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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*/
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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.UniverseSelection;
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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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/// Asserts that Option Chain universe selection happens right away after algorithm starts and a bar of the underlying is received
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/// </summary>
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public class OptionChainUniverseImmediateSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _optionSymbol;
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private bool _firstOnDataCallDone;
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private int _securityChangesCallCount;
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private bool _firstSelectionDone;
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private int _selectedOptionsCount;
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public override void Initialize()
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{
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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SetCash(10000);
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var option = AddOption("GOOG", Resolution.Minute);
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_optionSymbol = option.Symbol;
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option.SetFilter(universe =>
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{
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if (!_firstSelectionDone)
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{
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_firstSelectionDone = true;
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if (universe.LocalTime.ConvertTo(option.Exchange.TimeZone, TimeZone) != StartDate)
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{
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throw new Exception("Option chain universe selection time was not the expected start date");
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}
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if (_firstOnDataCallDone)
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{
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throw new RegressionTestException("Option chain universe selection time was set after OnData was called");
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}
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}
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var selection = universe
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.IncludeWeeklys()
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.Strikes(-2, +2)
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.Expiration(TimeSpan.Zero, TimeSpan.FromDays(10));
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_selectedOptionsCount = selection.Count();
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return selection;
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});
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SetBenchmark(x => 0);
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}
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public override void OnData(Slice slice)
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{
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if (!IsMarketOpen(_optionSymbol.Underlying))
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{
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return;
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}
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if (!_firstOnDataCallDone)
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{
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_firstOnDataCallDone = true;
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if (!slice.ContainsKey(_optionSymbol.Underlying))
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{
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throw new RegressionTestException($"Expected to find {_optionSymbol.Underlying} in first slice");
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}
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if (!slice.OptionChains.ContainsKey(_optionSymbol))
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{
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throw new RegressionTestException($"Expected to find {_optionSymbol} in first slice's Option Chain");
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}
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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Debug($"{Time} :: {changes}");
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_securityChangesCallCount++;
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if (_securityChangesCallCount == 1)
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{
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// The first time, only the underlying should have been added
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if (changes.RemovedSecurities.Count != 0)
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{
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throw new RegressionTestException($"Unexpected securities changes on first OnSecuritiesChanged event. " +
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$"Expected no removed securities but got {changes.RemovedSecurities.Count}.");
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}
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var addedSecuritySymbol = changes.AddedSecurities.SingleOrDefault(x => x.Symbol == _optionSymbol.Underlying).Symbol;
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if (addedSecuritySymbol != _optionSymbol.Underlying)
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{
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throw new RegressionTestException($"Expected to find {_optionSymbol.Underlying} in first OnSecuritiesChanged event");
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}
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var addedOptions = changes.AddedSecurities
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.Where(x => x.Symbol.SecurityType == SecurityType.Option && x.Symbol.Canonical == _optionSymbol)
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.ToList();
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if (addedOptions.Count != _selectedOptionsCount || addedOptions.Count != changes.AddedSecurities.Count - 1)
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{
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throw new RegressionTestException($"Expected {_selectedOptionsCount} options to be added in the first OnSecuritiesChanged event, " +
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$"but found {addedOptions.Count}");
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}
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_firstOnDataCallDone)
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{
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throw new RegressionTestException("OnData was never called");
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}
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if (_securityChangesCallCount != 1)
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{
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throw new RegressionTestException($"Expected OnSecuritiesChanged to be called once, but was actually called {_securityChangesCallCount} times");
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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 };
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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 => 14325;
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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", "10000"},
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{"End Equity", "10000"},
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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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