chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This algorithm is a regression test case for CancelOpenOrders and rejected orders
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/// </summary>
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public class CancelOpenOrdersRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2017, 9, 3); //Set Start Date
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SetEndDate(2017, 9, 3); //Set End Date
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SetCash(1000); //Set Strategy Cash
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SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
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AddCrypto("BTCUSD");
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AddCrypto("ETHUSD");
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (UtcTime.Hour != 6) return;
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if (UtcTime.Minute == 0)
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{
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// this order will be rejected for insufficient funds
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LimitOrder("BTCUSD", 100m, 4734.64m);
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LimitOrder("ETHUSD", 1.35505027m, 368.8m);
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}
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else if (UtcTime.Minute == 6)
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{
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Transactions.CancelOpenOrders("BTCUSD");
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LimitOrder("BTCUSD", 0.10576312m, 4727.61m);
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}
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else if (UtcTime.Minute == 12)
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{
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Transactions.CancelOpenOrders("BTCUSD");
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LimitOrder("BTCUSD", 0.10576267m, 4727.63m);
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}
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else if (UtcTime.Minute == 18)
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{
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Transactions.CancelOpenOrders("BTCUSD");
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LimitOrder("BTCUSD", 0.10547724m, 4740.42m);
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}
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else if (UtcTime.Minute == 24)
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{
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Transactions.CancelOpenOrders("BTCUSD");
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the events</param>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug(orderEvent.ToString());
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}
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/// <summary>
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/// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
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/// </summary>
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public override void OnEndOfAlgorithm()
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{
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const int expectedOrders = 5;
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var expectedStatus = new[] { OrderStatus.Invalid, OrderStatus.Filled, OrderStatus.Canceled, OrderStatus.Canceled, OrderStatus.Filled };
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var orders = Transactions.GetOrders(x => true).ToList();
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if (orders.Count != expectedOrders)
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{
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throw new RegressionTestException($"Expected orders: {expectedOrders}, actual orders: {orders.Count}");
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}
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for (var i = 0; i < expectedOrders; i++)
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{
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var order = orders[i];
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if (order.Status != expectedStatus[i])
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{
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throw new RegressionTestException($"Invalid status for order {order.Id}, Expected: {expectedStatus[i]}, actual: {order.Status}");
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}
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 5765;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 20;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "5"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "1000.00"},
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{"End Equity", "955.69"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$370000.00"},
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{"Lowest Capacity Asset", "ETHUSD 2XR"},
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{"Portfolio Turnover", "104.59%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "5277847166fcd10cde634e3986e1d285"}
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};
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}
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}
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