wehub-resource-sync
131 lines
5.2 KiB
C#
131 lines
5.2 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 System;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting the behavior of a zero time in universe setting. Related to GH issue #6653
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/// </summary>
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public class OptionNoTimeInUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private const string UnderlyingTicker = "GOOG";
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private Symbol _optionSymbol;
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public override void Initialize()
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{
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SetStartDate(2015, 12, 24);
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SetEndDate(2015, 12, 24);
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UniverseSettings.MinimumTimeInUniverse = TimeSpan.Zero;
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var option = AddOption(UnderlyingTicker);
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_optionSymbol = option.Symbol;
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// set our strike/expiry filter for this option chain
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option.SetFilter(u => u.StandardsOnly().Strikes(-1, +1)
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// Expiration method accepts TimeSpan objects or integer for days.
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// The following statements yield the same filtering criteria
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.Expiration(0, 60));
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}
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/// <summary>
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/// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
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/// </summary>
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/// <param name="slice">The current slice of data keyed by symbol string</param>
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public override void OnData(Slice slice)
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{
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var optionContracts = slice.OptionChains.GetValue(_optionSymbol);
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var underlyingPrice = Securities[_optionSymbol.Underlying].Price;
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var strikes = optionContracts.Select(o => o.Strike)
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// when the strike matches the underlying price it's not taken into account in the +1 -1 range
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.Where(strike => strike != underlyingPrice)
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.ToHashSet();
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if (strikes.Count > 2)
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{
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throw new RegressionTestException($"At {Time} found {strikes.Count}. Underlying: {underlyingPrice}. Strikes: [{string.Join(",", strikes)}]");
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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 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 long DataPoints => 8151;
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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 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 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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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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