quantconnect--lean/Algorithm.CSharp/FillForwardResolutionAdjustedOnRemovalRegressionAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Interfaces;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression algorithm reproduces GH issue #8023, where fill forward resolution will no get updated in some cases on security removals
    /// </summary>
    public class FillForwardResolutionAdjustedOnRemovalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private readonly Queue<DateTime> _expectedDataTimes = new(new DateTime[]
        {
            new DateTime(2013, 10, 7, 9, 31, 0),
            new DateTime(2013, 10, 7, 16, 0, 0),
            new DateTime(2013, 10, 8, 16, 0, 0),
            new DateTime(2013, 10, 8, 16, 0, 0), // minute data & we remove it
            new DateTime(2013, 10, 9, 16, 0, 0),
            new DateTime(2013, 10, 10, 16, 0, 0)
        });

        public override void Initialize()
        {
            SetStartDate(2013, 10, 07);
            SetEndDate(2013, 10, 10);

            AddFuture("ES", Resolution.Minute);
            AddEquity("SPY", Resolution.Daily);
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice slice)
        {
            var expected = _expectedDataTimes.Dequeue();
            if (expected != Time)
            {
                throw new RegressionTestException($"Unexpected data time {expected} != {Time}");
            }

            if (ActiveSecurities.ContainsKey("/ES"))
            {
                if (slice.ContainsKey("/ES"))
                {
                    RemoveSecurity("/ES");
                }
            }
            else if (Time == new DateTime(2013, 10, 8, 16, 0, 0))
            {
                // let's re add it
                AddFuture("ES", Resolution.Minute);
            }
        }

        public override void OnEndOfAlgorithm()
        {
            if (_expectedDataTimes.Count != 0)
            {
                throw new RegressionTestException($"OnEndOfAlgorithm(): Unexpected data times!");
            }
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public List<Language> Languages { get; } = new() { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 852;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "0"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000"},
            {"End Equity", "100000"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "-5.677"},
            {"Tracking Error", "0.271"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
            {"Portfolio Turnover", "0%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
}