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.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Securities.Future;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Continuous Futures History Regression algorithm. Asserting and showcasing the behavior of adding a continuous future
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/// </summary>
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public class ContinuousFutureHistoryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Future _continuousContract;
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private bool _warmedUp;
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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(2013, 10, 10);
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SetEndDate(2013, 10, 11);
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_continuousContract = AddFuture(Futures.Indices.SP500EMini,
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dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
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dataMappingMode: DataMappingMode.OpenInterest,
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contractDepthOffset: 1
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);
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SetWarmup(1, Resolution.Daily);
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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="slice">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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// ES has an expiration on december but because we are using 'contractDepthOffset: 1' we expect to use the next contract
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if (_continuousContract.Mapped.ID.Date.Month != 3)
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{
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throw new RegressionTestException($"Unexpected mapped continuous contract future {_continuousContract.Mapped}");
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}
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if (IsWarmingUp)
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{
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// warm up data
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_warmedUp = true;
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if (!_continuousContract.HasData)
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{
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throw new RegressionTestException($"ContinuousContract did not get any data during warmup!");
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}
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var backMonthExpiration = slice.Keys.Single().Underlying.ID.Date;
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var frontMonthExpiration = FuturesExpiryFunctions.FuturesExpiryFunction(_continuousContract.Symbol)(Time.AddMonths(1));
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if (backMonthExpiration <= frontMonthExpiration.Date)
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{
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throw new RegressionTestException($"Unexpected current mapped contract expiration {backMonthExpiration}" +
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$" @ {Time} it should be AFTER front month expiration {frontMonthExpiration}");
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}
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}
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if (slice.Keys.Count != 1)
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{
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throw new RegressionTestException($"We are getting data for more than one symbols! {string.Join(",", slice.Keys.Select(symbol => symbol))}");
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}
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if (!Portfolio.Invested && !IsWarmingUp)
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{
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Buy(_continuousContract.Mapped, 1);
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_warmedUp)
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{
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throw new RegressionTestException("Algorithm didn't warm up!");
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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Debug($"{Time}-{changes}");
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if (changes.AddedSecurities.Any(security => security.Symbol != _continuousContract.Symbol)
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|| changes.RemovedSecurities.Any(security => security.Symbol != _continuousContract.Symbol))
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{
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throw new RegressionTestException($"We got an unexpected security changes {changes}");
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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 virtual long DataPoints => 5469;
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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 => 0;
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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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "1"},
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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", "100000"},
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{"End Equity", "101558.2"},
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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", "$2.15"},
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{"Estimated Strategy Capacity", "$130000000.00"},
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{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
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{"Portfolio Turnover", "41.23%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "b9f8e1a0704c086944e5df07e0ab04d6"}
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};
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}
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}
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