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 QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm illustrating how to manually set market hours and symbol properties database entries to be picked up by the algorithm's securities.
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/// This specific case illustrates how to do it for CFDs to match InteractiveBrokers brokerage, which has different market hours
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/// depending on the CFD underlying asset.
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/// </summary>
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public class ManuallySetMarketHoursAndSymbolPropertiesDatabaseEntriesAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 07);
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SetCash(100000);
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SetBrokerageModel(Brokerages.BrokerageName.InteractiveBrokersBrokerage);
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// Some brokerages like InteractiveBrokers make a difference on CFDs depending on the underlying (equity, index, metal, forex).
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// Depending on this, the market hours can be different. In order to be more specific with the market hours,
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// we can set the MarketHoursDatabase entry for the CFDs.
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// Equity CFDs are usually traded the same hours as the equity market.
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var equityMarketHoursEntry = MarketHoursDatabase.GetEntry(Market.USA, (string)null, SecurityType.Equity);
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MarketHoursDatabase.SetEntry(Market.InteractiveBrokers, null, SecurityType.Cfd,
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equityMarketHoursEntry.ExchangeHours, equityMarketHoursEntry.DataTimeZone);
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// The same can be done for the symbol properties, in case they are different depending on the underlying
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var equitySymbolProperties = SymbolPropertiesDatabase.GetSymbolProperties(Market.USA, null, SecurityType.Equity, Currencies.USD);
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SymbolPropertiesDatabase.SetEntry(Market.InteractiveBrokers, null, SecurityType.Cfd, equitySymbolProperties);
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var spyCfd = AddCfd("SPY", market: Market.InteractiveBrokers);
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if (!ReferenceEquals(spyCfd.Exchange.Hours, equityMarketHoursEntry.ExchangeHours))
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{
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throw new RegressionTestException("Expected the SPY CFD market hours to be the same as the underlying equity market hours.");
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}
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if (!SymbolPropertiesAreEquivalent(spyCfd.SymbolProperties, equitySymbolProperties))
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{
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throw new RegressionTestException("Expected the SPY CFD symbol properties to be the same as the underlying equity symbol properties.");
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}
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// We can also do it for a specific ticker:
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var audUsdForexMarketHoursEntry = MarketHoursDatabase.GetEntry(Market.Oanda, (string)null, SecurityType.Forex);
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MarketHoursDatabase.SetEntry(Market.InteractiveBrokers, "AUDUSD", SecurityType.Cfd,
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audUsdForexMarketHoursEntry.ExchangeHours, audUsdForexMarketHoursEntry.DataTimeZone);
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var audUsdForexSymbolProperties = SymbolPropertiesDatabase.GetSymbolProperties(Market.Oanda, "AUDUSD", SecurityType.Forex, Currencies.USD);
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SymbolPropertiesDatabase.SetEntry(Market.InteractiveBrokers, "AUDUSD", SecurityType.Cfd, audUsdForexSymbolProperties);
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var audUsdCfd = AddCfd("AUDUSD", market: Market.InteractiveBrokers);
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if (!ReferenceEquals(audUsdCfd.Exchange.Hours, audUsdForexMarketHoursEntry.ExchangeHours))
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{
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throw new RegressionTestException("Expected the AUDUSD CFD market hours to be the same as the underlying forex market hours.");
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}
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if (!SymbolPropertiesAreEquivalent(audUsdCfd.SymbolProperties, audUsdForexSymbolProperties))
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{
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throw new RegressionTestException("Expected the AUDUSD CFD symbol properties to be the same as the underlying forex symbol properties.");
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}
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}
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private static bool SymbolPropertiesAreEquivalent(SymbolProperties a, SymbolProperties b)
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{
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return a.Description == b.Description &&
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a.QuoteCurrency == b.QuoteCurrency &&
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a.ContractMultiplier == b.ContractMultiplier &&
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a.MinimumPriceVariation == b.MinimumPriceVariation &&
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a.LotSize == b.LotSize &&
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a.MarketTicker == b.MarketTicker &&
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a.MinimumOrderSize == b.MinimumOrderSize &&
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a.PriceMagnifier == b.PriceMagnifier &&
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a.StrikeMultiplier == b.StrikeMultiplier;
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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 => 1;
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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", "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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}
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}
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