chore: import upstream snapshot with attribution
This commit is contained in:
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.Data;
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using QuantConnect.Data.Market;
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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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/// Regression algorithm demonstrating use of map files with custom data
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="rename event" />
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/// <meta name="tag" content="map" />
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/// <meta name="tag" content="mapping" />
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/// <meta name="tag" content="map files" />
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public class CustomDataUsingMapFileRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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private bool _initialMapping;
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private bool _executionMapping;
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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, 06, 27);
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SetEndDate(2013, 07, 02);
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var foxa = QuantConnect.Symbol.Create("FOXA", SecurityType.Equity, Market.USA);
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_symbol = AddData<CustomDataUsingMapping>(foxa).Symbol;
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foreach (var config in SubscriptionManager.SubscriptionDataConfigService.GetSubscriptionDataConfigs(_symbol))
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{
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if (config.Resolution != Resolution.Minute)
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{
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throw new RegressionTestException("Expected resolution to be set to Minute");
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}
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}
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}
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/// <summary>
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/// Checks to see if the stock has been renamed, and places an order once the symbol has changed
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/// </summary>
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public override void OnData(Slice slice)
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{
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if (slice.SymbolChangedEvents.ContainsKey(_symbol))
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{
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var mappingEvent = slice.SymbolChangedEvents.Single(x => x.Key.SecurityType == SecurityType.Base).Value;
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Log($"{Time} - Ticker changed from: {mappingEvent.OldSymbol} to {mappingEvent.NewSymbol}");
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if (Time.Date == new DateTime(2013, 06, 27))
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{
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// we should Not receive the initial mapping event
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if (mappingEvent.NewSymbol != "NWSA"
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|| mappingEvent.OldSymbol != "FOXA")
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{
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throw new RegressionTestException($"Unexpected mapping event {mappingEvent}");
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}
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_initialMapping = true;
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}
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else if (Time.Date == new DateTime(2013, 06, 29))
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{
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if (mappingEvent.NewSymbol != "FOXA"
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|| mappingEvent.OldSymbol != "NWSA")
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{
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throw new RegressionTestException($"Unexpected mapping event {mappingEvent}");
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}
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_executionMapping = true;
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SetHoldings(_symbol, 1);
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}
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}
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}
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/// <summary>
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/// Final step of the algorithm
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/// </summary>
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public override void OnEndOfAlgorithm()
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{
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if (_initialMapping)
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{
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throw new RegressionTestException("The ticker generated the initial rename event");
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}
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if (!_executionMapping)
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{
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throw new RegressionTestException("The ticker did not rename throughout the course of its life even though it should have");
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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, Language.Python };
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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 => 1667;
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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 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", "12.433%"},
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{"Drawdown", "2.600%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100183.6"},
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{"Net Profit", "0.184%"},
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{"Sharpe Ratio", "0.516"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "47.412%"},
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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", "0.101"},
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{"Beta", "1.58"},
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{"Annual Standard Deviation", "0.211"},
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{"Annual Variance", "0.045"},
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{"Information Ratio", "0.627"},
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{"Tracking Error", "0.166"},
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{"Treynor Ratio", "0.069"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$29000.00"},
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{"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},
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{"Portfolio Turnover", "14.58%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "f5ad14d0317a5cbb81984dd92969423c"}
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};
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/// <summary>
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/// Test example custom data showing how to enable the use of mapping.
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/// Implemented as a wrapper of existing NWSA->FOXA equity
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/// </summary>
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private class CustomDataUsingMapping : TradeBar
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{
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/// <summary>
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/// Indicates if there is support for mapping
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/// </summary>
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/// <returns>True indicates mapping should be done</returns>
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public override bool RequiresMapping()
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{
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return true;
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}
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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return base.GetSource(new SubscriptionDataConfig(config,
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typeof(CustomDataUsingMapping),
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// create a new symbol as equity so we find the existing data files
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Symbol.Create(config.MappedSymbol, SecurityType.Equity, config.Market)),
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date,
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isLiveMode);
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}
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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return ParseEquity(config, line, date);
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}
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/// <summary>
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/// Gets the default resolution for this data and security type
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/// </summary>
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/// <remarks>This is a method and not a property so that python
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/// custom data types can override it</remarks>
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public override Resolution DefaultResolution()
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{
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return Resolution.Minute;
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}
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/// <summary>
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/// Gets the supported resolution for this data and security type
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/// </summary>
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/// <remarks>This is a method and not a property so that python
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/// custom data types can override it</remarks>
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public override List<Resolution> SupportedResolutions()
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{
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return new List<Resolution> { Resolution.Minute };
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}
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}
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}
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}
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