wehub-resource-sync
193 lines
8.2 KiB
C#
193 lines
8.2 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 mid-bar on an hour resolution asset is not filled at
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/// the stale, already past previous hour bar. Instead it waits for fresh data and fills at the next hour bar close.
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/// The order is submitted at minute 55 of the hour, so the previous hour bar (55 minutes old) is too stale to fill
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/// against given the 1 minute stale price window this algorithm opts into via
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/// <see cref="Interfaces.IAlgorithmSettings.StalePriceTimeSpan"/>.
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/// </summary>
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public class HourResolutionMarketOrderStalePriceRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _spy;
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private OrderTicket _ticket;
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private bool _scheduledEventFired;
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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, 08);
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SetCash(100000);
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// Opt into a tight 1 minute stale price window so a market order placed mid hour bar waits for the next
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// bar instead of filling on the stale previous bar (the engine default is one hour).
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Settings.StalePriceTimeSpan = TimeSpan.FromMinutes(1);
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_spy = AddEquity("SPY", Resolution.Hour).Symbol;
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// Submit the order at minute 55 of the hour. The market is open and the asset is hour resolution, so the
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// order stays a regular market order, but it must not fill on the previous (stale) hour bar.
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Schedule.On(DateRules.On(2013, 10, 8), TimeRules.At(10, 55), () =>
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{
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_scheduledEventFired = true;
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if (!Securities[_spy].HasData)
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{
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throw new RegressionTestException($"Expected SPY to have data on {Time}");
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}
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// Submit asynchronously so we do not block the scheduled event while waiting for the next bar to fill
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_ticket = MarketOrder(_spy, 10, asynchronous: true);
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if (_ticket.OrderType != OrderType.Market)
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{
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throw new RegressionTestException(
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$"Expected an hour resolution intraday market order to remain a Market order but was {_ticket.OrderType}. Time: {Time}");
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}
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// It must not fill on the stale previous hour bar at submission time
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if (_ticket.Status.IsFill())
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{
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throw new RegressionTestException($"Order was not expected to fill on the stale previous hour bar at {Time}");
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}
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});
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status != OrderStatus.Filled)
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{
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return;
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}
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// The order must fill on the next hour bar (10:00 -> 11:00), not on the stale previous bar (10:00)
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var fillLocalTime = orderEvent.UtcTime.ConvertFromUtc(Securities[_spy].Exchange.TimeZone);
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var expectedFill = new DateTime(2013, 10, 8, 11, 0, 0);
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if (fillLocalTime != expectedFill)
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{
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throw new RegressionTestException(
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$"Expected the order to fill at the next hour bar {expectedFill} but filled at {fillLocalTime}");
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}
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// The fill must use a real, freshly closed hour bar - not a fill-forwarded repeat of an older bar - and
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// that bar must be the next hour bar (ending 11:00).
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var hourBar = Securities[_spy].GetLastData();
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if (hourBar == null || hourBar.IsFillForward)
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{
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throw new RegressionTestException(
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$"Expected the order to fill on a real (non fill-forwarded) hour bar but got {(hourBar == null ? "no data" : "fill-forwarded data")} at {Time}");
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}
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if (hourBar.EndTime != expectedFill)
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{
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throw new RegressionTestException(
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$"Expected the fill bar to end at the next hour {expectedFill} but it ended at {hourBar.EndTime}");
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}
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// It must fill at that hour bar's close price, not the stale previous bar's price nor the bar open. The
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// order is placed mid-bar (after the bar opened), so the close - not the open - is used.
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var hourBarClose = Securities[_spy].Close;
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if (orderEvent.FillPrice != hourBarClose)
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{
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throw new RegressionTestException(
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$"Expected the order to fill at the next hour bar close price {hourBarClose} but filled at {orderEvent.FillPrice}");
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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 (!_scheduledEventFired)
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{
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throw new RegressionTestException("The intraday scheduled event was never fired");
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}
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if (_ticket == null || _ticket.Status != OrderStatus.Filled)
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{
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throw new RegressionTestException("The market order was expected to be filled on the next hour bar");
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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 => 36;
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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", "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", "99987.93"},
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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", "$1.00"},
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{"Estimated Strategy Capacity", "$7200000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.72%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "4fffd216f07ad38c4decde999f018767"}
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};
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}
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}
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