wehub-resource-sync
275 lines
13 KiB
C#
275 lines
13 KiB
C#
/*
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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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*/
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using QuantConnect.Data;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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using System;
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using QuantConnect.Util;
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using System.Linq;
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using NodaTime;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Base class for regression algorithms testing that when a continuous future rollover happens,
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/// the continuous contract is updated correctly with the new contract data, regardless of the
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/// offset between the exchange time zone and the data time zone.
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/// </summary>
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public abstract class ContinuousFutureRolloverBaseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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const string Ticker = Futures.Indices.SP500EMini;
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private Future _continuousContract;
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private DateTime _rolloverTime;
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private MarketHoursDatabase.Entry _originalMhdbEntry;
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protected abstract Resolution Resolution { get; }
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protected abstract Offset ExchangeToDataTimeZoneOffset { get; }
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protected virtual bool SeedIntialPrices { get; }
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private DateTimeZone DataTimeZone => TimeZones.Utc;
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private DateTimeZone ExchangeTimeZone => DateTimeZone.ForOffset(ExchangeToDataTimeZoneOffset);
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private bool RolloverHappened => _rolloverTime != DateTime.MinValue;
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private BaseData MappedContractSeededData;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 8);
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SetEndDate(2013, 12, 20);
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Settings.SeedInitialPrices = SeedIntialPrices;
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_originalMhdbEntry = MarketHoursDatabase.GetEntry(Market.CME, Ticker, SecurityType.Future);
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var exchangeHours = new SecurityExchangeHours(ExchangeTimeZone,
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_originalMhdbEntry.ExchangeHours.Holidays,
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_originalMhdbEntry.ExchangeHours.MarketHours.ToDictionary(),
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_originalMhdbEntry.ExchangeHours.EarlyCloses,
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_originalMhdbEntry.ExchangeHours.LateOpens);
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MarketHoursDatabase.SetEntry(Market.CME, Ticker, SecurityType.Future, exchangeHours, DataTimeZone);
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SetTimeZone(ExchangeTimeZone);
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_continuousContract = AddFuture(Ticker,
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Resolution,
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extendedMarketHours: true,
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dataNormalizationMode: DataNormalizationMode.Raw,
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dataMappingMode: DataMappingMode.OpenInterest,
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contractDepthOffset: 0
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);
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SetBenchmark(x => 0);
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}
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public override void OnData(Slice slice)
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{
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try
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{
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var receivedRollover = false;
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foreach (var (symbol, symbolChangedEvent) in slice.SymbolChangedEvents)
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{
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if (RolloverHappened)
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{
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throw new RegressionTestException($"[{Time}] -- Unexpected symbol changed event for {symbol}. Expected only one mapping.");
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}
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receivedRollover = true;
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_rolloverTime = symbolChangedEvent.EndTime;
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var oldSymbol = symbolChangedEvent.OldSymbol;
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var newSymbol = symbolChangedEvent.NewSymbol;
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Debug($"[{Time}] -- Rollover: {oldSymbol} -> {newSymbol}");
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if (symbol != _continuousContract.Symbol)
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{
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throw new RegressionTestException($"[{Time}] -- Unexpected symbol changed event for {symbol}");
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}
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var expectedMappingDate = new DateTime(2013, 12, 18);
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if (_rolloverTime != expectedMappingDate)
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{
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throw new RegressionTestException($"[{Time}] -- Unexpected date {_rolloverTime}. Expected {expectedMappingDate}");
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}
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var expectedMappingOldSymbol = "ES VMKLFZIH2MTD";
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var expectedMappingNewSymbol = "ES VP274HSU1AF5";
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if (symbolChangedEvent.OldSymbol != expectedMappingOldSymbol || symbolChangedEvent.NewSymbol != expectedMappingNewSymbol)
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{
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throw new RegressionTestException($"[{Time}] -- Unexpected mapping. " +
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$"Expected {expectedMappingOldSymbol} -> {expectedMappingNewSymbol} " +
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$"but was {symbolChangedEvent.OldSymbol} -> {symbolChangedEvent.NewSymbol}");
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}
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var mappedContract = Securities[_continuousContract.Mapped];
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MappedContractSeededData = mappedContract.GetLastData();
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}
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var mappedFuture = Securities[_continuousContract.Mapped];
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var mappedFuturePrice = mappedFuture.Price;
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var otherFuture = Securities.Values.SingleOrDefault(x => !x.Symbol.IsCanonical() && x.Symbol != _continuousContract.Mapped);
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var otherFuturePrice = otherFuture?.Price;
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var continuousContractPrice = _continuousContract.Price;
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Debug($"[{Time}] Contracts prices:\n" +
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$" -- Mapped future: {mappedFuture.Symbol} :: {mappedFuture.Price} :: {mappedFuture.GetLastData()}\n" +
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$" -- Other future: {otherFuture?.Symbol} :: {otherFuture?.Price} :: {otherFuture?.GetLastData()}\n" +
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$" -- Mapped future from continuous contract: {_continuousContract.Symbol} :: {_continuousContract.Mapped} :: " +
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$"{_continuousContract.Price} :: {_continuousContract.GetLastData()}\n");
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if (receivedRollover)
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{
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if (continuousContractPrice != otherFuturePrice)
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{
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var continuousContractLastData = _continuousContract.GetLastData();
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throw new RegressionTestException($"[{Time}] -- Prices do not match. " +
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$"At the time of the rollover, expected continuous future price to be the same as " +
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$"the previously mapped contract since no data for the new mapped contract has been received:\n" +
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$" Continuous contract ({_continuousContract.Symbol}) price: " +
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$"{continuousContractPrice} :: {continuousContractLastData.Symbol.Underlying} :: " +
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$"{continuousContractLastData.Time} - {continuousContractLastData.EndTime} :: {continuousContractLastData}. \n" +
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$" Mapped contract ({mappedFuture.Symbol}) price: {mappedFuturePrice} :: {mappedFuture.GetLastData()}. \n" +
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$" Other contract ({otherFuture?.Symbol}) price: {otherFuturePrice} :: {otherFuture?.GetLastData()}\n");
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}
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}
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else if (mappedFuturePrice != 0 || !RolloverHappened)
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{
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var mappedFutureData = mappedFuture.GetLastData();
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// We only do this check is default securities seeding is desabled, else the mapped contract will have historical data
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if ((!Settings.SeedInitialPrices || !ReferenceEquals(MappedContractSeededData, mappedFutureData)) &&
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continuousContractPrice != mappedFuturePrice)
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{
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var continuousContractLastData = _continuousContract.GetLastData();
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throw new RegressionTestException($"[{Time}] -- Prices do not match. " +
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$"Expected continuous future price to be the same as the mapped contract:\n" +
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$" Continuous contract ({_continuousContract.Symbol}) price: {continuousContractPrice} :: " +
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$"{continuousContractLastData.Symbol.Underlying} :: {continuousContractLastData}. \n" +
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$" Mapped contract ({mappedFuture.Symbol}) price: {mappedFuturePrice} :: {mappedFuture.GetLastData()}. \n" +
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$" Other contract ({otherFuture?.Symbol}) price: {otherFuturePrice} :: {otherFuture?.GetLastData()}\n");
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}
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}
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// No data for the mapped future yet after rollover
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else
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{
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if (otherFuture == null)
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{
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throw new RegressionTestException($"[{Time}] --" +
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$" Mapped future price is 0 (no data has arrived) so the previous mapped contract is expected to be there");
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}
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var continuousContractLastData = _continuousContract.GetLastData();
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if (continuousContractLastData.EndTime > _rolloverTime)
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{
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throw new RegressionTestException($"[{Time}] -- Expected continuous future contract last data to be from the previously " +
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$"mapped contract until the new mapped contract gets data:\n" +
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$" Rollover time: {_rolloverTime}\n" +
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$" Continuous contract ({_continuousContract.Symbol}) last data: " +
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$"{continuousContractLastData.Symbol.Underlying} :: " +
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$"{continuousContractLastData.Time} - {continuousContractLastData.EndTime} :: {continuousContractLastData}.");
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}
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}
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}
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catch (Exception ex)
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{
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ResetMarketHoursDatabase();
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throw;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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ResetMarketHoursDatabase();
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if (!RolloverHappened)
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{
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throw new RegressionTestException($"[{Time}] -- Rollover did not happen.");
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}
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}
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private void ResetMarketHoursDatabase()
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{
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MarketHoursDatabase.SetEntry(Market.CME, Ticker, SecurityType.Future, _originalMhdbEntry.ExchangeHours, _originalMhdbEntry.DataTimeZone);
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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 => 0;
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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 virtual int AlgorithmHistoryDataPoints => 0;
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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", "0"},
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{"Tracking Error", "0"},
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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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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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}
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}
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