chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,185 @@
|
||||
/*
|
||||
* 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 System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Interfaces;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// This algorithm is a test case for adding forex symbols at the same resolution of an existing internal feed.
|
||||
/// The second symbol is added in the OnData method.
|
||||
/// </summary>
|
||||
public class ForexInternalFeedOnDataSameResolutionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private readonly Dictionary<Symbol, int> _dataPointsPerSymbol = new Dictionary<Symbol, int>();
|
||||
private bool _added;
|
||||
private Symbol _eurusd;
|
||||
private DateTime lastDataTime = DateTime.MinValue;
|
||||
|
||||
/// <summary>
|
||||
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
|
||||
/// </summary>
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2013, 10, 7);
|
||||
SetEndDate(2013, 10, 8);
|
||||
SetCash(100000);
|
||||
|
||||
_eurusd = QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda);
|
||||
var eurgbp = AddForex("EURGBP", Resolution.Daily);
|
||||
_dataPointsPerSymbol.Add(eurgbp.Symbol, 0);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
||||
/// </summary>
|
||||
/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
if (lastDataTime == slice.Time)
|
||||
{
|
||||
throw new RegressionTestException("Duplicate time for current data and last data slice");
|
||||
}
|
||||
|
||||
lastDataTime = slice.Time;
|
||||
|
||||
if (_added)
|
||||
{
|
||||
var eurUsdSubscription = SubscriptionManager.SubscriptionDataConfigService
|
||||
.GetSubscriptionDataConfigs(_eurusd, includeInternalConfigs: true)
|
||||
.Single();
|
||||
if (eurUsdSubscription.IsInternalFeed)
|
||||
{
|
||||
throw new RegressionTestException("Unexpected internal 'EURUSD' Subscription");
|
||||
}
|
||||
}
|
||||
if (!_added)
|
||||
{
|
||||
var eurUsdSubscription = SubscriptionManager.SubscriptionDataConfigService
|
||||
.GetSubscriptionDataConfigs(_eurusd, includeInternalConfigs: true)
|
||||
.Single();
|
||||
if (!eurUsdSubscription.IsInternalFeed)
|
||||
{
|
||||
throw new RegressionTestException("Unexpected not internal 'EURUSD' Subscription");
|
||||
}
|
||||
var eurusd = AddForex("EURUSD", Resolution.Daily);
|
||||
_dataPointsPerSymbol.Add(eurusd.Symbol, 0);
|
||||
|
||||
_added = true;
|
||||
}
|
||||
|
||||
foreach (var kvp in slice)
|
||||
{
|
||||
var symbol = kvp.Key;
|
||||
_dataPointsPerSymbol[symbol]++;
|
||||
|
||||
Log($"{Time} {symbol.Value} {kvp.Value.Price} EndTime {kvp.Value.EndTime}");
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
|
||||
/// </summary>
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
// EURUSD has one less data point, because it was added on the first time step instead of during Initialize
|
||||
var expectedDataPointsPerSymbol = new Dictionary<string, int>
|
||||
{
|
||||
// normal feed
|
||||
{ "EURGBP", 3 },
|
||||
// internal feed on the first day, normal feed on the other two days
|
||||
{ "EURUSD", 2 },
|
||||
// internal feed only
|
||||
{ "GBPUSD", 0 }
|
||||
};
|
||||
|
||||
foreach (var kvp in _dataPointsPerSymbol)
|
||||
{
|
||||
var symbol = kvp.Key;
|
||||
var actualDataPoints = _dataPointsPerSymbol[symbol];
|
||||
Log($"Data points for symbol {symbol.Value}: {actualDataPoints}");
|
||||
|
||||
if (actualDataPoints != expectedDataPointsPerSymbol[symbol.Value])
|
||||
{
|
||||
throw new RegressionTestException($"Data point count mismatch for symbol {symbol.Value}: expected: {expectedDataPointsPerSymbol[symbol.Value]}, actual: {actualDataPoints}");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// <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 => 32;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 10;
|
||||
|
||||
/// <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", "100000.00"},
|
||||
{"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", "5.91"},
|
||||
{"Tracking Error", "0.13"},
|
||||
{"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