chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,254 @@
|
||||
/*
|
||||
* 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.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Regression algorithm which reproduces GH issue #5079, where option chain universes would sometimes not get removed from the
|
||||
/// UniverseManager causing new universes not to get added
|
||||
/// </summary>
|
||||
public class OptionChainUniverseRemovalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
// initialize our changes to nothing
|
||||
private SecurityChanges _changes = SecurityChanges.None;
|
||||
private int _optionCount;
|
||||
private Symbol _lastEquityAdded;
|
||||
private Symbol _aapl;
|
||||
private int _onSecuritiesChangedCallCount;
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
_aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
|
||||
UniverseSettings.Resolution = Resolution.Minute;
|
||||
|
||||
SetStartDate(2014, 06, 06);
|
||||
SetEndDate(2014, 06, 10);
|
||||
|
||||
var toggle = true;
|
||||
var selectionUniverse = AddUniverse(enumerable =>
|
||||
{
|
||||
if (toggle)
|
||||
{
|
||||
toggle = false;
|
||||
return new []{ _aapl };
|
||||
}
|
||||
toggle = true;
|
||||
return Enumerable.Empty<Symbol>();
|
||||
});
|
||||
|
||||
AddUniverseOptions(selectionUniverse, universe =>
|
||||
{
|
||||
if (universe.Underlying == null)
|
||||
{
|
||||
throw new RegressionTestException("Underlying data point is null! This shouldn't happen, each OptionChainUniverse handles and should provide this");
|
||||
}
|
||||
return universe.IncludeWeeklys()
|
||||
.BackMonth() // back month so that they don't get removed because of being delisted
|
||||
.Contracts(contracts => contracts.Take(5));
|
||||
});
|
||||
}
|
||||
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
// if we have no changes, do nothing
|
||||
if (_changes == SecurityChanges.None ||
|
||||
_changes.AddedSecurities.Any(security => security.Price == 0))
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
Debug(GetStatusLog());
|
||||
|
||||
foreach (var security in _changes.AddedSecurities)
|
||||
{
|
||||
if (!security.Symbol.HasUnderlying)
|
||||
{
|
||||
_lastEquityAdded = security.Symbol;
|
||||
}
|
||||
else
|
||||
{
|
||||
// options added should all match prev added security
|
||||
if (security.Symbol.Underlying != _lastEquityAdded)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected symbol added {security.Symbol}");
|
||||
}
|
||||
|
||||
_optionCount++;
|
||||
}
|
||||
}
|
||||
_changes = SecurityChanges.None;
|
||||
}
|
||||
|
||||
public override void OnSecuritiesChanged(SecurityChanges changes)
|
||||
{
|
||||
Debug($"{GetStatusLog()}. CHANGES {changes}");
|
||||
_onSecuritiesChangedCallCount++;
|
||||
if (Time.Day == 6)
|
||||
{
|
||||
if (Time.Hour != 0)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges time: {Time} {changes}");
|
||||
}
|
||||
|
||||
if (changes.RemovedSecurities.Count != 0)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected removals: {changes}");
|
||||
}
|
||||
|
||||
if (_onSecuritiesChangedCallCount == 1)
|
||||
{
|
||||
// first we expect the equity to get Added
|
||||
if (changes.AddedSecurities.Count != 1 || changes.AddedSecurities[0].Symbol != _aapl)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges: {changes}");
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
// later we expect the options to be Added
|
||||
if (changes.AddedSecurities.Count != 5 || changes.AddedSecurities.Any(security => security.Symbol.SecurityType != SecurityType.Option))
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges: {changes}");
|
||||
}
|
||||
}
|
||||
}
|
||||
// We expect the equity to get Removed
|
||||
else if (Time.Day == 7)
|
||||
{
|
||||
if (Time.Hour != 0)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges time: {Time} {changes}");
|
||||
}
|
||||
|
||||
// Options can be selected/deselected on this day, but the equity should be removed
|
||||
|
||||
if (changes.RemovedSecurities.Count == 0 || !changes.RemovedSecurities.Any(x => x.Symbol == _aapl))
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges: {changes}");
|
||||
}
|
||||
}
|
||||
// We expect the options to get Removed, happens in the next loop after removing the equity
|
||||
else if (Time.Day == 9)
|
||||
{
|
||||
if (Time.Hour != 0)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges time: {Time} {changes}");
|
||||
}
|
||||
|
||||
// later we expect the options to be Removed
|
||||
if (changes.RemovedSecurities.Count != 6
|
||||
// the removal of the raw underlying subscription from the option chain universe
|
||||
|| changes.RemovedSecurities.Single(security => security.Symbol.SecurityType != SecurityType.Option).Symbol != _aapl
|
||||
// the removal of the 5 option contracts
|
||||
|| changes.RemovedSecurities.Count(security => security.Symbol.SecurityType == SecurityType.Option) != 5)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected SecurityChanges: {changes}");
|
||||
}
|
||||
}
|
||||
|
||||
_changes += changes;
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
if (_optionCount == 0)
|
||||
{
|
||||
throw new RegressionTestException("Option universe chain did not add any option!");
|
||||
}
|
||||
if (UniverseManager.Any(pair => pair.Value.DisposeRequested))
|
||||
{
|
||||
throw new RegressionTestException("There shouldn't be any disposed universe, they should be removed and replaced by new universes");
|
||||
}
|
||||
}
|
||||
|
||||
private string GetStatusLog()
|
||||
{
|
||||
Plot("Status", "UniverseCount", UniverseManager.Count);
|
||||
Plot("Status", "SubscriptionCount", SubscriptionManager.Subscriptions.Count());
|
||||
Plot("Status", "ActiveSymbolsCount", UniverseManager.ActiveSecurities.Count);
|
||||
|
||||
return $"{Time} | UniverseCount {UniverseManager.Count}. " +
|
||||
$"SubscriptionCount {SubscriptionManager.Subscriptions.Count()}. " +
|
||||
$"ActiveSymbols {string.Join(",", UniverseManager.ActiveSecurities.Keys)}";
|
||||
}
|
||||
|
||||
/// <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 => 17966;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 0;
|
||||
|
||||
/// <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"},
|
||||
{"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", "-9.522"},
|
||||
{"Tracking Error", "0.006"},
|
||||
{"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