wehub-resource-sync
199 lines
8.4 KiB
C#
199 lines
8.4 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.Orders;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Demonstration algorithm of time in force order settings.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="using quantconnect" />
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/// <meta name="tag" content="trading and orders" />
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public class TimeInForceAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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private OrderTicket _gtcOrderTicket1, _gtcOrderTicket2;
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private OrderTicket _dayOrderTicket1, _dayOrderTicket2;
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private OrderTicket _gtdOrderTicket1, _gtdOrderTicket2;
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private readonly Dictionary<int, OrderStatus> _expectedOrderStatuses = new Dictionary<int, OrderStatus>();
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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);
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SetEndDate(2013, 10, 11);
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SetCash(100000);
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// The default time in force setting for all orders is GoodTilCancelled (GTC),
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// uncomment this line to set a different time in force.
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// We currently only support GTC, DAY, GTD.
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// DefaultOrderProperties.TimeInForce = TimeInForce.Day;
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_symbol = AddEquity("SPY", Resolution.Minute).Symbol;
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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="slice">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 (_gtcOrderTicket1 == null)
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{
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// These GTC orders will never expire and will not be canceled automatically.
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DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled;
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// this order will not be filled before the end of the backtest
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_gtcOrderTicket1 = LimitOrder(_symbol, 10, 100m);
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_expectedOrderStatuses.Add(_gtcOrderTicket1.OrderId, OrderStatus.Submitted);
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// this order will be filled before the end of the backtest
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_gtcOrderTicket2 = LimitOrder(_symbol, 10, 160m);
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_expectedOrderStatuses.Add(_gtcOrderTicket2.OrderId, OrderStatus.Filled);
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}
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if (_dayOrderTicket1 == null)
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{
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// These DAY orders will expire at market close,
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// if not filled by then they will be canceled automatically.
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DefaultOrderProperties.TimeInForce = TimeInForce.Day;
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// this order will not be filled before market close and will be canceled
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_dayOrderTicket1 = LimitOrder(_symbol, 10, 140m);
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_expectedOrderStatuses.Add(_dayOrderTicket1.OrderId, OrderStatus.Canceled);
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// this order will be filled before market close
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_dayOrderTicket2 = LimitOrder(_symbol, 10, 180m);
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_expectedOrderStatuses.Add(_dayOrderTicket2.OrderId, OrderStatus.Filled);
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}
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if (_gtdOrderTicket1 == null)
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{
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// These GTD orders will expire on October 10th at market close,
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// if not filled by then they will be canceled automatically.
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DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilDate(new DateTime(2013, 10, 10));
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// this order will not be filled before expiry and will be canceled
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_gtdOrderTicket1 = LimitOrder(_symbol, 10, 100m);
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_expectedOrderStatuses.Add(_gtdOrderTicket1.OrderId, OrderStatus.Canceled);
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// this order will be filled before expiry
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_gtdOrderTicket2 = LimitOrder(_symbol, 10, 160m);
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_expectedOrderStatuses.Add(_gtdOrderTicket2.OrderId, OrderStatus.Filled);
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}
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}
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/// <summary>
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/// Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
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/// </summary>
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/// <param name="orderEvent">Order event instance containing details of the event</param>
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/// <remarks>This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects</remarks>
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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Debug($"{Time} {orderEvent}");
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}
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/// <summary>
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/// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
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/// </summary>
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public override void OnEndOfAlgorithm()
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{
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foreach (var kvp in _expectedOrderStatuses)
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{
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var orderId = kvp.Key;
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var expectedStatus = kvp.Value;
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var order = Transactions.GetOrderById(orderId);
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if (order.Status != expectedStatus)
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{
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throw new RegressionTestException($"Invalid status for order {orderId} - Expected: {expectedStatus}, actual: {order.Status}");
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}
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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, Language.Python };
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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 => 3943;
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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", "6"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "5.659%"},
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{"Drawdown", "0.100%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100070.41"},
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{"Net Profit", "0.070%"},
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{"Sharpe Ratio", "4.241"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "63.999%"},
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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", "-0.044"},
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{"Beta", "0.043"},
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{"Annual Standard Deviation", "0.01"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-9.086"},
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{"Tracking Error", "0.213"},
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{"Treynor Ratio", "0.944"},
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{"Total Fees", "$3.00"},
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{"Estimated Strategy Capacity", "$44000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.87%"},
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{"Drawdown Recovery", "3"},
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{"OrderListHash", "a0588650916ed396fb5793375118e7b3"}
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};
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}
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}
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