chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,250 @@
|
||||
/*
|
||||
* 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 NodaTime;
|
||||
using NUnit.Framework;
|
||||
using QuantConnect.Algorithm;
|
||||
using QuantConnect.Configuration;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Packets;
|
||||
using QuantConnect.Benchmarks;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Tests.Engine.DataFeeds;
|
||||
using QuantConnect.Statistics;
|
||||
using QuantConnect.Securities;
|
||||
using System.Linq;
|
||||
|
||||
namespace QuantConnect.Tests.Algorithm
|
||||
{
|
||||
[TestFixture]
|
||||
public class AlgorithmBenchmarkTests
|
||||
{
|
||||
private TestBenchmarkAlgorithm _algorithm;
|
||||
|
||||
[TearDown]
|
||||
public void TearDown()
|
||||
{
|
||||
Config.Reset();
|
||||
}
|
||||
|
||||
[TestCase(SecurityType.Forex)]
|
||||
[TestCase(SecurityType.Equity)]
|
||||
[TestCase(SecurityType.Crypto)]
|
||||
[TestCase(SecurityType.Index)]
|
||||
[TestCase(SecurityType.Option)]
|
||||
[TestCase(SecurityType.Future)]
|
||||
[TestCase(SecurityType.Cfd)]
|
||||
public void SetBenchmarksSecurityTypes(SecurityType securityType)
|
||||
{
|
||||
|
||||
_algorithm = BenchmarkTestSetupHandler.TestAlgorithm = new TestBenchmarkAlgorithm(securityType);
|
||||
_algorithm.StartDateToUse = new DateTime(2014, 05, 03);
|
||||
_algorithm.EndDateToUse = new DateTime(2014, 05, 04);
|
||||
|
||||
var results = AlgorithmRunner.RunLocalBacktest(nameof(TestBenchmarkAlgorithm),
|
||||
new Dictionary<string, string> { { PerformanceMetrics.TotalOrders, "0" } },
|
||||
Language.CSharp,
|
||||
AlgorithmStatus.Completed,
|
||||
setupHandler: "BenchmarkTestSetupHandler");
|
||||
|
||||
|
||||
var benchmark = _algorithm.Benchmark as SecurityBenchmark;
|
||||
Assert.IsNotNull(benchmark);
|
||||
Assert.AreEqual(securityType, benchmark.Security.Type);
|
||||
Assert.IsNull(_algorithm.RunTimeError);
|
||||
}
|
||||
|
||||
[TestCase(Resolution.Daily)]
|
||||
[TestCase(Resolution.Hour)]
|
||||
[TestCase(Resolution.Minute)]
|
||||
[TestCase(Resolution.Second)]
|
||||
[TestCase(Resolution.Daily, true)]
|
||||
[TestCase(Resolution.Hour, true)]
|
||||
[TestCase(Resolution.Minute, true)]
|
||||
[TestCase(Resolution.Second, true)]
|
||||
public void MisalignedBenchmarkAndAlgorithmTimeZones(Resolution resolution, bool useUniverseSubscription = false)
|
||||
{
|
||||
// Verify that if we have algorithm:
|
||||
// - subscribed to a daily resolution via universe or directly
|
||||
// - a benchmark with timezone that is not algorithm time zone
|
||||
// that we post an warning via log that statistics will be affected
|
||||
|
||||
// Setup a empty algorithm for the test
|
||||
var algorithm = new QCAlgorithm();
|
||||
var dataManager = new DataManagerStub(algorithm, new MockDataFeed(), liveMode: true);
|
||||
algorithm.SubscriptionManager.SetDataManager(dataManager);
|
||||
|
||||
if (useUniverseSubscription)
|
||||
{
|
||||
// Change our universe resolution
|
||||
algorithm.UniverseSettings.Resolution = resolution;
|
||||
}
|
||||
else
|
||||
{
|
||||
// subscribe to an equity in our provided resolution
|
||||
algorithm.AddEquity("AAPL", resolution);
|
||||
}
|
||||
|
||||
// Default benchmark is SPY which is NY TimeZone,
|
||||
// Set timezone to UTC.
|
||||
algorithm.SetTimeZone(DateTimeZone.Utc);
|
||||
algorithm.PostInitialize();
|
||||
|
||||
// Verify if our log is there (Should only be there in Daily case)
|
||||
switch (resolution)
|
||||
{
|
||||
case Resolution.Daily:
|
||||
if (algorithm.LogMessages.TryPeek(out string result))
|
||||
{
|
||||
Assert.IsTrue(result.Contains("Using a security benchmark of a different timezone", StringComparison.InvariantCulture));
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.Fail("Warning was not posted");
|
||||
}
|
||||
break;
|
||||
default:
|
||||
Assert.AreEqual(0, algorithm.LogMessages.Count);
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void BenchmarkIsNotInitializeWithCustomSecurityInitializer()
|
||||
{
|
||||
var algorithm = new QCAlgorithm();
|
||||
var dataManager = new DataManagerStub(algorithm, new MockDataFeed());
|
||||
algorithm.SubscriptionManager.SetDataManager(dataManager);
|
||||
|
||||
var securityInitializer = new CustomSecurityInitializer();
|
||||
algorithm.SetSecurityInitializer(securityInitializer);
|
||||
|
||||
var spy = algorithm.AddEquity("SPY");
|
||||
|
||||
algorithm.SetBenchmark("AAPL");
|
||||
var aapl = (algorithm.Benchmark as SecurityBenchmark).Security;
|
||||
|
||||
algorithm.PostInitialize();
|
||||
|
||||
Assert.IsTrue(securityInitializer.InitializedSecurities.Contains(spy));
|
||||
Assert.IsFalse(securityInitializer.InitializedSecurities.Contains(aapl));
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void BenchmarkIsNotAffectedBySecuritySeederDataNormalizationMode()
|
||||
{
|
||||
var algorithm = new TestBenchmarkDataNormalizationModeAlgorithm();
|
||||
BenchmarkTestSetupHandler.TestAlgorithm = algorithm;
|
||||
algorithm.StartDateToUse = new DateTime(2013, 10, 07);
|
||||
algorithm.EndDateToUse = new DateTime(2013, 10, 11);
|
||||
|
||||
var results = AlgorithmRunner.RunLocalBacktest(nameof(TestBenchmarkAlgorithm),
|
||||
new Dictionary<string, string> { { PerformanceMetrics.TotalOrders, "0" } },
|
||||
Language.CSharp,
|
||||
AlgorithmStatus.Completed,
|
||||
setupHandler: nameof(BenchmarkTestSetupHandler));
|
||||
|
||||
var benchmark = algorithm.Benchmark as SecurityBenchmark;
|
||||
Assert.IsNotNull(benchmark);
|
||||
Assert.AreEqual(Symbols.SPY, benchmark.Security.Symbol);
|
||||
|
||||
// All values must be between 142 and 148 (expected adjusted data for the time range) for the benchmark
|
||||
Assert.IsTrue(algorithm.BenchmarkValues.All(x => x >= 142m && x <= 148m),
|
||||
$"Benchmark values are:\n{string.Join('\n', algorithm.BenchmarkValues)}");
|
||||
}
|
||||
|
||||
public class BenchmarkTestSetupHandler : AlgorithmRunner.RegressionSetupHandlerWrapper
|
||||
{
|
||||
public static TestBenchmarkAlgorithm TestAlgorithm { get; set; }
|
||||
|
||||
public override IAlgorithm CreateAlgorithmInstance(AlgorithmNodePacket algorithmNodePacket, string assemblyPath)
|
||||
{
|
||||
Algorithm = TestAlgorithm;
|
||||
return Algorithm;
|
||||
}
|
||||
}
|
||||
|
||||
public class TestBenchmarkAlgorithm : QCAlgorithm
|
||||
{
|
||||
private Symbol _symbol;
|
||||
|
||||
public SecurityType SecurityType { get; set; }
|
||||
|
||||
public DateTime StartDateToUse { get; set; }
|
||||
|
||||
public DateTime EndDateToUse { get; set; }
|
||||
|
||||
public int WarmUpDataCount { get; set; }
|
||||
|
||||
public TestBenchmarkAlgorithm(SecurityType securityType)
|
||||
{
|
||||
SecurityType = securityType;
|
||||
}
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(StartDateToUse);
|
||||
SetEndDate(EndDateToUse);
|
||||
|
||||
_symbol = Symbols.GetBySecurityType(SecurityType);
|
||||
AddSecurity(_symbol);
|
||||
SetBenchmark(_symbol);
|
||||
}
|
||||
}
|
||||
|
||||
public class TestBenchmarkDataNormalizationModeAlgorithm : TestBenchmarkAlgorithm
|
||||
{
|
||||
public List<decimal> BenchmarkValues { get; } = new();
|
||||
|
||||
public TestBenchmarkDataNormalizationModeAlgorithm()
|
||||
: base(SecurityType.Equity)
|
||||
{
|
||||
}
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(StartDateToUse);
|
||||
SetEndDate(EndDateToUse);
|
||||
|
||||
UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
|
||||
// If the benchmark is initialized using this security initializer, the security seeder would source data
|
||||
// for using the data normalization mode from the UniverseSettings, which is set to Raw
|
||||
SetSecurityInitializer(new BrokerageModelSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));
|
||||
|
||||
SetBenchmark("SPY");
|
||||
|
||||
Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(1)), () =>
|
||||
{
|
||||
var value = (Benchmark as SecurityBenchmark).Evaluate(UtcTime);
|
||||
BenchmarkValues.Add(value);
|
||||
Log($"Benchmark: {value}");
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
public class CustomSecurityInitializer : ISecurityInitializer
|
||||
{
|
||||
public HashSet<Security> InitializedSecurities { get; } = new();
|
||||
|
||||
public void Initialize(Security security)
|
||||
{
|
||||
InitializedSecurities.Add(security);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user