wehub-resource-sync
253 lines
10 KiB
C#
253 lines
10 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using System.Linq;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
|
|
/// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
|
|
/// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
|
|
///
|
|
/// Additionally, it tests that the security is initialized after every addition, and no more.
|
|
///
|
|
/// This specific algorithm tests this behavior for option contracts that are selected, deselected and re-selected.
|
|
/// </summary>
|
|
public class SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Symbol _canonicalOption;
|
|
private List<Symbol> _contractsToSelect;
|
|
private HashSet<Option> _selectedContracts = new();
|
|
private bool _selectSingle;
|
|
private int _selectionsCount;
|
|
|
|
private Dictionary<Security, int> _securityInializationCounts = new();
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2014, 06, 04);
|
|
SetEndDate(2014, 06, 20);
|
|
SetCash(100000);
|
|
|
|
var seeder = new FuncSecuritySeeder((security) =>
|
|
{
|
|
if (security is Option option)
|
|
{
|
|
if (!_securityInializationCounts.TryGetValue(security, out var count))
|
|
{
|
|
count = 0;
|
|
}
|
|
_securityInializationCounts[security] = count + 1;
|
|
}
|
|
|
|
Debug($"[{Time}] Seeding {security.Symbol}");
|
|
return GetLastKnownPrices(security);
|
|
});
|
|
|
|
SetSecurityInitializer(security => seeder.SeedSecurity(security));
|
|
|
|
var equitySymbol = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
|
|
|
|
_contractsToSelect = new List<Symbol>()
|
|
{
|
|
QuantConnect.Symbol.CreateOption(equitySymbol, Market.USA, OptionStyle.American, OptionRight.Call, 335.7m, new DateTime(2014, 07, 19)),
|
|
QuantConnect.Symbol.CreateOption(equitySymbol, Market.USA, OptionStyle.American, OptionRight.Call, 335.7m, new DateTime(2015, 01, 17))
|
|
};
|
|
|
|
var option = AddOption(equitySymbol, Resolution.Daily);
|
|
option.SetFilter(u => u.Contracts(contracts =>
|
|
{
|
|
_selectionsCount++;
|
|
_securityInializationCounts.Clear();
|
|
|
|
List<Symbol> selected;
|
|
if (_selectSingle)
|
|
{
|
|
_selectSingle = false;
|
|
selected = _contractsToSelect.Take(1).ToList();
|
|
}
|
|
else
|
|
{
|
|
_selectSingle = true;
|
|
selected = _contractsToSelect;
|
|
}
|
|
|
|
Log($"[{Time}] [{UtcTime}] Selecting {string.Join(", ", selected.Select(x => x.Value))}");
|
|
return selected;
|
|
}));
|
|
|
|
_canonicalOption = option.Symbol;
|
|
}
|
|
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
foreach (var security in changes.AddedSecurities)
|
|
{
|
|
if (!security.IsTradable)
|
|
{
|
|
throw new RegressionTestException($"Expected the security to be tradable. Symbol: {security.Symbol}");
|
|
}
|
|
}
|
|
|
|
foreach (var security in changes.RemovedSecurities)
|
|
{
|
|
if (security.IsTradable)
|
|
{
|
|
throw new RegressionTestException($"Expected the security to be not tradable. Symbol: {security.Symbol}");
|
|
}
|
|
}
|
|
|
|
var underlyingEquity = changes.AddedSecurities.FirstOrDefault(x => x.Symbol == _canonicalOption.Underlying);
|
|
if (Time == StartDate)
|
|
{
|
|
if (underlyingEquity == null)
|
|
{
|
|
throw new RegressionTestException($"Expected the underlying equity to be added. " +
|
|
$"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}");
|
|
}
|
|
}
|
|
else if (underlyingEquity != null)
|
|
{
|
|
throw new RegressionTestException($"Expected the underlying equity to not be added. " +
|
|
$"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}");
|
|
}
|
|
|
|
var addedContracts = changes.AddedSecurities.OfType<Option>().ToList();
|
|
if (addedContracts.Any(x => !_securityInializationCounts.TryGetValue(x, out var count) || count != 1))
|
|
{
|
|
throw new RegressionTestException($"Expected all contracts to be initialized. Added: {string.Join(", ", addedContracts.Select(x => x.Symbol.Value))}, Initialized: {string.Join(", ", _securityInializationCounts.Select(x => $"{x.Key.Symbol.Value} - {x.Value}"))}");
|
|
}
|
|
|
|
// The first contract will be selected always, so we expect it to be added only once
|
|
var firstAddedContract = changes.AddedSecurities.FirstOrDefault(x => x.Symbol == _contractsToSelect[0]) as Option;
|
|
if (firstAddedContract == null)
|
|
{
|
|
if (_selectedContracts.Contains(firstAddedContract))
|
|
{
|
|
throw new RegressionTestException($"Expected the first contract to be added only once");
|
|
}
|
|
}
|
|
|
|
// _selectSingle flag was set to true, so we expect both contracts to be selected
|
|
if (_selectSingle)
|
|
{
|
|
if (!changes.AddedSecurities.Any(x => x.Symbol == _contractsToSelect[1]))
|
|
{
|
|
throw new RegressionTestException($"Expected the second contract to be added");
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (changes.AddedSecurities.Any(x => x.Symbol == _contractsToSelect[1]))
|
|
{
|
|
throw new RegressionTestException($"Expected the second contract to not be added");
|
|
}
|
|
|
|
var removedContract = changes.RemovedSecurities.FirstOrDefault(x => x.Symbol == _contractsToSelect[1]);
|
|
|
|
if (removedContract == null)
|
|
{
|
|
throw new RegressionTestException($"Expected the second contract to be removed");
|
|
}
|
|
|
|
if (removedContract.IsTradable)
|
|
{
|
|
throw new RegressionTestException($"Expected the second contract to be not tradable since it was removed");
|
|
}
|
|
}
|
|
|
|
foreach (var security in changes.AddedSecurities.OfType<Option>())
|
|
{
|
|
_selectedContracts.Add(security);
|
|
}
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
if (_selectionsCount == 0)
|
|
{
|
|
throw new RegressionTestException("Expected at least one selection");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public List<Language> Languages { get; } = new() { Language.CSharp };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public long DataPoints => 39254;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 5;
|
|
|
|
/// <summary>
|
|
/// Final status of the algorithm
|
|
/// </summary>
|
|
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Orders", "0"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "0%"},
|
|
{"Drawdown", "0%"},
|
|
{"Expectancy", "0"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "100000"},
|
|
{"Net Profit", "0%"},
|
|
{"Sharpe Ratio", "0"},
|
|
{"Sortino Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "-6.27"},
|
|
{"Tracking Error", "0.056"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$0.00"},
|
|
{"Estimated Strategy Capacity", "$0"},
|
|
{"Lowest Capacity Asset", ""},
|
|
{"Portfolio Turnover", "0%"},
|
|
{"Drawdown Recovery", "0"},
|
|
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
|
};
|
|
}
|
|
}
|