Refactor all

QuantConnect · Sep 10, 2024 · 8af18e0 · 8af18e0
1 parent 4b17979
commit 8af18e0
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Showing 8 changed files with 393 additions and 458 deletions.
diff --git a/Algorithm.CSharp/OptionEquityCallBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityCallBackspreadRegressionAlgorithm.cs
@@ -59,8 +59,10 @@ public override void OnData(Slice slice)
                     MarketOrder(highStrikeCall.Symbol, 10);
                     var freeMarginPostTrade = Portfolio.MarginRemaining;
 
-                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.CallBackspread.Name, 5);
+                    // It is a combination of bear call spread and long call (not a group)
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BearCallSpread.Name, 5);
 
+                    // Should only involve the bear call spread part
                     var expectedMarginUsage = (highStrikeCall.Strike - lowStrikeCall.Strike) * Securities[highStrikeCall.Symbol].SymbolProperties.ContractMultiplier * 5;
 
                     if (expectedMarginUsage != Portfolio.TotalMarginUsed)

diff --git a/Algorithm.CSharp/OptionEquityPutBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityPutBackspreadRegressionAlgorithm.cs
@@ -58,8 +58,10 @@ public override void OnData(Slice slice)
                     MarketOrder(lowStrikePut.Symbol, 10);
                     var freeMarginPostTrade = Portfolio.MarginRemaining;
 
-                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.PutBackspread.Name, 5);
+                    // It is a combination of bull put spread and long put
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BullPutSpread.Name, 5);
 
+                    // Should only involve the bull put spread part
                     var expectedMarginUsage = (highStrikePut.Strike - lowStrikePut.Strike) * Securities[highStrikePut.Symbol].SymbolProperties.ContractMultiplier * 5;
 
                     if (expectedMarginUsage != Portfolio.TotalMarginUsed)

diff --git a/Algorithm.CSharp/OptionEquityShortCallBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortCallBackspreadRegressionAlgorithm.cs
@@ -59,8 +59,11 @@ public override void OnData(Slice slice)
                     MarketOrder(highStrikeCall.Symbol, -10);
                     var freeMarginPostTrade = Portfolio.MarginRemaining;
 
-                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ShortCallBackspread.Name, 5);
+                    // It is a combination of bull call spread and naked call
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BullCallSpread.Name, 5);
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedCall.Name, 5);
 
+                    // Should only involve the naked call part
                     var security = Securities[highStrikeCall.Symbol];
                     var expectedMarginUsage = security.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, -5)).Value;
 

diff --git a/Algorithm.CSharp/OptionEquityShortPutBackspreadRegressionAlgorithm.cs b/Algorithm.CSharp/OptionEquityShortPutBackspreadRegressionAlgorithm.cs
@@ -59,8 +59,11 @@ public override void OnData(Slice slice)
                     MarketOrder(lowStrikePut.Symbol, -10);
                     var freeMarginPostTrade = Portfolio.MarginRemaining;
 
-                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.ShortPutBackspread.Name, 5);
+                    // It is a combination of bear put spread and naked put
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.BearPutSpread.Name, 5);
+                    AssertOptionStrategyIsPresent(OptionStrategyDefinitions.NakedPut.Name, 5);
 
+                    // Should only involve the naked put part
                     var security = Securities[lowStrikePut.Symbol];
                     var expectedMarginUsage = security.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, -5)).Value;
 

diff --git a/Common/Securities/Option/OptionStrategies.cs b/Common/Securities/Option/OptionStrategies.cs
@@ -1177,7 +1177,7 @@ DateTime expiration
 
             return new OptionStrategy
             {
-                Name = OptionStrategyDefinitions.CallBackspread.Name,
+                Name = "Call Backspread",
                 Underlying = canonicalOption.Underlying,
                 CanonicalOption = canonicalOption,
                 OptionLegs = new List<OptionStrategy.OptionLegData>
@@ -1220,7 +1220,7 @@ DateTime expiration
 
             return new OptionStrategy
             {
-                Name = OptionStrategyDefinitions.PutBackspread.Name,
+                Name = "Put Backspread",
                 Underlying = canonicalOption.Underlying,
                 CanonicalOption = canonicalOption,
                 OptionLegs = new List<OptionStrategy.OptionLegData>
@@ -1252,7 +1252,7 @@ public static OptionStrategy ShortCallBackspread(
             DateTime expiration
             )
         {
-            return InvertStrategy(CallBackspread(canonicalOption, lowerStrike, higherStrike, expiration), OptionStrategyDefinitions.ShortCallBackspread.Name);
+            return InvertStrategy(CallBackspread(canonicalOption, lowerStrike, higherStrike, expiration), "Short Call Backspread");
         }
 
         /// <summary>
@@ -1271,7 +1271,7 @@ public static OptionStrategy ShortPutBackspread(
             DateTime expiration
             )
         {
-            return InvertStrategy(PutBackspread(canonicalOption, higherStrike, lowerStrike, expiration), OptionStrategyDefinitions.ShortPutBackspread.Name);
+            return InvertStrategy(PutBackspread(canonicalOption, higherStrike, lowerStrike, expiration), "Short Put Backspread");
         }
 
         /// <summary>