wehub-resource-sync
118 lines
4.8 KiB
C#
118 lines
4.8 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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using System;
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using System.Collections.Generic;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that a market order submitted outside of market hours is not filled immediately
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/// on stale, already past data (regardless of resolution, including daily); it waits for fresh data instead.
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///
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/// This specific algorithm tests this for minute resolution and is intended to be used as a base class for the other resolutions.
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/// </summary>
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public class FillOutsideHoursMinuteResolutionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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protected virtual Resolution Resolution => Resolution.Minute;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 08);
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SetCash(100000);
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var spy = AddEquity("SPY", Resolution);
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Schedule.On(DateRules.Today, TimeRules.At(new TimeSpan(23, 0, 0)), () =>
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{
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if (!Portfolio.Invested && spy.HasData)
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{
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var ticket = SubmitOrderRequest(new SubmitOrderRequest(OrderType.Market, spy.Type, spy.Symbol, 1, 0, 0, Time, ""));
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// A market order submitted outside of regular market hours must not fill immediately on the
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// stale, already past bar (e.g. the daily bar from the prior close); it waits for fresh data.
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if (ticket.Status.IsFill())
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{
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throw new RegressionTestException($"Order was not expected to be filled outside regular market hours on {Time}. Resolution: {Resolution}");
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}
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}
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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 virtual 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 virtual 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 => 1582;
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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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/// 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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "1"},
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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", "99997.25"},
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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", "$1.00"},
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{"Estimated Strategy Capacity", "$12000000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.07%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "6a55ff7bccb41a538e1733ccbde482b3"}
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};
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}
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}
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