wehub-resource-sync
131 lines
5.1 KiB
C#
131 lines
5.1 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.Collections.Generic;
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using System.Linq;
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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 algorithm showcasing adding two futures with the same ticker for different market, related to PR 4328
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/// </summary>
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public class FutureSharingTickerRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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/// <summary>
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/// Initialise 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(2013, 10, 08);
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SetEndDate(2013, 10, 10);
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var gold = AddFuture(Futures.Metals.Gold, market: Market.COMEX);
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gold.SetFilter(0, 182);
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// this future does not exist just added as an example
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var gold2 = AddFuture(Futures.Metals.Gold, market: Market.NYMEX);
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gold2.SetFilter(0, 182);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="slice">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested)
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{
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foreach (var chain in slice.FutureChains)
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{
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// find the front contract expiring no earlier than in 90 days
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var contract = (
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from futuresContract in chain.Value.OrderBy(x => x.Expiry)
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where futuresContract.Expiry > Time.Date.AddDays(90)
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select futuresContract
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).FirstOrDefault();
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if (contract != null)
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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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 => 23079;
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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", "-99.356%"},
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{"Drawdown", "4.500%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "96325.06"},
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{"Net Profit", "-3.675%"},
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{"Sharpe Ratio", "-15.545"},
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{"Sortino Ratio", "-15.545"},
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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", "3.263"},
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{"Beta", "-0.263"},
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{"Annual Standard Deviation", "0.064"},
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{"Annual Variance", "0.004"},
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{"Information Ratio", "-56.095"},
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{"Tracking Error", "0.306"},
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{"Treynor Ratio", "3.773"},
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{"Total Fees", "$2.47"},
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{"Estimated Strategy Capacity", "$19000000.00"},
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{"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
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{"Portfolio Turnover", "44.37%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "2c82779586fa2691d412e4bd4c4ff2b1"}
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};
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}
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}
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