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 QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Orders;
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using QuantConnect.Util;
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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Simple regression algorithm asserting certain order fields update properly when a
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/// split in the data happens
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/// </summary>
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public class SplitEquityRegressionAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _aapl;
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private List<OrderTicket> _tickets = new();
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private decimal _marketPriceAtLatestSplit;
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private decimal _splitFactor;
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public override void Initialize()
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{
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SetStartDate(2014, 6, 5);
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SetEndDate(2014, 6, 11);
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SetCash(100000);
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_aapl = AddEquity("AAPL", Resolution.Hour, dataNormalizationMode: DataNormalizationMode.Raw).Symbol;
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}
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public override void OnData(Slice slice)
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{
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if (slice.Splits.ContainsKey(_aapl))
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{
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var split = slice.Splits[_aapl];
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_splitFactor = split.SplitFactor;
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_marketPriceAtLatestSplit = Securities[_aapl].Price;
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}
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if (Transactions.GetOrders().IsNullOrEmpty())
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{
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_tickets.Add(LimitIfTouchedOrder(_aapl, 10, 10, 10));
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_tickets.Add(LimitOrder(_aapl, 10, 5));
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_tickets.Add(StopLimitOrder(_aapl, 10, 15, 15));
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_tickets.Add(TrailingStopOrder(_aapl, 10, 1000, 60m, trailingAsPercentage: false));
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_tickets.Add(TrailingStopOrder(_aapl, 10, 1000, 0.1m, trailingAsPercentage: true));
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}
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}
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public override void OnEndOfAlgorithm()
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{
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foreach (var ticket in _tickets)
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{
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if (ticket.Quantity != 69.0m)
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{
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throw new RegressionTestException($"The Quantity of order with ID: {ticket.OrderId} should be 69, but was {ticket.Quantity}");
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}
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switch (ticket.OrderType)
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{
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case OrderType.LimitIfTouched:
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if (ticket.Get(OrderField.TriggerPrice) != 1.43m)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Trigger Price equal to 1.43, but was {ticket.Get(OrderField.TriggerPrice)}");
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}
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if (ticket.Get(OrderField.LimitPrice) != 1.43m)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Limit Price equal to 1.43, but was {ticket.Get(OrderField.LimitPrice)}");
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}
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break;
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case OrderType.Limit:
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if (ticket.Get(OrderField.LimitPrice) != 0.7143m)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Limit Price equal to 0.7143, but was {ticket.Get(OrderField.LimitPrice)}");
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}
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break;
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case OrderType.StopLimit:
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if (ticket.Get(OrderField.StopPrice) != 2.14m)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Stop Price equal to 2.14, but was {ticket.Get(OrderField.StopPrice)}");
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}
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break;
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case OrderType.TrailingStop:
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var stopPrice = ticket.Get(OrderField.StopPrice);
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var trailingAmount = ticket.Get(OrderField.TrailingAmount);
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if (ticket.Get<bool>(OrderField.TrailingAsPercentage))
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{
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// We only expect one stop price update in this algorithm
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if (Math.Abs(stopPrice - _marketPriceAtLatestSplit) > 0.1m * stopPrice)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Stop Price equal to 2.14, but was {ticket.Get(OrderField.StopPrice)}");
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}
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// Trailing amount unchanged since it's a percentage
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if (trailingAmount != 0.1m)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Trailing Amount equal to 0.214m, but was {trailingAmount}");
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}
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}
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else
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{
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// We only expect one stop price update in this algorithm
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if (Math.Abs(stopPrice - _marketPriceAtLatestSplit) > 60m * _splitFactor)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Stop Price equal to 2.14, but was {ticket.Get(OrderField.StopPrice)}");
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}
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if (trailingAmount != 8.57m)
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{
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throw new RegressionTestException($"Order with ID: {ticket.OrderId} should have a Trailing Amount equal to 8.57m, but was {trailingAmount}");
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}
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}
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break;
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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 => 80;
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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", "5"},
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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", "-2.491"},
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{"Tracking Error", "0.042"},
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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", "1433d839e97cd82fc9b051cfd98f166f"}
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};
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}
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}
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