wehub-resource-sync
253 lines
11 KiB
C#
253 lines
11 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.Linq;
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using System.Reflection;
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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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using QuantConnect.Securities;
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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 In The Money (ITM) future option expiry for puts.
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/// We expect 3 orders from the algorithm, which are:
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///
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/// * Initial entry, buy ES Put Option (expiring ITM) (buy, qty 1)
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/// * Option exercise, receiving short ES future contracts (sell, qty -1)
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/// * Future contract liquidation, due to impending expiry (buy qty 1)
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///
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/// Additionally, we test delistings for future options and assert that our
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/// portfolio holdings reflect the orders the algorithm has submitted.
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/// </summary>
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public class FutureOptionPutITMExpiryRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _es19m20;
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private Symbol _esOption;
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private Symbol _expectedContract;
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public override void Initialize()
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{
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SetStartDate(2020, 1, 5);
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SetEndDate(2020, 6, 30);
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_es19m20 = AddFutureContract(
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QuantConnect.Symbol.CreateFuture(
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Futures.Indices.SP500EMini,
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Market.CME,
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new DateTime(2020, 6, 19)),
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Resolution.Minute).Symbol;
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// Select a future option expiring ITM, and adds it to the algorithm.
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_esOption = AddFutureOptionContract(OptionChain(_es19m20)
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.Where(x => x.ID.StrikePrice >= 3300m && x.ID.OptionRight == OptionRight.Put)
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.OrderBy(x => x.ID.StrikePrice)
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.Take(1)
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.Single(), Resolution.Minute).Symbol;
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_expectedContract = QuantConnect.Symbol.CreateOption(_es19m20, Market.CME, OptionStyle.American, OptionRight.Put, 3300m, new DateTime(2020, 6, 19));
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if (_esOption != _expectedContract)
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{
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throw new RegressionTestException($"Contract {_expectedContract} was not found in the chain");
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}
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Schedule.On(DateRules.Tomorrow, TimeRules.AfterMarketOpen(_es19m20, 1), () =>
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{
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MarketOrder(_esOption, 1);
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});
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}
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public override void OnData(Slice slice)
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{
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// Assert delistings, so that we can make sure that we receive the delisting warnings at
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// the expected time. These assertions detect bug #4872
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foreach (var delisting in slice.Delistings.Values)
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{
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if (delisting.Type == DelistingType.Warning)
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{
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if (delisting.Time != new DateTime(2020, 6, 19))
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{
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throw new RegressionTestException($"Delisting warning issued at unexpected date: {delisting.Time}");
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}
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}
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if (delisting.Type == DelistingType.Delisted)
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{
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if (delisting.Time != new DateTime(2020, 6, 20))
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{
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throw new RegressionTestException($"Delisting happened at unexpected date: {delisting.Time}");
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}
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}
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status != OrderStatus.Filled)
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{
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// There's lots of noise with OnOrderEvent, but we're only interested in fills.
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return;
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}
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if (!Securities.ContainsKey(orderEvent.Symbol))
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{
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throw new RegressionTestException($"Order event Symbol not found in Securities collection: {orderEvent.Symbol}");
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}
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var security = Securities[orderEvent.Symbol];
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if (security.Symbol == _es19m20)
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{
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AssertFutureOptionOrderExercise(orderEvent, security, Securities[_expectedContract]);
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}
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else if (security.Symbol == _expectedContract)
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{
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AssertFutureOptionContractOrder(orderEvent, security);
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}
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else
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{
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throw new RegressionTestException($"Received order event for unknown Symbol: {orderEvent.Symbol}");
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}
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Log($"{Time:yyyy-MM-dd HH:mm:ss} -- {orderEvent.Symbol} :: Price: {Securities[orderEvent.Symbol].Holdings.Price} Qty: {Securities[orderEvent.Symbol].Holdings.Quantity} Direction: {orderEvent.Direction} Msg: {orderEvent.Message}");
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}
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private void AssertFutureOptionOrderExercise(OrderEvent orderEvent, Security future, Security optionContract)
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{
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var expectedLiquidationTimeUtc = new DateTime(2020, 6, 20, 4, 0, 0);
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if (orderEvent.Direction == OrderDirection.Buy && future.Holdings.Quantity != 0)
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{
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// We expect the contract to have been liquidated immediately
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throw new RegressionTestException($"Did not liquidate existing holdings for Symbol {future.Symbol}");
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}
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if (orderEvent.Direction == OrderDirection.Buy && orderEvent.UtcTime != expectedLiquidationTimeUtc)
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{
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throw new RegressionTestException($"Liquidated future contract, but not at the expected time. Expected: {expectedLiquidationTimeUtc:yyyy-MM-dd HH:mm:ss} - found {orderEvent.UtcTime:yyyy-MM-dd HH:mm:ss}");
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}
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// No way to detect option exercise orders or any other kind of special orders
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// other than matching strings, for now.
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if (orderEvent.Message.Contains("Option Exercise"))
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{
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if (orderEvent.FillPrice != 3300m)
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{
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throw new RegressionTestException("Option did not exercise at expected strike price (3300)");
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}
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if (future.Holdings.Quantity != -1)
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{
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// Here, we expect to have some holdings in the underlying, but not in the future option anymore.
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throw new RegressionTestException($"Exercised option contract, but we have no holdings for Future {future.Symbol}");
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}
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if (optionContract.Holdings.Quantity != 0)
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{
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throw new RegressionTestException($"Exercised option contract, but we have holdings for Option contract {optionContract.Symbol}");
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}
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}
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}
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private void AssertFutureOptionContractOrder(OrderEvent orderEvent, Security option)
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{
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if (orderEvent.Direction == OrderDirection.Buy && option.Holdings.Quantity != 1)
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{
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throw new RegressionTestException($"No holdings were created for option contract {option.Symbol}");
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}
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if (orderEvent.Direction == OrderDirection.Sell && option.Holdings.Quantity != 0)
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{
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throw new RegressionTestException($"Holdings were found after a filled option exercise");
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}
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if (orderEvent.Message.Contains("Exercise") && option.Holdings.Quantity != 0)
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{
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throw new RegressionTestException($"Holdings were found after exercising option contract {option.Symbol}");
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}
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}
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/// <summary>
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/// Ran at the end of the algorithm to ensure the algorithm has no holdings
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/// </summary>
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/// <exception cref="RegressionTestException">The algorithm has holdings</exception>
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public override void OnEndOfAlgorithm()
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{
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if (Portfolio.Invested)
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{
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throw new RegressionTestException($"Expected no holdings at end of algorithm, but are invested in: {string.Join(", ", Portfolio.Keys)}");
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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, 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 => 212198;
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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 => 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 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", "3.13%"},
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{"Average Loss", "-8.06%"},
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{"Compounding Annual Return", "-10.371%"},
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{"Drawdown", "5.200%"},
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{"Expectancy", "-0.306"},
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{"Start Equity", "100000"},
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{"End Equity", "94811.08"},
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{"Net Profit", "-5.189%"},
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{"Sharpe Ratio", "-1.546"},
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{"Sortino Ratio", "-0.209"},
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{"Probabilistic Sharpe Ratio", "0.000%"},
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{"Loss Rate", "50%"},
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{"Win Rate", "50%"},
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{"Profit-Loss Ratio", "0.39"},
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{"Alpha", "-0.082"},
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{"Beta", "0.002"},
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{"Annual Standard Deviation", "0.053"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "-0.248"},
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{"Tracking Error", "0.377"},
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{"Treynor Ratio", "-36.3"},
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{"Total Fees", "$1.42"},
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{"Estimated Strategy Capacity", "$79000000.00"},
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{"Lowest Capacity Asset", "ES 31EL5FAOOUYYS|ES XFH59UK0MYO1"},
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{"Portfolio Turnover", "1.98%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "a4de58a3a31739f593c8a1ed099bad10"}
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};
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}
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}
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