wehub-resource-sync
82 lines
3.2 KiB
C#
82 lines
3.2 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.Linq;
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using QuantConnect.Orders;
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using QuantConnect.Data.Market;
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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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/// Regression algorithm asserting the behavior of specifying a null position group allowing us to fill a combo order which would be invalid if not
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/// </summary>
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public class NullMarginComboOrderRegressionAlgorithm : NullMarginMultipleOrdersRegressionAlgorithm
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{
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protected override void PlaceTrades(OptionContract optionContract)
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{
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var orderLegs = new List<Leg>()
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{
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Leg.Create(optionContract.Symbol, -1),
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Leg.Create(optionContract.Symbol.Underlying, 100),
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};
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var tickets = ComboMarketOrder(orderLegs, 10).ToList();
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AssertState(tickets[0], 2, 1010);
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AssertState(tickets[1], 2, 1010);
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}
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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 };
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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", "10000"},
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{"End Equity", "10658.5"},
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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", "$11.50"},
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{"Estimated Strategy Capacity", "$13000000.00"},
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{"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "7580.62%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "06de8022dfcb44c5eb0a2199bd7a7232"}
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};
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}
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}
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