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;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting fill forwarded data behavior for consolidators and indicators.
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/// 1. Test that the on-consolidated event is not called for fill forwarded data in identity and higher period consolidators
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/// 2. Test that the intra-day fill-forwarded data is not fed to indicators
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/// </summary>
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public class StrictEndTimeLowerResolutionFillForwardRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _aapl;
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private BaseData _lastNonFilledForwardedData;
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private int _dataCount;
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private int _indicatorUpdateCount;
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protected virtual bool ExtendedMarketHours => false;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 30);
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Settings.DailyPreciseEndTime = true;
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// Fill forward resolution will be minute
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AddEquity("SPY", Resolution.Minute);
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_aapl = AddEquity("AAPL", Resolution.Daily, extendedMarketHours: ExtendedMarketHours);
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var tradableDates = QuantConnect.Time.EachTradeableDayInTimeZone(_aapl.Exchange.Hours, StartDate, EndDate,
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_aapl.Exchange.TimeZone, _aapl.IsExtendedMarketHours).ToList();
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TestIdentityConsolidator(tradableDates);
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TestHigherPeriodConsolidator(tradableDates);
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TestIndicator(tradableDates);
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}
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private void TestIdentityConsolidator(List<DateTime> tradableDates)
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{
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var i = 0;
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var consolidator = Consolidate<TradeBar>(_aapl.Symbol, TimeSpan.FromDays(1), (bar) =>
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{
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var expectedDate = tradableDates[i++];
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var schedule = LeanData.GetDailyCalendar(expectedDate.AddDays(1), _aapl.Exchange, false);
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if (bar.Time != schedule.Start || bar.EndTime != schedule.End)
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{
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throw new RegressionTestException($"Unexpected consolidated bar time. " +
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$"Expected: [{schedule.Start} - {schedule.End}], Actual: [{bar.Time} - {bar.EndTime}]");
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}
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Debug($"Consolidated (identity) :: {bar}");
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});
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if (consolidator is not IdentityDataConsolidator<TradeBar>)
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{
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throw new RegressionTestException($"Unexpected consolidator type. " +
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$"Expected {typeof(IdentityDataConsolidator<TradeBar>)} but was {consolidator.GetType()}");
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}
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}
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private void TestHigherPeriodConsolidator(List<DateTime> tradableDates)
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{
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var i = 0;
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// Add a consolidator to assert that fill forward data is not used
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Consolidate<TradeBar>(_aapl.Symbol, TimeSpan.FromDays(2), (bar) =>
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{
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var expectedStartDate = tradableDates[i++];
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var startDateSchedule = LeanData.GetDailyCalendar(expectedStartDate.AddDays(1), _aapl.Exchange, false);
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var expectedStartTime = startDateSchedule.Start;
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var expectedEndTime = expectedStartTime.AddDays(2);
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if (bar.Time != expectedStartTime || bar.EndTime != expectedEndTime)
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{
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throw new RegressionTestException($"Unexpected consolidated bar time. " +
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$"Expected: [{expectedStartTime} - {expectedEndTime}], Actual: [{bar.Time} - {bar.EndTime}]");
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}
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if (tradableDates[i] == expectedStartDate.AddDays(1))
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{
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i++;
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}
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Debug($"Consolidated (2 days) :: {bar}");
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});
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}
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private void TestIndicator(List<DateTime> tradableDates)
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{
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var i = 0;
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EMA(_aapl.Symbol, 3, Resolution.Daily).Updated += (sender, data) =>
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{
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_indicatorUpdateCount++;
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var expectedEndTime = _aapl.Exchange.Hours.GetNextMarketClose(tradableDates[i++], false);
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if (data.EndTime != expectedEndTime)
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{
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throw new RegressionTestException($"Unexpected EMA time. Expected: {expectedEndTime}, Actual: {data.EndTime}");
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}
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Debug($"EMA :: [{data.EndTime}] {data}");
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};
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}
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public override void OnData(Slice slice)
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{
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if (slice.TryGetValue(_aapl.Symbol, out var data))
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{
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var baseData = data as BaseData;
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if (!baseData.IsFillForward)
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{
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_lastNonFilledForwardedData = baseData;
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}
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var timeInExchangeTz = UtcTime.ConvertFromUtc(_aapl.Exchange.TimeZone);
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var daySchedule = LeanData.GetDailyCalendar(timeInExchangeTz, _aapl.Exchange, false);
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if (timeInExchangeTz == daySchedule.End)
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{
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if (baseData.IsFillForward)
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{
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throw new RegressionTestException("End of day data should not be fill forward for daily subscription when data is available");
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}
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}
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else
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{
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if (!baseData.IsFillForward
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|| _lastNonFilledForwardedData == null
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|| _lastNonFilledForwardedData.Time.Date != baseData.Time.Date
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|| _lastNonFilledForwardedData.EndTime.Date != baseData.EndTime.Date)
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{
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throw new RegressionTestException("Data should be fill forward to minute resolution during the day");
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}
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}
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_dataCount++;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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var tradableDates = QuantConnect.Time.EachTradeableDay(_aapl, StartDate.AddDays(1), EndDate, ExtendedMarketHours);
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var tradableDatesCount = 1;
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var expectedDataCount = 1; // One for the first day
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foreach (var date in tradableDates)
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{
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tradableDatesCount++;
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var hours = _aapl.Exchange.Hours.GetMarketHours(date);
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foreach (var segment in hours.Segments)
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{
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if (ExtendedMarketHours || segment.State == MarketHoursState.Market)
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{
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expectedDataCount += (int)(segment.End - segment.Start).TotalMinutes;
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}
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}
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}
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if (_dataCount != expectedDataCount)
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{
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throw new RegressionTestException($"Unexpected data count. Expected: {expectedDataCount}, Actual: {_dataCount}");
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}
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if (_indicatorUpdateCount != tradableDatesCount)
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{
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throw new RegressionTestException($"Unexpected indicator update count. Expected: {tradableDatesCount}, Actual: {_indicatorUpdateCount}");
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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 => 20805;
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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", "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", "-7.12"},
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{"Tracking Error", "0.109"},
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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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