quantconnect--lean/Algorithm.CSharp/ConsolidateWithSizeAttributeRegressionAlgorithm.cs

/*
 * 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 QuantConnect.Data;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This regression algorithm tests different overloads of the Consolidate method
    /// using a variety of bar types, including RenkoBar, VolumeRenkoBar, RangeBar,
    /// as well as common bars like TradeBar and QuoteBar with a maxCount parameter.
    /// It verifies that each overload functions correctly and that the appropriate consolidators are properly created and invoked.
    /// </summary>
    public class ConsolidateWithSizeAttributeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Symbol _spy;
        private List<SimpleMovingAverage> _smaIndicators;
        private List<IDataConsolidator> _consolidators;

        /// <summary>
        /// Initializes the algorithm.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 7);
            SetEndDate(2013, 10, 7);
            SetCash(100000);

            _spy = AddEquity("SPY", Resolution.Minute).Symbol;

            _smaIndicators = new List<SimpleMovingAverage>()
            {
                new SimpleMovingAverage("RenkoBarSMA", 10),
                new SimpleMovingAverage("VolumeRenkoBarSMA", 10),
                new SimpleMovingAverage("RangeBarSMA", 10),
                new SimpleMovingAverage("TradeBarSMA", 10),
                new SimpleMovingAverage("QuoteBarSMA", 10),
                new SimpleMovingAverage("BaseDataSMA", 10),
            };
            _consolidators = new List<IDataConsolidator>()
            {
                Consolidate<RenkoBar>(_spy, 0.1m, null, renkoBar => UpdateWithRenkoBar(renkoBar, 0)),
                Consolidate<VolumeRenkoBar>(_spy, 10000m, null, volumeRenkoBar => UpdateWithVolumeRenkoBar(volumeRenkoBar, 1)),
                Consolidate<RangeBar>(_spy, 12m, null, rangeBar => UpdateWithRangeBar(rangeBar, 2)),

                // Trade and Quote consolidators with max count
                Consolidate<TradeBar>(_spy, 10, null, tradeBar => UpdateWithTradeBar(tradeBar, 3)),
                Consolidate<QuoteBar>(_spy, 10, null, quoteBar => UpdateWithQuoteBar(quoteBar, 4)),

                // BaseData consolidator with max count
                Consolidate<BaseData>(_spy, 10, null, quoteBar => UpdateWithBaseData(quoteBar, 5))
            };
        }

        // <summary>
        /// Updates the BaseDataSMA indicator with the bar's value.
        /// </summary>
        private void UpdateWithBaseData(BaseData baseData, int position)
        {
            _smaIndicators[position].Update(baseData.EndTime, baseData.Value);
        }

        /// <summary>
        /// Updates the TradeBarSMA indicator with the bar's high price.
        /// </summary>
        private void UpdateWithTradeBar(TradeBar tradeBar, int position)
        {
            _smaIndicators[position].Update(tradeBar.EndTime, tradeBar.High);
        }

        /// <summary>
        /// Updates the QuoteBarSMA indicator with the bar's high price.
        /// </summary>
        private void UpdateWithQuoteBar(QuoteBar quoteBar, int position)
        {
            _smaIndicators[position].Update(quoteBar.EndTime, quoteBar.High);
        }

        /// <summary>
        /// Updates the RenkoBarSMA indicator with the bar's high price.
        /// </summary>
        private void UpdateWithRenkoBar(RenkoBar renkoBar, int position)
        {
            _smaIndicators[position].Update(renkoBar.EndTime, renkoBar.High);
        }

        /// <summary>
        /// Updates the VolumeRenkoBarSMA indicator with the bar's high price.
        /// </summary>
        private void UpdateWithVolumeRenkoBar(VolumeRenkoBar volumeRenkoBar, int position)
        {
            _smaIndicators[position].Update(volumeRenkoBar.EndTime, volumeRenkoBar.High);
        }

        /// <summary>
        /// Updates the RangeBarSMA indicator with the bar's high price.
        /// </summary>
        private void UpdateWithRangeBar(RangeBar rangeBar, int position)
        {
            _smaIndicators[position].Update(rangeBar.EndTime, rangeBar.High);
        }

        public override void OnEndOfAlgorithm()
        {
            // Verifies that each SMA was updated and is ready, confirming the Consolidate overloads functioned correctly.
            foreach (var sma in _smaIndicators)
            {
                if (sma.Samples == 0)
                {
                    throw new RegressionTestException($"The indicator '{sma.Name}' did not receive any updates. This indicates the associated consolidator was not triggered.");
                }
                if (!sma.IsReady)
                {
                    throw new RegressionTestException($"The indicator '{sma.Name}' is not ready. It received only {sma.Samples} samples, but requires at least {sma.Period} to be ready.");
                }
            }

            var expectedConsolidatorTypes = new List<Type>()
            {
                typeof(RenkoConsolidator),
                typeof(VolumeRenkoConsolidator),
                typeof(RangeConsolidator),
                typeof(TradeBarConsolidator),
                typeof(QuoteBarConsolidator),
                typeof(BaseDataConsolidator)
            };

            for (var i = 0; i < _consolidators.Count; i++)
            {
                var consolidator = _consolidators[i];
                if (consolidator.GetType() != expectedConsolidatorTypes[i])
                {
                    throw new RegressionTestException($"Expected consolidator type {expectedConsolidatorTypes[i]} but received {consolidator.GetType()}");
                }
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 795;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "0"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000"},
            {"End Equity", "100000"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
            {"Portfolio Turnover", "0%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
}