelection/OptionUniverse.cs
@@ -239,7 +239,7 @@ public override BaseData Reader(SubscriptionDataConfig config, StreamReader stre
                 CacheSymbol(key, symbol);
             }
 
-            return new OptionUniverse(date, symbol, remainingLine);
+            return new OptionUniverse(date.ConvertTo(config.DataTimeZone, config.ExchangeTimeZone), symbol, remainingLine);
         }
 
         /// <summary>

diff --git a/Common/Extensions.cs b/Common/Extensions.cs
@@ -191,16 +191,7 @@ public static MarketHoursDatabase.Entry GetEntry(this MarketHoursDatabase market
                 return entry;
             }
 
-            var result = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
-
-            // For option universes, the data time zone is the same as the exchange time zone so that selection
-            // happens at exchange time regardless of whether there exchange and data time zones are different.
-            if (result != null && dataTypes.Any(dataType => dataType == typeof(OptionUniverse)))
-            {
-                result = new MarketHoursDatabase.Entry(result.ExchangeHours.TimeZone, result.ExchangeHours);
-            }
-
-            return result;
+            return marketHoursDatabase.GetEntry(symbol.ID.Market, symbol, symbol.ID.SecurityType);
         }
 
         /// <summary>

diff --git a/Engine/DataFeeds/BacktestingChainProvider.cs b/Engine/DataFeeds/BacktestingChainProvider.cs
@@ -109,12 +109,11 @@ private IEnumerable<Symbol> GetOptionSymbols(Symbol canonicalSymbol, DateTime da
             var marketHoursDataBase = MarketHoursDatabase.FromDataFolder();
             var marketHoursEntry = marketHoursDataBase.GetEntry(canonicalSymbol.ID.Market, canonicalSymbol, canonicalSymbol.SecurityType);
 
-            date = date.Date;
             var previousTradingDate = Time.GetStartTimeForTradeBars(marketHoursEntry.ExchangeHours, date, Time.OneDay, 1,
                 extendedMarketHours: false, marketHoursEntry.DataTimeZone);
             var request = new HistoryRequest(
-                previousTradingDate,
-                date.AddDays(1),
+                previousTradingDate.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone),
+                date.ConvertToUtc(marketHoursEntry.ExchangeHours.TimeZone),
                 typeof(OptionUniverse),
                 canonicalSymbol,
                 Resolution.Daily,

diff --git a/Engine/DataFeeds/SubscriptionDataReader.cs b/Engine/DataFeeds/SubscriptionDataReader.cs
@@ -28,6 +28,7 @@
 using QuantConnect.Data.Custom.Tiingo;
 using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
 using QuantConnect.Securities;
+using QuantConnect.Data.UniverseSelection;
 
 namespace QuantConnect.Lean.Engine.DataFeeds
 {
@@ -320,10 +321,14 @@ public bool MoveNext()
                     // Advance the time keeper either until the current instance time (to synchronize) or until the source changes.
                     // Note: use time instead of end time to avoid skipping instances that all have the same timestamps in the same file (e.g. universe data)
                     var currentSource = _source;
-                    var nextExchangeDate = _config.Resolution == Resolution.Daily && _timeKeeper.IsExchangeBehindData()
+                    var nextExchangeDate = _config.Resolution == Resolution.Daily
+                        && _timeKeeper.IsExchangeBehindData()
+                        && !_config.Type.IsAssignableTo(typeof(BaseDataCollection))
                         // If daily and exchange is behind data, data for date X will have a start time within date X-1,
                         // so we use the actual date from end time. e.g. a daily bar for Jan15 can have a start time of Jan14 8PM
                         // (exchange tz 4 hours behind data tz) and end time would be Jan15 8PM.
+                        // This doesn't apply to universe files (BaseDataCollection check) because they are not read in the same way
+                        // price daily files are read: they are read in a collection with end time of X+1. We don't want to skip them or advance time yet.
                         ? instance.EndTime
                         : instance.Time;
                     while (_timeKeeper.ExchangeTime < nextExchangeDate && currentSource == _source)

diff --git a/Tests/Algorithm/AlgorithmChainsTests.cs b/Tests/Algorithm/AlgorithmChainsTests.cs
@@ -142,5 +142,20 @@ def get_option_chain_data_from_dataframe(algorithm, canonical):
 
             CollectionAssert.AreEquivalent(optionContractsSymbols, optionChain);
         }
+
+        [Test]
+        public void IndexOptionChainApisAreConsistent()
+        {
+            var date = new DateTime(2015, 12, 24);
+            _algorithm.SetDateTime(date.ConvertToUtc(_algorithm.TimeZone));
+
+            var symbol = Symbols.SPX;
+            var exchange = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
+
+            var chainFromAlgorithmApi = _algorithm.OptionChain(symbol).Select(x => x.Symbol).ToList();
+            var chainFromChainProviderApi = _optionChainProvider.GetOptionContractList(symbol, date.ConvertTo(_algorithm.TimeZone, exchange.TimeZone)).ToList();
+
+            CollectionAssert.AreEquivalent(chainFromAlgorithmApi, chainFromChainProviderApi);
+        }
     }
 }
diff --git a/Tests/Algorithm/AlgorithmHistoryTests.cs b/Tests/Algorithm/AlgorithmHistoryTests.cs
@@ -596,8 +596,6 @@ public void BarCountHistoryRequestIsCorrectlyBuilt(Resolution? resolution, Langu
                 Assert.AreEqual(typeof(OptionUniverse), request.DataType);
                 Assert.IsFalse(request.IncludeExtendedMarketHours);
                 Assert.IsFalse(request.IsCustomData);
-                // For OptionUniverse, exchange and data time zones are set to the same value
-                Assert.AreEqual(request.ExchangeHours.TimeZone, request.DataTimeZone);
             }
         }
 
@@ -3343,10 +3341,10 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
         }
 
         /// <summary>
-        /// Represents custom data with an optional sorting functionality. The <see cref="ExampleCustomDataWithSort"/> class 
+        /// Represents custom data with an optional sorting functionality. The <see cref="ExampleCustomDataWithSort"/> class
         /// allows you to specify a static property <seealso cref="CustomDataKey"/>, which defines the name of the custom data source.
         /// Sorting can be enabled or disabled by setting the <seealso cref="Sort"/> property.
-        /// This class overrides <see cref="GetSource(SubscriptionDataConfig, DateTime, bool)"/> to initialize the 
+        /// This class overrides <see cref="GetSource(SubscriptionDataConfig, DateTime, bool)"/> to initialize the
         /// <seealso cref="SubscriptionDataSource.Sort"/> property based on the value of <see cref="Sort"/>.
         /// </summary>
         public class ExampleCustomDataWithSort : BaseData
@@ -3367,7 +3365,7 @@ public class ExampleCustomDataWithSort : BaseData
             public decimal Close { get; set; }
 
             /// <summary>
-            /// Returns the data source for the subscription. It uses the custom data key and sets sorting based on the 
+            /// Returns the data source for the subscription. It uses the custom data key and sets sorting based on the
             /// <see cref="Sort"/> property.
             /// </summary>
             /// <param name="config">Subscription configuration.</param>