wehub-resource-sync
274 lines
12 KiB
C#
274 lines
12 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.Collections.Generic;
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using System.Globalization;
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using System.IO;
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using Newtonsoft.Json;
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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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression test to demonstrate setting custom Symbol Properties and Market Hours for a custom data import
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="custom data" />
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/// <meta name="tag" content="crypto" />
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/// <meta name="tag" content="regression test" />
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public class CustomDataPropertiesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private string _ticker = "BTC";
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private Security _bitcoin;
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/// <summary>
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/// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2018, 04, 05);
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SetEndDate(2018, 04, 10);
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//Set the cash for the strategy:
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SetCash(100000);
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// Define our custom data properties and exchange hours
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var properties = new SymbolProperties("Bitcoin", "USD", 1, 0.01m, 0.01m, _ticker);
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var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
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// Add the custom data to our algorithm with our custom properties and exchange hours
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_bitcoin = AddData<Bitcoin>(_ticker, properties, exchangeHours);
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//Verify our symbol properties were changed and loaded into this security
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if (_bitcoin.SymbolProperties != properties)
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{
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throw new RegressionTestException("Failed to set and retrieve custom SymbolProperties for BTC");
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}
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//Verify our exchange hours were changed and loaded into this security
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if (_bitcoin.Exchange.Hours != exchangeHours)
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{
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throw new RegressionTestException("Failed to set and retrieve custom ExchangeHours for BTC");
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}
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// For regression purposes on AddData overloads, this call is simply to ensure Lean can accept this
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// with default params and is not routed to a breaking function.
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AddData<Bitcoin>("BTCUSD");
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}
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/// <summary>
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/// Event Handler for Bitcoin Data Events: These Bitcoin objects are created from our
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/// "Bitcoin" type below and fired into this event handler.
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/// </summary>
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/// <param name="data">One(1) Bitcoin Object, streamed into our algorithm synchronized in time with our other data streams</param>
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public void OnData(Bitcoin data)
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{
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//If we don't have any bitcoin "SHARES" -- invest"
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if (!Portfolio.Invested)
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{
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//Bitcoin used as a tradable asset, like stocks, futures etc.
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if (data.Close != 0)
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{
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//Access custom data symbols using <ticker>.<custom-type>
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Order("BTC.Bitcoin", Portfolio.MarginRemaining / Math.Abs(data.Close + 1));
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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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// Reset our Symbol property value, for testing purposes.
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SymbolPropertiesDatabase.SetEntry(Market.USA, MarketHoursDatabase.GetDatabaseSymbolKey(_bitcoin.Symbol), SecurityType.Base,
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SymbolProperties.GetDefault("USD"));
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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, Language.Python };
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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 => 50;
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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", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-45.767%"},
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{"Drawdown", "4.000%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "98999.21"},
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{"Net Profit", "-1.001%"},
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{"Sharpe Ratio", "0.907"},
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{"Sortino Ratio", "3.722"},
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{"Probabilistic Sharpe Ratio", "48.665%"},
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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", "0.514"},
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{"Beta", "0.649"},
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{"Annual Standard Deviation", "0.5"},
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{"Annual Variance", "0.25"},
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{"Information Ratio", "1.127"},
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{"Tracking Error", "0.485"},
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{"Treynor Ratio", "0.699"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", "BTC.Bitcoin 2S"},
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{"Portfolio Turnover", "16.93%"},
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{"Drawdown Recovery", "2"},
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{"OrderListHash", "b9aecea6ebe672324d20a389ac004b1e"}
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};
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/// <summary>
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/// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
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/// </summary>
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public class Bitcoin : BaseData
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{
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[JsonProperty("timestamp")]
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public int Timestamp { get; set; }
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[JsonProperty("open")]
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public decimal Open { get; set; }
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[JsonProperty("high")]
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public decimal High { get; set; }
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[JsonProperty("low")]
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public decimal Low { get; set; }
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public decimal Mid { get; set; }
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[JsonProperty("last")]
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public decimal Close { get; set; }
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[JsonProperty("bid")]
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public decimal Bid { get; set; }
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[JsonProperty("ask")]
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public decimal Ask { get; set; }
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[JsonProperty("vwap")]
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public decimal WeightedPrice { get; set; }
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[JsonProperty("volume")]
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public decimal VolumeBTC { get; set; }
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public decimal VolumeUSD { get; set; }
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/// <summary>
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/// The end time of this data. Some data covers spans (trade bars)
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/// and as such we want to know the entire time span covered
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/// </summary>
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/// <remarks>
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/// This property is overriden to allow different values for Time and EndTime
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/// if they are set in the Reader. In the base implementation EndTime equals Time
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/// </remarks>
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public override DateTime EndTime { get; set; }
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/// <summary>
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/// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
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/// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
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/// </summary>
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public Bitcoin()
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{
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}
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/// <summary>
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/// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
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/// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
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/// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
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/// </summary>
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/// <param name="config">Configuration object</param>
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/// <param name="date">Date of this source file</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>String URL of source file.</returns>
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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if (isLiveMode)
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{
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return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
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}
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// Read from a local data file so the test is deterministic instead of depending on a remote source
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var source = Path.Combine(Globals.DataFolder, "crypto", "coinbase", "daily", "btcusd_trade.zip");
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return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
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}
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/// <summary>
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/// 3. READER METHOD: Read 1 line from data source and convert it into Object.
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/// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
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/// feeds it into your algorithm
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/// </summary>
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/// <param name="line">string line from the data source file submitted above</param>
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/// <param name="config">Subscription data, symbol name, data type</param>
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/// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
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/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
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/// <returns>New Bitcoin Object which extends BaseData.</returns>
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var coin = new Bitcoin() { Symbol = config.Symbol };
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if (isLiveMode)
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{
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//Example Line Format:
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//{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
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try
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{
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coin = JsonConvert.DeserializeObject<Bitcoin>(line);
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coin.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone);
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coin.Value = coin.Close;
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}
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catch { /* Do nothing, possible error in json decoding */ }
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return coin;
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}
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// Example Line Format:
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// date open high low close volume
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// 20180405 00:00 6791.68 6933.11 6568.64 6785.85 13832.668772
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try
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{
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var data = line.Split(',');
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coin.Time = DateTime.ParseExact(data[0], "yyyyMMdd HH:mm", CultureInfo.InvariantCulture);
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coin.EndTime = coin.Time.AddDays(1);
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coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
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coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
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coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
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coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
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coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
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coin.Value = coin.Close;
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}
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catch { /* Do nothing, skip malformed rows */ }
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return coin;
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}
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}
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}
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}
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