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.Market;
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using QuantConnect.Orders;
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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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/// This is an option split regression algorithm
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/// </summary>
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/// <meta name="tag" content="options" />
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/// <meta name="tag" content="regression test" />
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public class OptionRenameRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _optionSymbol;
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public override void Initialize()
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{
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// this test opens position in the first day of trading, lives through stock rename (NWSA->FOXA), dividends, and closes adjusted position on the third day
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SetStartDate(2013, 06, 28);
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SetEndDate(2013, 07, 02);
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SetCash(1000000);
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var option = AddOption("TFCFA");
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_optionSymbol = option.Symbol;
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// set our strike/expiry filter for this option chain
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option.SetFilter(-1, +1, TimeSpan.Zero, TimeSpan.MaxValue);
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// use the underlying equity as the benchmark
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SetBenchmark("TFCFA");
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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foreach (var dividend in slice.Dividends.Values)
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{
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if (dividend.ReferencePrice != 32.6m || dividend.Distribution != 3.82m)
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{
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throw new RegressionTestException($"{Time} - Invalid dividend {dividend}");
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}
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}
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if (!Portfolio.Invested)
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{
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if (Time.Day == 28 && Time.Hour > 9 && Time.Minute > 0)
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{
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
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{
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var contract =
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chain.OrderBy(x => x.Expiry)
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.Where(x => x.Right == OptionRight.Call && x.Strike == 33 && x.Expiry.Date == new DateTime(2013, 08, 17))
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.FirstOrDefault();
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if (contract != null)
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{
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// Buying option
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Buy(contract.Symbol, 1);
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// Buying the underlying stock
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var underlyingSymbol = contract.Symbol.Underlying;
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Buy(underlyingSymbol, 100);
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// checks
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if (contract.AskPrice != 1.1m)
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{
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throw new RegressionTestException("Regression test failed: current ask price was not loaded from NWSA backtest file and is not $1.1");
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}
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}
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}
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}
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}
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else
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{
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if (Time.Day == 2 && Time.Hour > 14 && Time.Minute > 0)
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{
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// selling positions
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Liquidate();
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// checks
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OptionChain chain;
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if (slice.OptionChains.TryGetValue(_optionSymbol, out chain))
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{
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var contract =
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chain.OrderBy(x => x.Expiry)
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.Where(x => x.Right == OptionRight.Call && x.Strike == 33 && x.Expiry.Date == new DateTime(2013, 08, 17))
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.FirstOrDefault();
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if (contract.BidPrice != 0.05m)
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{
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throw new RegressionTestException("Regression test failed: current bid price was not loaded from FOXA file and is not $0.05");
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}
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}
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}
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}
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}
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/// <summary>
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/// Order fill event handler. On an order fill update the resulting information is passed to this method.
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/// </summary>
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/// <param name="orderEvent">Order event details containing details of the events</param>
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/// <remarks>This method can be called asynchronously and so should only be used by seasoned C# experts. Ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Log(orderEvent.ToString());
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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 => 19290;
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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", "4"},
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{"Average Win", "0%"},
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{"Average Loss", "-0.02%"},
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{"Compounding Annual Return", "-0.492%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "-1"},
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{"Start Equity", "1000000"},
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{"End Equity", "999937"},
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{"Net Profit", "-0.006%"},
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{"Sharpe Ratio", "-9.182"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "4.391%"},
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{"Loss Rate", "100%"},
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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", "0.001"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-3.318"},
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{"Tracking Error", "0.001"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$4.00"},
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{"Estimated Strategy Capacity", "$8600000.00"},
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{"Lowest Capacity Asset", "NWSA VJ5IKAXUC6NA|NWSA T3MO1488O0H1"},
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{"Portfolio Turnover", "0.13%"},
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{"Drawdown Recovery", "2"},
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{"OrderListHash", "9e6589151844ae971e04a44a72fb80cd"}
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};
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}
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}
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