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 System.Linq;
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using QuantConnect.Data.UniverseSelection;
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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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/// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
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/// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
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/// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
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///
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/// Additionally, it tests that the security is initialized after every addition, and no more.
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///
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/// This specific algorithm tests this behavior for equities.
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/// </summary>
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public class SecurityInitializationOnReAdditionForEquityRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _security;
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private Queue<DateTime> _tradableDates;
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private bool _securityWasRemoved;
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private Dictionary<Security, int> _securityInializationCounts = new();
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protected virtual DateTime StartTimeToUse => new DateTime(2013, 10, 05);
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protected virtual DateTime EndTimeToUse => new DateTime(2013, 10, 30);
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public override void Initialize()
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{
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SetStartDate(StartTimeToUse);
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SetEndDate(EndTimeToUse);
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var seeder = new FuncSecuritySeeder((security) =>
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{
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if (!_securityInializationCounts.TryGetValue(security, out var count))
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{
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count = 0;
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}
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_securityInializationCounts[security] = count + 1;
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Debug($"[{Time}] Seeding {security.Symbol}");
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return GetLastKnownPrices(security);
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});
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SetSecurityInitializer(security => seeder.SeedSecurity(security));
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_security = AddSecurityImpl();
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_tradableDates = new(QuantConnect.Time.EachTradeableDay(_security.Exchange.Hours, StartDate, EndDate));
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Schedule.On(DateRules.EveryDay(_security.Symbol), TimeRules.Midnight, () =>
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{
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var currentTradableDate = _tradableDates.Dequeue();
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if (currentTradableDate != Time.Date)
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{
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throw new RegressionTestException($"Expected the current tradable date to be {Time.Date}. Got {currentTradableDate}");
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}
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if (Time == StartDate)
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{
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return;
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}
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// Before we remove the security let's check that it was not initialized again
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AssertSecurityInitializationCount(_securityInializationCounts, _security);
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// Remove the security every day
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Debug($"[{Time}] Removing the security");
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_securityWasRemoved = RemoveSecurity(_security.Symbol);
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if (!_securityWasRemoved)
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{
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throw new RegressionTestException($"Expected the security to be removed");
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}
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if (_security.IsTradable)
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{
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throw new RegressionTestException($"Expected the security to be not tradable after removing it");
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}
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});
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}
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private Security AddSecurityImpl()
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{
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_securityInializationCounts.Clear();
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var security = AddSecurity();
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if (_security != null && !ReferenceEquals(_security, security))
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{
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throw new RegressionTestException($"Expected the security to be the same as the original security");
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}
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AssertSecurityInitializationCount(_securityInializationCounts, security);
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return security;
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}
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protected virtual Security AddSecurity()
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{
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return AddEquity("SPY");
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (_securityWasRemoved)
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{
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if (changes.AddedSecurities.Count > 0)
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{
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throw new RegressionTestException($"Expected no securities to be added. Got {changes.AddedSecurities.Count}");
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}
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if (!changes.RemovedSecurities.Contains(_security))
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{
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throw new RegressionTestException($"Expected the security to be removed. Got {changes.RemovedSecurities.Count}");
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}
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_securityWasRemoved = false;
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// Add the security back
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Debug($"[{Time}] Re-adding the security");
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var reAddedSecurity = AddSecurityImpl();
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if (!ReferenceEquals(reAddedSecurity, _security))
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{
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throw new RegressionTestException($"Expected the re-added security to be the same as the original security");
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}
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if (!reAddedSecurity.IsTradable)
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{
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throw new RegressionTestException($"Expected the re-added security to be tradable");
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}
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}
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else if (!changes.AddedSecurities.Contains(_security))
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{
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throw new RegressionTestException($"Expected the security to be added back");
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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 (_tradableDates.Count > 0)
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{
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throw new RegressionTestException($"Expected no more tradable dates. Still have {_tradableDates.Count}");
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}
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}
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protected virtual void AssertSecurityInitializationCount(Dictionary<Security, int> securityInializationCounts, Security security)
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{
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if (securityInializationCounts.Count != 1)
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{
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throw new RegressionTestException($"Expected only one security to be initialized. Got {securityInializationCounts.Count}");
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}
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if (!securityInializationCounts.TryGetValue(security, out var count) || count != 1)
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{
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throw new RegressionTestException($"Expected the security to be initialized once and once only, " +
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$"but was initialized {count} 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 virtual long DataPoints => 4072;
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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 virtual int AlgorithmHistoryDataPoints => 2948;
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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 virtual 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", "-5.028"},
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{"Tracking Error", "0.11"},
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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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