wehub-resource-sync
217 lines
10 KiB
C#
217 lines
10 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 QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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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 a market order placed through an intraday scheduled event on an asset
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/// subscribed only at daily resolution is automatically converted, so it fills at a real daily open/close instead
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/// of the stale previous close (no fresh intraday price is available for a daily resolution subscription):
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/// - While the market is open (before the MarketOnClose submission buffer): converted to MarketOnClose,
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/// filling at today's close.
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/// - Within the MarketOnClose submission buffer near the close: converted to MarketOnOpen, filling at the
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/// next open.
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/// At the same time, a market order on a minute resolution asset placed at the same intraday time is NOT converted:
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/// it stays a regular market order and fills immediately, since fresh intraday data is available.
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/// </summary>
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public class DailyResolutionMarketOrderConversionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _daily;
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private Symbol _minute;
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private OrderTicket _marketOnCloseTicket;
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private OrderTicket _marketOnOpenTicket;
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private OrderTicket _minuteTicket;
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private static readonly DateTime _tradingDay = new(2013, 10, 8);
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 09);
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SetCash(100000);
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// Daily resolution: market orders have no fresh intraday price, so they get converted.
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_daily = AddEquity("SPY", Resolution.Daily).Symbol;
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// Minute resolution: fresh intraday data is available, so market orders are left untouched.
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_minute = AddEquity("IBM", Resolution.Minute).Symbol;
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// Right after the open (09:31): even one minute into the session only the previous daily close is
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// available for the daily asset, so its order must still be converted to MarketOnClose. The minute order,
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// which has fresh intraday data, must NOT be converted.
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Schedule.On(DateRules.On(_tradingDay.Year, _tradingDay.Month, _tradingDay.Day), TimeRules.At(9, 31), () =>
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{
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if (!Securities[_daily].HasData || !Securities[_minute].HasData)
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{
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throw new RegressionTestException($"Expected both securities to have data on {Time}");
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}
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// Minute asset: not converted, fills immediately on fresh intraday data
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_minuteTicket = MarketOrder(_minute, 10);
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if (_minuteTicket.OrderType != OrderType.Market)
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{
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throw new RegressionTestException(
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$"Expected the minute resolution order to remain a Market order but was {_minuteTicket.OrderType}. Time: {Time}");
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}
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if (_minuteTicket.Status != OrderStatus.Filled)
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{
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throw new RegressionTestException($"Expected the minute resolution order to fill immediately on {Time}");
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}
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// Daily asset: converted to MarketOnClose
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_marketOnCloseTicket = MarketOrder(_daily, 10);
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if (_marketOnCloseTicket.OrderType != OrderType.MarketOnClose)
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{
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throw new RegressionTestException(
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$"Expected the daily market order to be converted to MarketOnClose but was {_marketOnCloseTicket.OrderType}. Time: {Time}");
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}
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if (_marketOnCloseTicket.Status.IsFill())
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{
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throw new RegressionTestException($"The MarketOnClose order was not expected to fill at submission time {Time}");
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}
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});
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// Within the MarketOnClose submission buffer near the close: the daily order falls back to MarketOnOpen.
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Schedule.On(DateRules.On(_tradingDay.Year, _tradingDay.Month, _tradingDay.Day), TimeRules.At(15, 55), () =>
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{
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_marketOnOpenTicket = MarketOrder(_daily, 10);
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if (_marketOnOpenTicket.OrderType != OrderType.MarketOnOpen)
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{
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throw new RegressionTestException(
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$"Expected the daily market order near the close to be converted to MarketOnOpen but was {_marketOnOpenTicket.OrderType}. Time: {Time}");
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}
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if (_marketOnOpenTicket.Status.IsFill())
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{
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throw new RegressionTestException($"The MarketOnOpen order was not expected to fill at submission time {Time}");
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}
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});
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status != OrderStatus.Filled)
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{
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return;
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}
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var fillLocalTime = orderEvent.UtcTime.ConvertFromUtc(Securities[orderEvent.Symbol].Exchange.TimeZone);
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if (_marketOnCloseTicket != null && orderEvent.OrderId == _marketOnCloseTicket.OrderId)
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{
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// MarketOnClose must fill at the close of the submission day, not on the stale previous close
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var expectedClose = Securities[_daily].Exchange.Hours.GetNextMarketClose(_tradingDay, false);
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if (fillLocalTime != expectedClose)
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{
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throw new RegressionTestException(
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$"Expected the MarketOnClose order to fill at {expectedClose} but filled at {fillLocalTime}");
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}
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}
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else if (_marketOnOpenTicket != null && orderEvent.OrderId == _marketOnOpenTicket.OrderId)
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{
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// MarketOnOpen must fill on a later session (the next open), not on the submission day
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if (fillLocalTime.Date <= _tradingDay.Date)
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{
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throw new RegressionTestException(
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$"Expected the MarketOnOpen order to fill on a later session than {_tradingDay:yyyy-MM-dd} but filled at {fillLocalTime}");
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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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if (_minuteTicket == null || _minuteTicket.Status != OrderStatus.Filled)
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{
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throw new RegressionTestException("The minute resolution market order was expected to be filled");
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}
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if (_marketOnCloseTicket == null || _marketOnCloseTicket.Status != OrderStatus.Filled)
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{
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throw new RegressionTestException("The converted MarketOnClose order was expected to be filled");
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}
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if (_marketOnOpenTicket == null || _marketOnOpenTicket.Status != OrderStatus.Filled)
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{
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throw new RegressionTestException("The converted MarketOnOpen order was expected to be filled");
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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 => 3150;
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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", "3"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-1.206%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "99991.14"},
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{"Net Profit", "-0.009%"},
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{"Sharpe Ratio", "-3.861"},
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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", "0.008"},
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{"Beta", "0.035"},
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{"Annual Standard Deviation", "0.005"},
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{"Annual Variance", "0"},
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{"Information Ratio", "5.642"},
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{"Tracking Error", "0.131"},
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{"Treynor Ratio", "-0.526"},
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{"Total Fees", "$3.00"},
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{"Estimated Strategy Capacity", "$42000000.00"},
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{"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
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{"Portfolio Turnover", "1.41%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "ebf45813288201552f706cd072fe9ad8"}
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};
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}
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}
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