quantconnect--lean/Algorithm.CSharp/OnEndOfDayInternalSecurityRegressionAlgorithm.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.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using System.Collections.Generic;
using QuantConnect.Securities.Future;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression algorithm that reproduces an issue where on end of day events would be removed when an internal security is removed
    /// </summary>
    public class OnEndOfDayInternalSecurityRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private Dictionary<DateTime, HashSet<Symbol>> _onEndOfDaySymbols = new();
        private Future _futureGold;

        /// <summary>
        /// Initialize your algorithm and add desired assets.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 15);
            SetEndDate(2013, 10, 20);

            _futureGold = AddFuture(Futures.Metals.Gold, Resolution.Daily);
            _futureGold.SetFilter(0, 182);
        }

        /// <summary>
        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
        /// </summary>
        /// <param name="slice">The current slice of data keyed by symbol string</param>
        public override void OnData(Slice slice)
        {
            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
            {
                Debug($"{Time} {changedEvent}");
            }
        }

        public override void OnEndOfDay(Symbol symbol)
        {
            if (Time.Day == 15)
            {
                return;
            }
            Debug($"{Time} {symbol}");
            if (!_onEndOfDaySymbols.TryGetValue(Time, out var symbols))
            {
                _onEndOfDaySymbols[Time] = symbols = new();
            }
            symbols.Add(symbol);
        }

        public override void OnEndOfAlgorithm()
        {
            if (_onEndOfDaySymbols.Count != 2)
            {
                throw new RegressionTestException($"Unexpected {_onEndOfDaySymbols.Count} on end of day symbols call");
            }

            if (_onEndOfDaySymbols.Any(x => x.Value.Count != 5))
            {
                throw new RegressionTestException($"Expected 5 symbols on end of day, but found " +
                    $"{string.Join(", ", _onEndOfDaySymbols.Select(x => $"{x.Key:yyyyMMdd}: {x.Value.Count}"))}");
            }
        }

        /// <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 virtual bool CanRunLocally { get; } = true;

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

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public virtual long DataPoints => 88;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public virtual 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 virtual 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", "-133.472"},
            {"Tracking Error", "0.065"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
            {"Portfolio Turnover", "0%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
}