wehub-resource-sync
210 lines
8.8 KiB
C#
210 lines
8.8 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 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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/// This regression algorithm tests that orders are unchangeable from the QCAlgorithm Layer
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/// Orders should only be modifiable via their ticket and only in permitted ways
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/// </summary>
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/// <meta name="tag" content="backtesting brokerage" />
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/// <meta name="tag" content="regression test" />
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/// <meta name="tag" content="options" />
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public class OrderImmutabilityRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private readonly Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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private OrderTicket _ticket;
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private Order _originalOrder;
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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, 07); //Set Start Date
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SetEndDate(2013, 10, 09); //Set End Date
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SetCash(100000); //Set Strategy Cash
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AddEquity("SPY", Resolution.Daily);
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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="data">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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_ticket = LimitOrder(_spy, 10, 100);
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Debug("Purchased Stock");
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// Here we will show how to correctly change an order, we will then verify at End of Algorithm!
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// First get the order as it is now, should be a copy, so it wont be updated!
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_originalOrder = Transactions.GetOrderById(_ticket.OrderId);
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// Create an UpdateOrderRequest and send it to the ticket
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var updateFields = new UpdateOrderFields { Quantity = 20, Tag = "Pepe", LimitPrice = slice[_spy].Low};
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var response = _ticket.Update(updateFields);
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// Test order time
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if (_originalOrder.Time != UtcTime)
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{
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Error("Order Time should be UtcTime!");
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throw new RegressionTestException("Order Time should be UtcTime!");
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}
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}
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}
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/// <summary>
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/// All order events get pushed through this function
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/// This function will test that what we get from Transactions is indeed a clone
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/// The only authentic way to change the order is to change through the order ticket!
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/// </summary>
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/// <param name="orderEvent">OrderEvent object that contains all the information about the event</param>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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// Get the order twice, since they are clones they should NOT be the same
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var orderV1 = Transactions.GetOrderById(orderEvent.OrderId);
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var orderV2 = Transactions.GetOrderById(orderEvent.OrderId);
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if (orderV1 == orderV2)
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{
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Error("Orders should be clones, hence not equal!");
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throw new RegressionTestException("Orders should be clones, hence not equal!");
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}
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// Try and manipulate orderV2 using the only external accessor BrokerID, since we
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// are changing a clone the BrokerIDs should not be the same
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orderV2.BrokerId.Add("FAKE BROKER ID");
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var orderV3 = Transactions.GetOrderById(orderEvent.OrderId);
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if (orderV2.BrokerId.SequenceEqual(orderV3.BrokerId))
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{
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Error("Broker IDs should not be the same!");
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throw new RegressionTestException("Broker IDs should not be the same!");
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}
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//Try and manipulate the orderV1 using UpdateOrderRequest
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//NOTICE: Orders should only be updated through their tickets!
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var updateFields = new UpdateOrderFields { Quantity = 99, Tag = "Pepe2!" };
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var updateRequest = new UpdateOrderRequest(DateTime.Now, orderEvent.OrderId, updateFields);
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orderV1.ApplyUpdateOrderRequest(updateRequest);
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var orderV4 = Transactions.GetOrderById(orderEvent.OrderId);
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if (orderV4.Quantity == orderV1.Quantity)
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{
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Error("Order quantity should not be the same!");
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throw new RegressionTestException("Order quantity should not be the same!");
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}
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if (orderV4.Tag == orderV1.Tag)
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{
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Error("Order tag should not be the same!");
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throw new RegressionTestException("Order tag should not be the same!");
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}
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}
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/// <summary>
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/// Will run at End of Algorithm
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/// We will be using this to check our order was updated!
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/// </summary>
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public override void OnEndOfAlgorithm()
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{
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//Get an updated copy of the order and compare to our original
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var updatedOrder = Transactions.GetOrderById(_ticket.OrderId);
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if (updatedOrder.Quantity == _originalOrder.Quantity)
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{
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Error("Quantities should have been updated!");
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throw new RegressionTestException("Quantities should have been updated!");
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}
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if (updatedOrder.Tag == _originalOrder.Tag)
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{
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Error("Tag should have been updated!");
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throw new RegressionTestException("Tag should have been updated!");
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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 => 32;
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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", "-4.030%"},
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{"Drawdown", "0.000%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "99969.95"},
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{"Net Profit", "-0.030%"},
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{"Sharpe Ratio", "-11.996"},
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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", "-0.024"},
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{"Beta", "0.027"},
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{"Annual Standard Deviation", "0.004"},
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{"Annual Variance", "0"},
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{"Information Ratio", "5.399"},
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{"Tracking Error", "0.132"},
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{"Treynor Ratio", "-1.634"},
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{"Total Fees", "$1.00"},
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{"Estimated Strategy Capacity", "$25000000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.96%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "711cbe45c5d704f02f5b1107de9bc5d8"}
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};
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}
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}
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