wehub-resource-sync
133 lines
4.8 KiB
C#
133 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.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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm reproducing GH issue #5971 where we add and remove an option in the same loop
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/// </summary>
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public class AddAndRemoveSecuritySameLoopRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _contract;
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private bool _hasRemoved;
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public override void Initialize()
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{
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SetStartDate(2014, 06, 06);
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SetEndDate(2014, 06, 09);
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UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
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UniverseSettings.MinimumTimeInUniverse = TimeSpan.Zero;
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var aapl = AddEquity("AAPL").Symbol;
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_contract = OptionChain(aapl)
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.OrderBy(x => x.ID.Symbol)
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.FirstOrDefault(optionContract => optionContract.ID.OptionRight == OptionRight.Call
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&& optionContract.ID.OptionStyle == OptionStyle.American);
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}
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public override void OnData(Slice slice)
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{
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if (_hasRemoved)
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{
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throw new RegressionTestException("Expect a single call to OnData where we removed the option and underlying");
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}
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_hasRemoved = true;
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AddOptionContract(_contract);
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// changed my mind!
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RemoveOptionContract(_contract);
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RemoveSecurity(_contract.Underlying);
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RemoveSecurity(AddEquity("SPY", Resolution.Daily).Symbol);
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_hasRemoved)
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{
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throw new RegressionTestException("We did not remove the option contract!");
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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 => 25;
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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 => 1;
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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", "-9.486"},
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{"Tracking Error", "0.008"},
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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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