chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,230 @@
|
||||
/*
|
||||
* 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.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
using System.Collections.Generic;
|
||||
using QuantConnect.Securities.Future;
|
||||
using System;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using System.Linq;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Regression algorithm asserting that continuous future universe selection happens right away for all futures.
|
||||
/// An example case is ES and HSI futures, which have different time zones. ES is in New York and HSI is in Hong Kong.
|
||||
/// ES selection would happen first just because of this, but all futures should have a mapped contract right away.
|
||||
/// </summary>
|
||||
public class ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private Future _es;
|
||||
private Future _hsi;
|
||||
|
||||
private bool _dataReceived;
|
||||
|
||||
private DateTime _startDateUtc;
|
||||
|
||||
private DateTime _esSelectionTimeUtc;
|
||||
private DateTime _hsiSelectionTimeUtc;
|
||||
|
||||
private bool _securitiesChangedEventReceived;
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2013, 10, 7);
|
||||
SetEndDate(2013, 10, 11);
|
||||
|
||||
_startDateUtc = StartDate.ConvertToUtc(TimeZone);
|
||||
|
||||
// ES time zone is New York
|
||||
_es = AddFuture(Futures.Indices.SP500EMini,
|
||||
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
|
||||
dataMappingMode: DataMappingMode.OpenInterestAnnual,
|
||||
contractDepthOffset: 0,
|
||||
extendedMarketHours: true);
|
||||
|
||||
_hsi = AddFuture(Futures.Indices.HangSeng,
|
||||
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
|
||||
dataMappingMode: DataMappingMode.FirstDayMonth,
|
||||
contractDepthOffset: 0,
|
||||
extendedMarketHours: true);
|
||||
|
||||
_es.SetFilter(universe =>
|
||||
{
|
||||
if (_esSelectionTimeUtc == DateTime.MinValue)
|
||||
{
|
||||
_esSelectionTimeUtc = universe.LocalTime.ConvertToUtc(_es.Exchange.TimeZone);
|
||||
|
||||
if (_esSelectionTimeUtc != _startDateUtc)
|
||||
{
|
||||
throw new RegressionTestException($"Expected ES universe selection to happen on algorithm start ({_startDateUtc}), " +
|
||||
$"but happened on {_esSelectionTimeUtc}");
|
||||
}
|
||||
}
|
||||
return universe;
|
||||
});
|
||||
|
||||
_hsi.SetFilter(universe =>
|
||||
{
|
||||
if (_hsiSelectionTimeUtc == DateTime.MinValue)
|
||||
{
|
||||
_hsiSelectionTimeUtc = universe.LocalTime.ConvertToUtc(_hsi.Exchange.TimeZone);
|
||||
|
||||
if (_hsiSelectionTimeUtc != _startDateUtc)
|
||||
{
|
||||
throw new RegressionTestException($"Expected HSI universe selection to happen on algorithm start ({_startDateUtc}), " +
|
||||
$"but happened on {_hsiSelectionTimeUtc}");
|
||||
}
|
||||
}
|
||||
return universe;
|
||||
});
|
||||
}
|
||||
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
_dataReceived = true;
|
||||
|
||||
if (_es.Mapped == null)
|
||||
{
|
||||
throw new RegressionTestException("ES mapped contract is null");
|
||||
}
|
||||
|
||||
// This is what we actually want to assert: even though Hong Kong future time zone is different,
|
||||
// we should have a mapped contract right away.
|
||||
if (_hsi.Mapped == null)
|
||||
{
|
||||
throw new RegressionTestException("HSI mapped contract is null");
|
||||
}
|
||||
|
||||
Log($"{slice.Time} :: ES Mapped Contract: {_es.Mapped}. HSI Mapped Contract: {_hsi.Mapped}");
|
||||
}
|
||||
|
||||
public override void OnSecuritiesChanged(SecurityChanges changes)
|
||||
{
|
||||
if (!_securitiesChangedEventReceived)
|
||||
{
|
||||
_securitiesChangedEventReceived = true;
|
||||
|
||||
if (Time != StartDate)
|
||||
{
|
||||
throw new RegressionTestException($"Expected OnSecuritiesChanged to be called on algorithm start ({StartDate}), " +
|
||||
$"but happened on {Time}");
|
||||
}
|
||||
|
||||
if (_esSelectionTimeUtc == DateTime.MinValue)
|
||||
{
|
||||
throw new RegressionTestException("ES universe selection time was not set");
|
||||
}
|
||||
|
||||
if (_hsiSelectionTimeUtc == DateTime.MinValue)
|
||||
{
|
||||
throw new RegressionTestException("HSI universe selection time was not set");
|
||||
}
|
||||
|
||||
if (changes.AddedSecurities.Count == 0 || changes.RemovedSecurities.Count != 0)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected securities changes. Expected multiple securities added and none removed " +
|
||||
$"but got {changes.AddedSecurities.Count} securities added and {changes.RemovedSecurities.Count} removed.");
|
||||
}
|
||||
|
||||
if (!changes.AddedSecurities.Any(x => !x.Symbol.IsCanonical() && x.Symbol.Canonical == _es.Symbol))
|
||||
{
|
||||
throw new RegressionTestException($"Expected to find a multiple futures for ES");
|
||||
}
|
||||
|
||||
if (!changes.AddedSecurities.Any(x => !x.Symbol.IsCanonical() && x.Symbol.Canonical == _hsi.Symbol))
|
||||
{
|
||||
throw new RegressionTestException($"Expected to find a multiple futures for HSI");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
// Just a protection in case data is changed to make sure assertions in OnData were done.
|
||||
if (!_dataReceived)
|
||||
{
|
||||
throw new RegressionTestException("No data was received so no checks were done");
|
||||
}
|
||||
|
||||
if (!_securitiesChangedEventReceived)
|
||||
{
|
||||
throw new RegressionTestException("OnSecuritiesChanged was not called");
|
||||
}
|
||||
}
|
||||
|
||||
/// <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 };
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of all timeslices of algorithm
|
||||
/// </summary>
|
||||
public long DataPoints => 129796;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 0;
|
||||
|
||||
/// <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", "0"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "0%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Start Equity", "100000"},
|
||||
{"End Equity", "100000"},
|
||||
{"Net Profit", "0%"},
|
||||
{"Sharpe Ratio", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "-8.91"},
|
||||
{"Tracking Error", "0.223"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", ""},
|
||||
{"Portfolio Turnover", "0%"},
|
||||
{"Drawdown Recovery", "0"},
|
||||
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
||||
};
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user