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 securities selected, deselected and re-selected from universes.
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/// </summary>
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public class SecurityInitializationOnReAdditionForUniverseSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private List<Symbol> _symbolsToSelect;
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private List<Symbol> _selectedSymbols;
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private int _selectionsCount;
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private Dictionary<Security, int> _securityInializationCounts = new();
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public override void Initialize()
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{
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SetStartDate(2014, 03, 24);
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SetEndDate(2014, 04, 07);
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SetCash(100000);
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UniverseSettings.Resolution = Resolution.Daily;
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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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_symbolsToSelect = new List<Symbol>()
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{
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QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("IWM", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("QQQ", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("AIG", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA),
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QuantConnect.Symbol.Create("IBM", SecurityType.Equity, Market.USA),
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};
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AddUniverse("MyUniverse", Resolution.Daily, SelectionFunction);
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}
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private IEnumerable<string> SelectionFunction(DateTime dateTime)
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{
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_securityInializationCounts.Clear();
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_selectionsCount++;
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_selectedSymbols = _symbolsToSelect.Skip(dateTime.Day % 2 == 0 ? 0 : 3).Take(3).ToList();
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return _selectedSymbols.Select(x => x.Value);
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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foreach (var security in changes.AddedSecurities)
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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 tradable. Symbol: {security.Symbol}");
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}
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}
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foreach (var security in changes.RemovedSecurities)
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{
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if (security.IsTradable)
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{
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throw new RegressionTestException($"Expected the security to be not tradable. Symbol: {security.Symbol}");
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}
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}
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if (changes.AddedSecurities.Count != _selectedSymbols.Count ||
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changes.AddedSecurities.Any(x => !_selectedSymbols.Contains(x.Symbol)))
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{
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throw new RegressionTestException($"Expected the added securities to be the selected ones. " +
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$"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}, " +
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$"Selected: {string.Join(", ", _selectedSymbols)}");
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}
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if (changes.AddedSecurities.Count != _securityInializationCounts.Count ||
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changes.AddedSecurities.Any(x => !_securityInializationCounts.TryGetValue(x, out var count) || count != 1))
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{
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throw new RegressionTestException($"Expected all contracts to be initialized. " +
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$"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}, " +
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$"Initialized: {string.Join(", ", _securityInializationCounts.Select(x => $"{x.Key.Symbol.Value} - {x.Value}"))}");
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}
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if (changes.RemovedSecurities.Count > 0)
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{
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var expectedDeselectedSymbols = _symbolsToSelect.Where(x => !_selectedSymbols.Contains(x)).ToList();
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if (changes.RemovedSecurities.Count != expectedDeselectedSymbols.Count ||
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changes.RemovedSecurities.Any(x => !expectedDeselectedSymbols.Contains(x.Symbol)))
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{
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throw new RegressionTestException($"Expected the removed securities to be the deselected ones. " +
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$"Removed: {string.Join(", ", changes.RemovedSecurities.Select(x => x.Symbol.Value))}, " +
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$"Deselected: {string.Join(", ", expectedDeselectedSymbols)}");
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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 (_selectionsCount < 2)
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{
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throw new RegressionTestException("Expected at least two selections");
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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 => 128;
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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 => 150;
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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", "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", "0.97"},
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{"Tracking Error", "0.097"},
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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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