chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,177 @@
|
||||
/*
|
||||
* 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.Collections.Generic;
|
||||
using System.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Securities;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// Regression algorithm asserting that the security cache open interest is set from the chain universe data open interest
|
||||
/// </summary>
|
||||
public class OptionUniverseOpenInterestRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
/// <summary>
|
||||
/// The number of times the open interest was successfully asserted against the chain universe data
|
||||
/// </summary>
|
||||
protected int AssertionCount { get; private set; }
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2015, 12, 24);
|
||||
SetEndDate(2015, 12, 24);
|
||||
SetCash(100000);
|
||||
|
||||
AddEquity("GOOG");
|
||||
var option = AddOption("GOOG");
|
||||
option.SetFilter(universe => universe.Contracts(contracts => contracts.Where(x => x.OpenInterest != 0).Take(10)));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the chain universe data point stored in the given security cache if any
|
||||
/// </summary>
|
||||
protected virtual BaseChainUniverseData GetChainUniverseData(Security security)
|
||||
{
|
||||
return security.Cache.GetData<OptionUniverse>();
|
||||
}
|
||||
|
||||
public override void OnSecuritiesChanged(SecurityChanges changes)
|
||||
{
|
||||
// The securities are added in the same time slice as the chain universe data that selected them,
|
||||
// which the algorithm manager stores in the security cache before any user code is called,
|
||||
// so the cache open interest must already be set here
|
||||
foreach (var security in changes.AddedSecurities)
|
||||
{
|
||||
AssertOpenInterest(security, checkOpenInterestTick: false);
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnData(Slice slice)
|
||||
{
|
||||
foreach (var security in Securities.Values)
|
||||
{
|
||||
AssertOpenInterest(security, checkOpenInterestTick: true);
|
||||
}
|
||||
}
|
||||
|
||||
private void AssertOpenInterest(Security security, bool checkOpenInterestTick)
|
||||
{
|
||||
var securityType = security.Symbol.SecurityType;
|
||||
if (security.Symbol.IsCanonical() || !securityType.IsOption() && securityType != SecurityType.Future)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
var chainUniverseData = GetChainUniverseData(security);
|
||||
if (chainUniverseData == null || chainUniverseData.OpenInterest == 0)
|
||||
{
|
||||
return;
|
||||
}
|
||||
|
||||
// If a more recent open interest tick was received from the data feed, the cache will reflect it instead
|
||||
if (checkOpenInterestTick)
|
||||
{
|
||||
var lastOpenInterestTick = security.Cache.GetData<OpenInterest>();
|
||||
if (lastOpenInterestTick != null && lastOpenInterestTick.EndTime > chainUniverseData.EndTime)
|
||||
{
|
||||
return;
|
||||
}
|
||||
}
|
||||
|
||||
var expectedOpenInterest = (long)chainUniverseData.OpenInterest;
|
||||
if (security.Cache.OpenInterest != expectedOpenInterest)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected open interest value for {security.Symbol}. " +
|
||||
$"Expected {expectedOpenInterest} from the chain universe data but found {security.Cache.OpenInterest}");
|
||||
}
|
||||
AssertionCount++;
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
if (AssertionCount == 0)
|
||||
{
|
||||
throw new RegressionTestException("The security cache open interest was never set from the chain universe data.");
|
||||
}
|
||||
Log($"Open interest was asserted {AssertionCount} times against the chain universe data");
|
||||
}
|
||||
|
||||
/// <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 virtual bool CanRunLocally { get; } = true;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
||||
/// </summary>
|
||||
public virtual List<Language> Languages { get; } = new() { Language.CSharp };
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of all timeslices of algorithm
|
||||
/// </summary>
|
||||
public virtual long DataPoints => 8886;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public virtual int AlgorithmHistoryDataPoints => 0;
|
||||
|
||||
/// <summary>
|
||||
/// Final status of the algorithm
|
||||
/// </summary>
|
||||
public virtual 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 virtual 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", "0"},
|
||||
{"Tracking Error", "0"},
|
||||
{"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