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 QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demostrates the use of <see cref="VolumeRenkoConsolidator"/> for creating constant volume bar
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/// </summary>
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/// <meta name="tag" content="renko" />
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="consolidating data" />
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public class VolumeRenkoConsolidatorAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _spy, _ibm;
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private VolumeRenkoConsolidator _tradebarVolumeConsolidator, _tickVolumeConsolidator;
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private SimpleMovingAverage _sma = new SimpleMovingAverage(10);
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private bool _tickConsolidated = false;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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_spy = AddEquity("SPY", Resolution.Minute).Symbol;
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_tradebarVolumeConsolidator = new VolumeRenkoConsolidator(1000000);
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_tradebarVolumeConsolidator.DataConsolidated += (sender, bar) => {
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_sma.Update(bar.EndTime, bar.Value);
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Debug($"SPY {bar.Time} to {bar.EndTime} :: O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
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if (bar.Volume != 1000000)
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{
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throw new RegressionTestException("Volume of consolidated bar does not match set value!");
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}
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};
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_ibm = AddEquity("IBM", Resolution.Tick).Symbol;
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_tickVolumeConsolidator = new VolumeRenkoConsolidator(1000000);
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_tickVolumeConsolidator.DataConsolidated += (sender, bar) => {
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Debug($"IBM {bar.Time} to {bar.EndTime} :: O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
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if (bar.Volume != 1000000)
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{
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throw new RegressionTestException("Volume of consolidated bar does not match set value!");
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}
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_tickConsolidated = true;
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};
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var history = History<TradeBar>(new[] {_spy}, 1000, Resolution.Minute);
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foreach (var slice in history)
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{
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_tradebarVolumeConsolidator.Update(slice[_spy]);
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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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// Update by TradeBar
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if (slice.Bars.ContainsKey(_spy))
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{
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_tradebarVolumeConsolidator.Update(slice.Bars[_spy]);
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}
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// Update by Tick
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if (slice.Ticks.ContainsKey(_ibm))
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{
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foreach (var tick in slice.Ticks[_ibm])
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{
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_tickVolumeConsolidator.Update(tick);
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}
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}
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if (_sma.IsReady && _sma.Current.Value < Securities[_spy].Price)
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{
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SetHoldings(_spy, 1m);
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}
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else
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{
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SetHoldings(_spy, 0m);
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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 (!_tickConsolidated)
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{
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throw new RegressionTestException("Tick consolidator was never been called");
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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, Language.Python };
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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 => 698706;
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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 => 390;
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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", "225"},
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{"Average Win", "0.25%"},
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{"Average Loss", "-0.05%"},
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{"Compounding Annual Return", "-48.296%"},
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{"Drawdown", "3.000%"},
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{"Expectancy", "-0.190"},
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{"Start Equity", "100000"},
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{"End Equity", "99160.18"},
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{"Net Profit", "-0.840%"},
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{"Sharpe Ratio", "-0.987"},
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{"Sortino Ratio", "-7.639"},
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{"Probabilistic Sharpe Ratio", "41.222%"},
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{"Loss Rate", "87%"},
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{"Win Rate", "13%"},
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{"Profit-Loss Ratio", "5.05"},
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{"Alpha", "-2.224"},
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{"Beta", "1.009"},
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{"Annual Standard Deviation", "0.234"},
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{"Annual Variance", "0.055"},
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{"Information Ratio", "-33.249"},
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{"Tracking Error", "0.066"},
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{"Treynor Ratio", "-0.229"},
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{"Total Fees", "$765.34"},
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{"Estimated Strategy Capacity", "$4100000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "4497.77%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "bc7753018280859a55ca9834f21c511a"}
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};
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}
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}
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