chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,286 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*/
|
||||
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Consolidators;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Indicators;
|
||||
using QuantConnect.Securities;
|
||||
using static System.FormattableString;
|
||||
|
||||
namespace QuantConnect.Algorithm.Framework.Alphas
|
||||
{
|
||||
/// <summary>
|
||||
/// This alpha model is designed to accept every possible pair combination
|
||||
/// from securities selected by the universe selection model
|
||||
/// This model generates alternating long ratio/short ratio insights emitted as a group
|
||||
/// </summary>
|
||||
public class BasePairsTradingAlphaModel : AlphaModel
|
||||
{
|
||||
private readonly int _lookback;
|
||||
private readonly Resolution _resolution;
|
||||
private readonly TimeSpan _predictionInterval;
|
||||
private readonly decimal _threshold;
|
||||
private readonly Dictionary<Tuple<Symbol, Symbol>, PairData> _pairs;
|
||||
|
||||
/// <summary>
|
||||
/// List of security objects present in the universe
|
||||
/// </summary>
|
||||
public HashSet<Security> Securities { get; }
|
||||
|
||||
/// <summary>
|
||||
/// Initializes a new instance of the <see cref="BasePairsTradingAlphaModel"/> class
|
||||
/// </summary>
|
||||
/// <param name="lookback">Lookback period of the analysis</param>
|
||||
/// <param name="resolution">Analysis resolution</param>
|
||||
/// <param name="threshold">The percent [0, 100] deviation of the ratio from the mean before emitting an insight</param>
|
||||
public BasePairsTradingAlphaModel(
|
||||
int lookback = 1,
|
||||
Resolution resolution = Resolution.Daily,
|
||||
decimal threshold = 1m
|
||||
)
|
||||
{
|
||||
_lookback = lookback;
|
||||
_resolution = resolution;
|
||||
_threshold = threshold;
|
||||
_predictionInterval = _resolution.ToTimeSpan().Multiply(_lookback);
|
||||
_pairs = new Dictionary<Tuple<Symbol, Symbol>, PairData>();
|
||||
|
||||
Securities = new HashSet<Security>();
|
||||
Name = Invariant($"{nameof(BasePairsTradingAlphaModel)}({_lookback},{_resolution},{_threshold.Normalize()})");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Updates this alpha model with the latest data from the algorithm.
|
||||
/// This is called each time the algorithm receives data for subscribed securities
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance</param>
|
||||
/// <param name="data">The new data available</param>
|
||||
/// <returns>The new insights generated</returns>
|
||||
public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
|
||||
{
|
||||
var insights = new List<Insight>();
|
||||
|
||||
foreach (var kvp in _pairs)
|
||||
{
|
||||
insights.AddRange(kvp.Value.GetInsightGroup());
|
||||
}
|
||||
|
||||
return insights;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Event fired each time the we add/remove securities from the data feed
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
|
||||
/// <param name="changes">The security additions and removals from the algorithm</param>
|
||||
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
|
||||
{
|
||||
NotifiedSecurityChanges.UpdateCollection(Securities, changes);
|
||||
|
||||
UpdatePairs(algorithm);
|
||||
|
||||
// Remove pairs that has assets that were removed from the universe
|
||||
foreach (var security in changes.RemovedSecurities)
|
||||
{
|
||||
var symbol = security.Symbol;
|
||||
var keys = _pairs.Keys.Where(k => k.Item1 == symbol || k.Item2 == symbol).ToList();
|
||||
|
||||
foreach (var key in keys)
|
||||
{
|
||||
var pair = _pairs[key];
|
||||
pair.Dispose();
|
||||
_pairs.Remove(key);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Check whether the assets pass a pairs trading test
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
|
||||
/// <param name="asset1">The first asset's symbol in the pair</param>
|
||||
/// <param name="asset2">The second asset's symbol in the pair</param>
|
||||
/// <returns>True if the statistical test for the pair is successful</returns>
|
||||
public virtual bool HasPassedTest(QCAlgorithm algorithm, Symbol asset1, Symbol asset2)
|
||||
{
|
||||
// Check if this method was overridden in Python
|
||||
if (TryInvokePythonOverride(nameof(HasPassedTest), out bool result, algorithm, asset1, asset2))
|
||||
{
|
||||
return result;
|
||||
}
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
private void UpdatePairs(QCAlgorithm algorithm)
|
||||
{
|
||||
var assets = Securities.Select(x => x.Symbol).ToArray();
|
||||
|
||||
for (var i = 0; i < assets.Length; i++)
|
||||
{
|
||||
var assetI = assets[i];
|
||||
|
||||
for (var j = i + 1; j < assets.Length; j++)
|
||||
{
|
||||
var assetJ = assets[j];
|
||||
|
||||
var pairSymbol = Tuple.Create(assetI, assetJ);
|
||||
var invert = Tuple.Create(assetJ, assetI);
|
||||
|
||||
if (_pairs.ContainsKey(pairSymbol) || _pairs.ContainsKey(invert))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
if (!HasPassedTest(algorithm, assetI, assetJ))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
var pairData = new PairData(algorithm, assetI, assetJ, _predictionInterval, _threshold);
|
||||
_pairs.Add(pairSymbol, pairData);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private class PairData : IDisposable
|
||||
{
|
||||
private enum State
|
||||
{
|
||||
ShortRatio,
|
||||
FlatRatio,
|
||||
LongRatio
|
||||
};
|
||||
|
||||
private State _state = State.FlatRatio;
|
||||
|
||||
private readonly QCAlgorithm _algorithm;
|
||||
private readonly Symbol _asset1;
|
||||
private readonly Symbol _asset2;
|
||||
|
||||
private readonly IDataConsolidator _identityConsolidator1;
|
||||
private readonly IDataConsolidator _identityConsolidator2;
|
||||
|
||||
private readonly IndicatorBase<IndicatorDataPoint> _asset1Price;
|
||||
private readonly IndicatorBase<IndicatorDataPoint> _asset2Price;
|
||||
private readonly IndicatorBase<IndicatorDataPoint> _ratio;
|
||||
private readonly IndicatorBase<IndicatorDataPoint> _mean;
|
||||
private readonly IndicatorBase<IndicatorDataPoint> _upperThreshold;
|
||||
private readonly IndicatorBase<IndicatorDataPoint> _lowerThreshold;
|
||||
private readonly TimeSpan _predictionInterval;
|
||||
|
||||
/// <summary>
|
||||
/// Create a new pair
|
||||
/// </summary>
|
||||
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
|
||||
/// <param name="asset1">The first asset's symbol in the pair</param>
|
||||
/// <param name="asset2">The second asset's symbol in the pair</param>
|
||||
/// <param name="period">Period over which this insight is expected to come to fruition</param>
|
||||
/// <param name="threshold">The percent [0, 100] deviation of the ratio from the mean before emitting an insight</param>
|
||||
public PairData(QCAlgorithm algorithm, Symbol asset1, Symbol asset2, TimeSpan period, decimal threshold)
|
||||
{
|
||||
_algorithm = algorithm;
|
||||
_asset1 = asset1;
|
||||
_asset2 = asset2;
|
||||
|
||||
// Created the Identity indicator for a given Symbol and
|
||||
// the consolidator it is registered to. The consolidator reference
|
||||
// will be used to remove it from SubscriptionManager
|
||||
(Identity, IDataConsolidator) CreateIdentityIndicator(Symbol symbol)
|
||||
{
|
||||
var resolution = algorithm.SubscriptionManager
|
||||
.SubscriptionDataConfigService
|
||||
.GetSubscriptionDataConfigs(symbol)
|
||||
.Min(x => x.Resolution);
|
||||
|
||||
var name = algorithm.CreateIndicatorName(symbol, "close", resolution);
|
||||
var identity = new Identity(name);
|
||||
|
||||
var consolidator = algorithm.ResolveConsolidator(symbol, resolution);
|
||||
algorithm.RegisterIndicator(symbol, identity, consolidator);
|
||||
|
||||
return (identity, consolidator);
|
||||
}
|
||||
|
||||
(_asset1Price, _identityConsolidator1) = CreateIdentityIndicator(asset1);
|
||||
(_asset2Price, _identityConsolidator2) = CreateIdentityIndicator(asset2);
|
||||
|
||||
_ratio = _asset1Price.Over(_asset2Price);
|
||||
_mean = new ExponentialMovingAverage(500).Of(_ratio);
|
||||
|
||||
var upper = new ConstantIndicator<IndicatorDataPoint>("ct", 1 + threshold / 100m);
|
||||
_upperThreshold = _mean.Times(upper, "UpperThreshold");
|
||||
|
||||
var lower = new ConstantIndicator<IndicatorDataPoint>("ct", 1 - threshold / 100m);
|
||||
_lowerThreshold = _mean.Times(lower, "LowerThreshold");
|
||||
|
||||
_predictionInterval = period;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// On disposal, remove the consolidators from the subscription manager
|
||||
/// </summary>
|
||||
public void Dispose()
|
||||
{
|
||||
_algorithm.SubscriptionManager.RemoveConsolidator(_asset1, _identityConsolidator1);
|
||||
_algorithm.SubscriptionManager.RemoveConsolidator(_asset2, _identityConsolidator2);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the insights group for the pair
|
||||
/// </summary>
|
||||
/// <returns>Insights grouped by an unique group id</returns>
|
||||
public IEnumerable<Insight> GetInsightGroup()
|
||||
{
|
||||
if (!_mean.IsReady)
|
||||
{
|
||||
return Enumerable.Empty<Insight>();
|
||||
}
|
||||
|
||||
// don't re-emit the same direction
|
||||
if (_state != State.LongRatio && _ratio > _upperThreshold)
|
||||
{
|
||||
_state = State.LongRatio;
|
||||
|
||||
// asset1/asset2 is more than 2 std away from mean, short asset1, long asset2
|
||||
var shortAsset1 = Insight.Price(_asset1, _predictionInterval, InsightDirection.Down);
|
||||
var longAsset2 = Insight.Price(_asset2, _predictionInterval, InsightDirection.Up);
|
||||
|
||||
// creates a group id and set the GroupId property on each insight object
|
||||
return Insight.Group(shortAsset1, longAsset2);
|
||||
}
|
||||
|
||||
// don't re-emit the same direction
|
||||
if (_state != State.ShortRatio && _ratio < _lowerThreshold)
|
||||
{
|
||||
_state = State.ShortRatio;
|
||||
|
||||
// asset1/asset2 is less than 2 std away from mean, long asset1, short asset2
|
||||
var longAsset1 = Insight.Price(_asset1, _predictionInterval, InsightDirection.Up);
|
||||
var shortAsset2 = Insight.Price(_asset2, _predictionInterval, InsightDirection.Down);
|
||||
|
||||
// creates a group id and set the GroupId property on each insight object
|
||||
return Insight.Group(longAsset1, shortAsset2);
|
||||
}
|
||||
|
||||
return Enumerable.Empty<Insight>();
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user