wehub-resource-sync
138 lines
4.9 KiB
C#
138 lines
4.9 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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using QuantConnect.Util;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// This regression algorithm reproduces GH issue 3781
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/// </summary>
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public class SetHoldingsMarketOnOpenRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _aapl;
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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, 11);
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AddEquity("SPY");
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_aapl = AddEquity("AAPL", Resolution.Daily).Symbol;
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}
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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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if (Securities[_aapl].HasData)
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{
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SetHoldings(_aapl, 1);
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var orderTicket = Transactions.GetOpenOrderTickets(_aapl).Single();
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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.Submitted)
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{
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var orderTickets = Transactions.GetOpenOrderTickets(_aapl).Single();
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}
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else
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{
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// should be filled
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var orderTickets = Transactions.GetOpenOrderTickets(_aapl).ToList(ticket => ticket);
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if (!orderTickets.IsNullOrEmpty())
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{
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throw new RegressionTestException($"We don't expect any open order tickets: {orderTickets[0]}");
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}
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}
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if (orderEvent.OrderId > 1)
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{
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throw new RegressionTestException($"We only expect 1 order to be placed: {orderEvent}");
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}
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Debug($"OnOrderEvent: {orderEvent}");
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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 => 5504;
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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", "67.376%"},
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{"Drawdown", "1.800%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100660.71"},
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{"Net Profit", "0.661%"},
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{"Sharpe Ratio", "2.515"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "53.918%"},
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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", "-0.772"},
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{"Beta", "0.66"},
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{"Annual Standard Deviation", "0.212"},
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{"Annual Variance", "0.045"},
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{"Information Ratio", "-8.483"},
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{"Tracking Error", "0.17"},
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{"Treynor Ratio", "0.806"},
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{"Total Fees", "$32.32"},
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{"Estimated Strategy Capacity", "$240000000.00"},
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{"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
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{"Portfolio Turnover", "20.39%"},
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{"Drawdown Recovery", "2"},
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{"OrderListHash", "9d9883e51ef7e9f15062e368cb60617c"}
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};
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}
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}
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