chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,219 @@
|
||||
/*
|
||||
* 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.Data;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// We add an option contract using <see cref="QCAlgorithm.AddOptionContract"/> and place a trade, the underlying
|
||||
/// gets deselected from the universe selection but should still be present since we manually added the option contract.
|
||||
/// Later we call <see cref="QCAlgorithm.RemoveOptionContract"/> and expect both option and underlying to be removed.
|
||||
/// </summary>
|
||||
public class AddOptionContractFromUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private DateTime _expiration = new DateTime(2014, 06, 21);
|
||||
private SecurityChanges _securityChanges = SecurityChanges.None;
|
||||
private Symbol _option;
|
||||
private Symbol _aapl;
|
||||
private Symbol _twx;
|
||||
private bool _traded;
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
_twx = QuantConnect.Symbol.Create("TWX", SecurityType.Equity, Market.USA);
|
||||
_aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
|
||||
UniverseSettings.Resolution = Resolution.Minute;
|
||||
UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
|
||||
|
||||
SetStartDate(2014, 06, 05);
|
||||
SetEndDate(2014, 06, 09);
|
||||
|
||||
AddUniverse(enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl },
|
||||
enumerable => new[] { Time.Date <= new DateTime(2014, 6, 5) ? _twx : _aapl });
|
||||
}
|
||||
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
if (_option != null && Securities[_option].Price != 0 && !_traded)
|
||||
{
|
||||
_traded = true;
|
||||
Buy(_option, 1);
|
||||
}
|
||||
|
||||
if (Time.Date > new DateTime(2014, 6, 5))
|
||||
{
|
||||
if (Time < new DateTime(2014, 6, 6, 14, 0, 0))
|
||||
{
|
||||
var configs = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_twx);
|
||||
// assert underlying still there after the universe selection removed it, still used by the manually added option contract
|
||||
if (!configs.Any())
|
||||
{
|
||||
throw new RegressionTestException($"Was expecting configurations for {_twx}" +
|
||||
$" even after it has been deselected from coarse universe because we still have the option contract.");
|
||||
}
|
||||
}
|
||||
else if (Time == new DateTime(2014, 6, 6, 14, 0, 0))
|
||||
{
|
||||
// liquidate & remove the option
|
||||
RemoveOptionContract(_option);
|
||||
}
|
||||
// assert underlying was finally removed
|
||||
else if(Time > new DateTime(2014, 6, 6, 14, 0, 0))
|
||||
{
|
||||
foreach (var symbol in new[] { _option, _option.Underlying })
|
||||
{
|
||||
var configs = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol);
|
||||
if (configs.Any())
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected configuration for {symbol} after it has been deselected from coarse universe and option contract is removed.");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnSecuritiesChanged(SecurityChanges changes)
|
||||
{
|
||||
if (_securityChanges.RemovedSecurities.Intersect(changes.RemovedSecurities).Any())
|
||||
{
|
||||
throw new RegressionTestException($"SecurityChanges.RemovedSecurities intersect {changes.RemovedSecurities}. We expect no duplicate!");
|
||||
}
|
||||
if (_securityChanges.AddedSecurities.Intersect(changes.AddedSecurities).Any())
|
||||
{
|
||||
throw new RegressionTestException($"SecurityChanges.AddedSecurities intersect {changes.RemovedSecurities}. We expect no duplicate!");
|
||||
}
|
||||
// keep track of all removed and added securities
|
||||
_securityChanges += changes;
|
||||
|
||||
if (changes.AddedSecurities.Any(security => security.Symbol.SecurityType == SecurityType.Option))
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
foreach (var addedSecurity in changes.AddedSecurities)
|
||||
{
|
||||
var option = OptionChain(addedSecurity.Symbol)
|
||||
.OrderBy(contractData => contractData.ID.Symbol)
|
||||
.First(optionContract => optionContract.ID.Date == _expiration
|
||||
&& optionContract.ID.OptionRight == OptionRight.Call
|
||||
&& optionContract.ID.OptionStyle == OptionStyle.American);
|
||||
AddOptionContract(option);
|
||||
|
||||
foreach (var symbol in new[] { option.Symbol, option.UnderlyingSymbol })
|
||||
{
|
||||
var config = SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(symbol).ToList();
|
||||
|
||||
if (!config.Any())
|
||||
{
|
||||
throw new RegressionTestException($"Was expecting configurations for {symbol}");
|
||||
}
|
||||
if (config.Any(dataConfig => dataConfig.DataNormalizationMode != DataNormalizationMode.Raw))
|
||||
{
|
||||
throw new RegressionTestException($"Was expecting DataNormalizationMode.Raw configurations for {symbol}");
|
||||
}
|
||||
}
|
||||
|
||||
// just keep the first we got
|
||||
if (_option == null)
|
||||
{
|
||||
_option = option;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
if (SubscriptionManager.Subscriptions.Any(dataConfig => dataConfig.Symbol == _twx || dataConfig.Symbol.Underlying == _twx))
|
||||
{
|
||||
throw new RegressionTestException($"Was NOT expecting any configurations for {_twx} or it's options, since we removed the contract");
|
||||
}
|
||||
|
||||
if (SubscriptionManager.Subscriptions.All(dataConfig => dataConfig.Symbol != _aapl))
|
||||
{
|
||||
throw new RegressionTestException($"Was expecting configurations for {_aapl}");
|
||||
}
|
||||
if (SubscriptionManager.Subscriptions.All(dataConfig => dataConfig.Symbol.Underlying != _aapl))
|
||||
{
|
||||
throw new RegressionTestException($"Was expecting options configurations for {_aapl}");
|
||||
}
|
||||
}
|
||||
|
||||
/// <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, Language.Python };
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of all timeslices of algorithm
|
||||
/// </summary>
|
||||
public long DataPoints => 5800;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 2;
|
||||
|
||||
/// <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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Orders", "2"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "-0.23%"},
|
||||
{"Compounding Annual Return", "-15.596%"},
|
||||
{"Drawdown", "0.200%"},
|
||||
{"Expectancy", "-1"},
|
||||
{"Start Equity", "100000"},
|
||||
{"End Equity", "99768"},
|
||||
{"Net Profit", "-0.232%"},
|
||||
{"Sharpe Ratio", "-8.903"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Probabilistic Sharpe Ratio", "0.024%"},
|
||||
{"Loss Rate", "100%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0.015"},
|
||||
{"Beta", "-0.171"},
|
||||
{"Annual Standard Deviation", "0.006"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-11.082"},
|
||||
{"Tracking Error", "0.043"},
|
||||
{"Treynor Ratio", "0.335"},
|
||||
{"Total Fees", "$2.00"},
|
||||
{"Estimated Strategy Capacity", "$2800000.00"},
|
||||
{"Lowest Capacity Asset", "AOL VRKS95ENPM9Y|AOL R735QTJ8XC9X"},
|
||||
{"Portfolio Turnover", "1.14%"},
|
||||
{"Drawdown Recovery", "0"},
|
||||
{"OrderListHash", "e33b98d8e94ed92d0441fc6fe0d461fb"}
|
||||
};
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user