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.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm tests the behavior of SetHoldings for futures, see GH issue 4027
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/// </summary>
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public class SetHoldingsFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _contractSymbol;
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private bool _invertedPosition;
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/// <summary>
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/// Initialize your algorithm and add desired assets.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 10);
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SetCash(1000000);
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var future = AddFuture(Futures.Indices.SP500EMini);
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// set our expiry filter for this futures chain
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future.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
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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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if (!Portfolio.Invested && !_invertedPosition)
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{
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foreach (var chain in slice.FutureChains)
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{
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// find the front contract expiring no earlier than in 90 days
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var contract = (
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from futuresContract in chain.Value.OrderBy(x => x.Expiry)
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where futuresContract.Expiry > Time.Date.AddDays(90)
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select futuresContract
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).FirstOrDefault();
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// if found, trade it
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if (contract != null)
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{
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_contractSymbol = contract.Symbol;
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try
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{
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SetHoldings(_contractSymbol, 1.1);
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throw new RegressionTestException("We expect invalid target for futures to throw an exception");
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}
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catch (InvalidOperationException)
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{
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// expected
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}
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try
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{
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SetHoldings(_contractSymbol, -1.1);
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throw new RegressionTestException("We expect invalid target for futures to throw an exception");
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}
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catch (InvalidOperationException)
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{
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// expected
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}
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SetHoldings(_contractSymbol, 1);
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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 (!_invertedPosition)
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{
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// lets reverse our position now
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SetHoldings(_contractSymbol, -1);
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_invertedPosition = true;
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}
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else
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{
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Liquidate();
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status == OrderStatus.Filled && Portfolio.Invested)
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{
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Log($"{orderEvent} - Portfolio.MarginRemaining {Portfolio.MarginRemaining}");
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if (Portfolio.TotalHoldingsValue / Portfolio.TotalPortfolioValue < 10)
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{
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throw new RegressionTestException("Expected to be trading using the futures margin leverage");
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}
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var security = Securities[_contractSymbol];
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var model = security.BuyingPowerModel as FutureMarginModel;
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var marginUsed = model.MaintenanceOvernightMarginRequirement * security.Holdings.AbsoluteQuantity;
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if ((Portfolio.TotalMarginUsed - marginUsed) != 0)
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{
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throw new RegressionTestException($"We expect TotalMarginUsed to be {marginUsed}, but was {Portfolio.TotalMarginUsed}");
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}
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var initialMarginRequired = model.InitialOvernightMarginRequirement * security.Holdings.AbsoluteQuantity;
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if (Portfolio.TotalPortfolioValue - initialMarginRequired > model.InitialOvernightMarginRequirement * security.SymbolProperties.LotSize)
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{
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throw new RegressionTestException("We expect to be trading using the biggest position we can, there seems to be room for another contract");
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}
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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 => 14920;
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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", "3"},
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{"Average Win", "0%"},
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{"Average Loss", "-1.34%"},
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{"Compounding Annual Return", "-95.782%"},
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{"Drawdown", "2.600%"},
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{"Expectancy", "-1"},
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{"Start Equity", "1000000"},
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{"End Equity", "974316.1"},
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{"Net Profit", "-2.568%"},
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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", "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"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-66.775"},
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{"Tracking Error", "0.243"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$2033.90"},
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{"Estimated Strategy Capacity", "$530000.00"},
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{"Lowest Capacity Asset", "ES VP274HSU1AF5"},
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{"Portfolio Turnover", "2690.71%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "f33db020caac94864efec448e79bce97"}
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};
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}
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}
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