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 System.Collections.Generic;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm illustrating how to request history data for continuous contracts with different depth offsets.
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/// </summary>
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public class HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _continuousContractSymbol;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 6);
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SetEndDate(2014, 1, 1);
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_continuousContractSymbol = AddFuture(Futures.Indices.SP500EMini, Resolution.Daily).Symbol;
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}
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public override void OnEndOfAlgorithm()
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{
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var contractDepthOffsets = Enumerable.Range(0, 3).ToList();
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var historyResults = contractDepthOffsets.Select(contractDepthOffset =>
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{
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return History(new [] { _continuousContractSymbol }, StartDate, EndDate, Resolution.Daily, contractDepthOffset: contractDepthOffset).ToList();
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}).ToList();
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if (historyResults.Any(x => x.Count == 0 || x.Count != historyResults[0].Count))
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{
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throw new RegressionTestException("History results are empty or bar counts did not match");
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}
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// Check that all history results at least one mapping and that different contracts are used for each offset (which can be checked by
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// comparing the underlying symbols)
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List<HashSet<Symbol>> underlyingsPerHistory = new();
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for (int i = 0; i < historyResults.Count; i++)
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{
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HashSet<Symbol> underlyings = new();
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foreach (var slice in historyResults[i])
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{
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var underlying = slice.Keys.Single().Underlying;
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if (underlyings.Add(underlying) && underlyings.Count > 1)
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{
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var currentExpiration = underlying.ID.Date;
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var frontMonthExpiration = FuturesExpiryFunctions.FuturesExpiryFunction(_continuousContractSymbol)(slice.Time.AddMonths(1));
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if (contractDepthOffsets[i] == 0) // Front month
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{
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if (currentExpiration != frontMonthExpiration.Date)
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{
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throw new RegressionTestException($"Unexpected current mapped contract expiration {currentExpiration}" +
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$" @ {Time} it should be AT front month expiration {frontMonthExpiration}");
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}
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}
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else // Back month
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{
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if (currentExpiration <= frontMonthExpiration.Date)
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{
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throw new RegressionTestException($"Unexpected current mapped contract expiration {currentExpiration}" +
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$" @ {Time} it should be AFTER front month expiration {frontMonthExpiration}");
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}
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}
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}
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}
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if (underlyings.Count == 0)
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{
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throw new RegressionTestException($"History results for contractDepthOffset={contractDepthOffsets[i]} did not contain any mappings");
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}
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underlyingsPerHistory.Add(underlyings);
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}
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// Check that underlyings are different for each history result (because we're using different contract depth offsets)
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for (int i = 0; i < underlyingsPerHistory.Count; i++)
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{
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for (int j = i + 1; j < underlyingsPerHistory.Count; j++)
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{
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if (underlyingsPerHistory[i].SetEquals(underlyingsPerHistory[j]))
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{
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throw new RegressionTestException($"History results for contractDepthOffset={contractDepthOffsets[i]} and {contractDepthOffsets[j]} contain the same underlying");
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}
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}
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}
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// Check that prices at each time are different for different contract depth offsets
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for (int j = 0; j < historyResults[0].Count; j++)
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{
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var closePrices = historyResults.Select(hr => hr[j].Bars.Values.SingleOrDefault(new TradeBar()).Close).ToHashSet();
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if (closePrices.Count != contractDepthOffsets.Count)
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{
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throw new RegressionTestException($"History results close prices should have been different for each contract depth offset at each time");
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}
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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 => 970;
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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 => 366;
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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", "-3.738"},
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{"Tracking Error", "0.087"},
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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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}
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}
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