wehub-resource-sync
118 lines
4.5 KiB
C#
118 lines
4.5 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 QuantConnect.Data;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm tests using FutureOptions hourly resolution
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/// </summary>
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public class FutureOptionHourlyRegressionAlgorithm : FutureOptionDailyRegressionAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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// Hourly data fills within the day, so the original same-day buy/liquidate range is kept
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protected override DateTime StartDate => new DateTime(2020, 1, 7);
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protected override DateTime EndDate => new DateTime(2020, 1, 8);
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protected override void ScheduleBuySell()
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{
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// Schedule a purchase of this contract at Noon
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Schedule.On(DateRules.Today, TimeRules.Noon, () =>
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{
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Ticket = MarketOrder(ESOption, 1);
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});
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// Schedule liquidation at 2PM when the market is open
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Schedule.On(DateRules.Today, TimeRules.At(17,0,0), () =>
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{
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Liquidate();
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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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// Assert we are only getting data only hourly intervals
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if (slice.Time.Minute != 0)
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{
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throw new ArgumentException($"Expected data only on hourly intervals; instead was {slice.Time}");
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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 override 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 override 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 override long DataPoints => 55;
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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 override int AlgorithmHistoryDataPoints => 1;
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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 override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "2"},
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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", "99672.16"},
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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", "$2.84"},
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{"Estimated Strategy Capacity", "$3000.00"},
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{"Lowest Capacity Asset", "ES XCZJLCEYO5XG|ES XCZJLC9NOB29"},
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{"Portfolio Turnover", "4.90%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "10661c6d84f71ca7e07e2fdf5b79851b"}
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};
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}
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}
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