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.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression test illustrating how history from custom data sources can be requested.
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/// </summary>
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public class HistoryWithCustomDataSourceRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _aapl;
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private Symbol _spy;
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public override void Initialize()
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{
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SetStartDate(2014, 6, 5);
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SetEndDate(2014, 6, 6);
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_aapl = AddData<CustomData>("AAPL", Resolution.Minute).Symbol;
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_spy = AddData<CustomData>("SPY", Resolution.Minute).Symbol;
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}
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public override void OnEndOfAlgorithm()
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{
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// We remove the symbol from history data in order to compare values only
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Func<CustomData, Object> getRawCustomData = data => new {
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Time = data.Time,
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Value = data.Value,
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Close = data.Close,
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Open = data.Open,
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High = data.High,
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Low = data.Low,
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Volume = data.Volume,
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};
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var aaplHistory = History<CustomData>("AAPL", StartDate, EndDate, Resolution.Minute).Select(getRawCustomData).ToList();
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var spyHistory = History<CustomData>("SPY", StartDate, EndDate, Resolution.Minute).Select(getRawCustomData).ToList();
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if (aaplHistory.Count == 0 || spyHistory.Count == 0)
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{
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throw new RegressionTestException("At least one of the history results is empty");
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}
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// Check that both results contain the same data, since CustomData fetches APPL data regardless of the symbol
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if (!aaplHistory.SequenceEqual(spyHistory))
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{
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throw new RegressionTestException("Histories are not equal");
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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 => 2960;
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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 => 2938;
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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", "0"},
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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", "100000"},
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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", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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/// <summary>
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/// Custom data source for the regression test algorithm, which returns AAPL equity data regardless of the symbol requested.
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/// </summary>
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public class CustomData : BaseData
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{
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public decimal Open { get; set; }
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public decimal High { get; set; }
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public decimal Low { get; set; }
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public decimal Close { get; set; }
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public decimal Volume { get; set; }
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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return new TradeBar().GetSource(
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new SubscriptionDataConfig(
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config,
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typeof(CustomData),
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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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Symbol.Create("AAPL", 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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var tradeBar = TradeBar.ParseEquity(config, line, date);
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return new CustomData {
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Symbol = config.Symbol,
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Time = tradeBar.Time,
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Value = tradeBar.Value,
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Close = tradeBar.Close,
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Open = tradeBar.Open,
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High = tradeBar.High,
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Low = tradeBar.Low,
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Volume = tradeBar.Volume,
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};
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}
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}
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}
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}
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