wehub-resource-sync
231 lines
9.0 KiB
C#
231 lines
9.0 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 QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Securities.Future;
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using System;
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using QuantConnect.Data.UniverseSelection;
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using System.Linq;
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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 continuous future universe selection happens right away for all futures.
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/// An example case is ES and HSI futures, which have different time zones. ES is in New York and HSI is in Hong Kong.
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/// ES selection would happen first just because of this, but all futures should have a mapped contract right away.
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/// </summary>
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public class ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Future _es;
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private Future _hsi;
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private bool _dataReceived;
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private DateTime _startDateUtc;
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private DateTime _esSelectionTimeUtc;
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private DateTime _hsiSelectionTimeUtc;
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private bool _securitiesChangedEventReceived;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 7);
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SetEndDate(2013, 10, 11);
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_startDateUtc = StartDate.ConvertToUtc(TimeZone);
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// ES time zone is New York
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_es = AddFuture(Futures.Indices.SP500EMini,
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dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
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dataMappingMode: DataMappingMode.OpenInterestAnnual,
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contractDepthOffset: 0,
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extendedMarketHours: true);
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_hsi = AddFuture(Futures.Indices.HangSeng,
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dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
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dataMappingMode: DataMappingMode.FirstDayMonth,
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contractDepthOffset: 0,
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extendedMarketHours: true);
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_es.SetFilter(universe =>
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{
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if (_esSelectionTimeUtc == DateTime.MinValue)
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{
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_esSelectionTimeUtc = universe.LocalTime.ConvertToUtc(_es.Exchange.TimeZone);
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if (_esSelectionTimeUtc != _startDateUtc)
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{
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throw new RegressionTestException($"Expected ES universe selection to happen on algorithm start ({_startDateUtc}), " +
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$"but happened on {_esSelectionTimeUtc}");
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}
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}
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return universe;
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});
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_hsi.SetFilter(universe =>
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{
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if (_hsiSelectionTimeUtc == DateTime.MinValue)
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{
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_hsiSelectionTimeUtc = universe.LocalTime.ConvertToUtc(_hsi.Exchange.TimeZone);
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if (_hsiSelectionTimeUtc != _startDateUtc)
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{
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throw new RegressionTestException($"Expected HSI universe selection to happen on algorithm start ({_startDateUtc}), " +
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$"but happened on {_hsiSelectionTimeUtc}");
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}
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}
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return universe;
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});
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}
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public override void OnData(Slice slice)
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{
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_dataReceived = true;
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if (_es.Mapped == null)
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{
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throw new RegressionTestException("ES mapped contract is null");
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}
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// This is what we actually want to assert: even though Hong Kong future time zone is different,
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// we should have a mapped contract right away.
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if (_hsi.Mapped == null)
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{
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throw new RegressionTestException("HSI mapped contract is null");
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}
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Log($"{slice.Time} :: ES Mapped Contract: {_es.Mapped}. HSI Mapped Contract: {_hsi.Mapped}");
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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if (!_securitiesChangedEventReceived)
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{
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_securitiesChangedEventReceived = true;
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if (Time != StartDate)
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{
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throw new RegressionTestException($"Expected OnSecuritiesChanged to be called on algorithm start ({StartDate}), " +
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$"but happened on {Time}");
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}
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if (_esSelectionTimeUtc == DateTime.MinValue)
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{
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throw new RegressionTestException("ES universe selection time was not set");
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}
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if (_hsiSelectionTimeUtc == DateTime.MinValue)
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{
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throw new RegressionTestException("HSI universe selection time was not set");
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}
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if (changes.AddedSecurities.Count == 0 || changes.RemovedSecurities.Count != 0)
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{
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throw new RegressionTestException($"Unexpected securities changes. Expected multiple securities added and none removed " +
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$"but got {changes.AddedSecurities.Count} securities added and {changes.RemovedSecurities.Count} removed.");
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}
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if (!changes.AddedSecurities.Any(x => !x.Symbol.IsCanonical() && x.Symbol.Canonical == _es.Symbol))
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{
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throw new RegressionTestException($"Expected to find a multiple futures for ES");
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}
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if (!changes.AddedSecurities.Any(x => !x.Symbol.IsCanonical() && x.Symbol.Canonical == _hsi.Symbol))
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{
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throw new RegressionTestException($"Expected to find a multiple futures for HSI");
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}
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}
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}
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public override void OnEndOfAlgorithm()
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{
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// Just a protection in case data is changed to make sure assertions in OnData were done.
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if (!_dataReceived)
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{
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throw new RegressionTestException("No data was received so no checks were done");
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}
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if (!_securitiesChangedEventReceived)
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{
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throw new RegressionTestException("OnSecuritiesChanged was not called");
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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 => 129796;
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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", "-8.91"},
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{"Tracking Error", "0.223"},
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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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