wehub-resource-sync
256 lines
13 KiB
C#
256 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 System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Util;
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using QuantConnect.Interfaces;
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// ReSharper disable InvokeAsExtensionMethod -- .net 4.7.2 added ToHashSet and it looks like our version of mono has it as well causing ambiguity in the cloud
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namespace QuantConnect.Algorithm.CSharp
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{
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public class AddRemoveOptionUniverseRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private const string UnderlyingTicker = "GOOG";
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private readonly Symbol Underlying = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Equity, Market.USA);
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private readonly Symbol OptionChainSymbol = QuantConnect.Symbol.Create(UnderlyingTicker, SecurityType.Option, Market.USA);
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private readonly HashSet<Symbol> _expectedSecurities = new HashSet<Symbol>();
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private readonly HashSet<Symbol> _expectedData = new HashSet<Symbol>();
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private readonly HashSet<Symbol> _expectedUniverses = new HashSet<Symbol>();
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private bool _expectUniverseSubscription;
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private DateTime _universeSubscriptionTime;
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// order of expected contract additions as price moves
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private int _expectedContractIndex;
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private readonly List<Symbol> _expectedContracts = new List<Symbol>
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{
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SymbolRepresentation.ParseOptionTickerOSI("GOOG 151224P00750000"),
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SymbolRepresentation.ParseOptionTickerOSI("GOOG 151224P00752500"),
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SymbolRepresentation.ParseOptionTickerOSI("GOOG 151224P00755000")
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};
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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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var goog = AddEquity(UnderlyingTicker);
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// expect GOOG equity
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_expectedData.Add(goog.Symbol);
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_expectedSecurities.Add(goog.Symbol);
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// expect user defined universe holding GOOG equity
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_expectedUniverses.Add(UserDefinedUniverse.CreateSymbol(SecurityType.Equity, Market.USA));
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}
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public override void OnData(Slice slice)
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{
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// verify expectations
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if (SubscriptionManager.Subscriptions.Count(x => x.Symbol == OptionChainSymbol)
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!= (_expectUniverseSubscription ? 1 : 0))
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{
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Log($"SubscriptionManager.Subscriptions: {string.Join(" -- ", SubscriptionManager.Subscriptions)}");
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throw new RegressionTestException($"Unexpected {OptionChainSymbol} subscription presence");
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}
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if (Time != _universeSubscriptionTime && !slice.ContainsKey(Underlying))
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{
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// TODO : In fact, we're unable to properly detect whether or not we auto-added or it was manually added
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// this is because when we auto-add the underlying we don't mark it as an internal security like we do with other auto adds
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// so there's currently no good way to remove the underlying equity without invoking RemoveSecurity(underlying) manually
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// from the algorithm, otherwise we may remove it incorrectly. Now, we could track MORE state, but it would likely be a duplication
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// of the internal flag's purpose, so kicking this issue for now with a big fat note here about it :) to be considerd for any future
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// refactorings of how we manage subscription/security data and track various aspects about the security (thinking a flags enum with
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// things like manually added, auto added, internal, and any other boolean state we need to track against a single security)
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throw new RegressionTestException("The underlying equity data should NEVER be removed in this algorithm because it was manually added");
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}
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if (_expectedSecurities.AreDifferent(Securities.Total.Select(x => x.Symbol).ToHashSet()))
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{
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var expected = string.Join(Environment.NewLine, _expectedSecurities.OrderBy(s => s.ToString()));
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var actual = string.Join(Environment.NewLine, Securities.Keys.OrderBy(s => s.ToString()));
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throw new RegressionTestException($"{Time}:: Detected differences in expected and actual securities{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
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}
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if (_expectedUniverses.AreDifferent(UniverseManager.Keys.ToHashSet()))
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{
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var expected = string.Join(Environment.NewLine, _expectedUniverses.OrderBy(s => s.ToString()));
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var actual = string.Join(Environment.NewLine, UniverseManager.Keys.OrderBy(s => s.ToString()));
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throw new RegressionTestException($"{Time}:: Detected differences in expected and actual universes{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
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}
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if (Time != _universeSubscriptionTime && _expectedData.AreDifferent(slice.Keys.ToHashSet()))
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{
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var expected = string.Join(Environment.NewLine, _expectedData.OrderBy(s => s.ToString()));
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var actual = string.Join(Environment.NewLine, slice.Keys.OrderBy(s => s.ToString()));
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throw new RegressionTestException($"{Time}:: Detected differences in expected and actual slice data keys{Environment.NewLine}Expected:{Environment.NewLine}{expected}{Environment.NewLine}Actual:{Environment.NewLine}{actual}");
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}
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// 10AM add GOOG option chain
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if (Time.TimeOfDay.Hours == 10 && Time.TimeOfDay.Minutes == 0 && !_expectUniverseSubscription)
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{
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if (Securities.ContainsKey(OptionChainSymbol))
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{
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throw new RegressionTestException("The option chain security should not have been added yet");
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}
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var googOptionChain = AddOption(UnderlyingTicker);
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googOptionChain.SetFilter(u =>
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{
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// we added the universe at 10, the universe selection data should not be from before
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if (u.LocalTime.Hour < 10)
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{
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throw new RegressionTestException($"Unexpected selection time {u.LocalTime}");
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}
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// find first put above market price
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return u.IncludeWeeklys()
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.Strikes(+1, +3)
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.Expiration(TimeSpan.Zero, TimeSpan.FromDays(1))
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.Contracts(c => c.Where(s => s.ID.OptionRight == OptionRight.Put));
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});
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_expectedSecurities.Add(OptionChainSymbol);
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_expectedUniverses.Add(OptionChainSymbol);
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_expectUniverseSubscription = true;
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_universeSubscriptionTime = Time;
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}
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// 11:30AM remove GOOG option chain
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if (Time.TimeOfDay.Hours == 11 && Time.TimeOfDay.Minutes == 30)
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{
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RemoveSecurity(OptionChainSymbol);
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// remove contracts from expected data
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_expectedData.RemoveWhere(s => _expectedContracts.Contains(s));
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// remove option chain universe from expected universes
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_expectedUniverses.Remove(OptionChainSymbol);
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// OptionChainSymbol universe subscription should not be present
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_expectUniverseSubscription = false;
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}
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (changes.AddedSecurities.Any())
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{
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foreach (var added in changes.AddedSecurities)
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{
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// any option security additions for this algorithm should match the expected contracts
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if (added.Symbol.SecurityType == SecurityType.Option)
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{
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var expectedContract = _expectedContracts[_expectedContractIndex];
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if (added.Symbol != expectedContract)
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{
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throw new RegressionTestException($"Expected option contract {expectedContract.Value} to be added but received {added.Symbol}");
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}
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_expectedContractIndex++;
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// purchase for regression statistics
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MarketOrder(added.Symbol, 1);
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}
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_expectedData.Add(added.Symbol);
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_expectedSecurities.Add(added.Symbol);
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}
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}
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// security removal happens exactly once in this algorithm when the option chain is removed
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// and all child subscriptions (option contracts) should be removed at the same time
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if (changes.RemovedSecurities.Any(x => x.Symbol.SecurityType == SecurityType.Option))
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{
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// receive removed event next timestep at 11:31AM
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if (Time.TimeOfDay.Hours != 11 || Time.TimeOfDay.Minutes != 31)
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{
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throw new RegressionTestException($"Expected option contracts to be removed at 11:31AM, instead removed at: {Time}");
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}
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if (changes.RemovedSecurities
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.Where(x => x.Symbol.SecurityType == SecurityType.Option)
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.ToHashSet(s => s.Symbol)
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.AreDifferent(_expectedContracts.ToHashSet()))
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{
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throw new RegressionTestException("Expected removed securities to equal expected contracts added");
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}
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}
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if (Securities.ContainsKey(Underlying))
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{
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Log($"{Time:o}:: PRICE:: {Securities[Underlying].Price} CHANGES:: {changes}");
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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 => 3502;
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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", "6"},
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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", "98784"},
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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", "$6.00"},
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{"Estimated Strategy Capacity", "$4000.00"},
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{"Lowest Capacity Asset", "GOOCV 305RBQ2BZGA4M|GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "2.58%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "f418de0673fc166487daf80991dfe3a0"}
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};
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}
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}
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