wehub-resource-sync
139 lines
7.6 KiB
Python
139 lines
7.6 KiB
Python
# 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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from AlgorithmImports import *
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from collections import deque
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### <summary>
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### Regression test to check python indicator is keeping backwards compatibility
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### with indicators that do not set WarmUpPeriod or do not inherit from PythonIndicator class.
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### </summary>
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="indicator classes" />
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### <meta name="tag" content="custom indicator" />
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### <meta name="tag" content="regression test" />
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class CustomWarmUpPeriodIndicatorAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.add_equity("SPY", Resolution.SECOND)
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# Create three python indicators
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# - custom_not_warm_up does not define WarmUpPeriod parameter
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# - custom_warm_up defines WarmUpPeriod parameter
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# - custom_not_inherit defines WarmUpPeriod parameter but does not inherit from PythonIndicator class
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# - csharp_indicator defines WarmUpPeriod parameter and represents the traditional LEAN C# indicator
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self._custom_not_warm_up = CSMANotWarmUp('custom_not_warm_up', 60)
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self._custom_warm_up = CSMAWithWarmUp('custom_warm_up', 60)
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self._custom_not_inherit = CustomSMA('custom_not_inherit', 60)
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self._csharp_indicator = SimpleMovingAverage('csharp_indicator', 60)
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# Register the daily data of "SPY" to automatically update the indicators
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self.register_indicator("SPY", self._custom_warm_up, Resolution.MINUTE)
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self.register_indicator("SPY", self._custom_not_warm_up, Resolution.MINUTE)
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self.register_indicator("SPY", self._custom_not_inherit, Resolution.MINUTE)
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self.register_indicator("SPY", self._csharp_indicator, Resolution.MINUTE)
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# Warm up custom_warm_up indicator
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self.warm_up_indicator("SPY", self._custom_warm_up, Resolution.MINUTE)
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# Check custom_warm_up indicator has already been warmed up with the requested data
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assert(self._custom_warm_up.is_ready), "custom_warm_up indicator was expected to be ready"
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assert(self._custom_warm_up.samples == 60), "custom_warm_up indicator was expected to have processed 60 datapoints already"
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# Try to warm up custom_not_warm_up indicator. It's expected from LEAN to skip the warm up process
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# because this indicator doesn't define WarmUpPeriod parameter
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self.warm_up_indicator("SPY", self._custom_not_warm_up, Resolution.MINUTE)
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# Check custom_not_warm_up indicator is not ready and is using the default WarmUpPeriod value
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assert(not self._custom_not_warm_up.is_ready), "custom_not_warm_up indicator wasn't expected to be warmed up"
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assert(self._custom_not_warm_up.warm_up_period == 0), "custom_not_warm_up indicator WarmUpPeriod parameter was expected to be 0"
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# Warm up custom_not_inherit indicator. Though it does not inherit from PythonIndicator class,
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# it defines WarmUpPeriod parameter so it's expected to be warmed up from LEAN
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self.warm_up_indicator("SPY", self._custom_not_inherit, Resolution.MINUTE)
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# Check custom_not_inherit indicator has already been warmed up with the requested data
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assert(self._custom_not_inherit.is_ready), "custom_not_inherit indicator was expected to be ready"
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assert(self._custom_not_inherit.samples == 60), "custom_not_inherit indicator was expected to have processed 60 datapoints already"
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# Warm up csharp_indicator
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self.warm_up_indicator("SPY", self._csharp_indicator, Resolution.MINUTE)
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# Check csharp_indicator indicator has already been warmed up with the requested data
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assert(self._csharp_indicator.is_ready), "csharp_indicator indicator was expected to be ready"
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assert(self._csharp_indicator.samples == 60), "csharp_indicator indicator was expected to have processed 60 datapoints already"
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def on_data(self, data: Slice) -> None:
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if not self.portfolio.invested:
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self.set_holdings("SPY", 1)
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if self.time.second == 0:
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# Compute the difference between indicators values
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diff = abs(self._custom_not_warm_up.current.value - self._custom_warm_up.current.value)
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diff += abs(self._custom_not_inherit.value - self._custom_not_warm_up.current.value)
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diff += abs(self._custom_not_inherit.value - self._custom_warm_up.current.value)
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diff += abs(self._csharp_indicator.current.value - self._custom_warm_up.current.value)
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diff += abs(self._csharp_indicator.current.value - self._custom_not_warm_up.current.value)
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diff += abs(self._csharp_indicator.current.value - self._custom_not_inherit.value)
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# Check custom_not_warm_up indicator is ready when the number of samples is bigger than its WarmUpPeriod parameter
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assert(self._custom_not_warm_up.is_ready == (self._custom_not_warm_up.samples >= 60)), "custom_not_warm_up indicator was expected to be ready when the number of samples were bigger that its WarmUpPeriod parameter"
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# Check their values are the same. We only need to check if custom_not_warm_up indicator is ready because the other ones has already been asserted to be ready
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assert(diff <= 1e-10 or (not self._custom_not_warm_up.is_ready)), f"The values of the indicators are not the same. Indicators difference is {diff}"
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# Python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA) without Warm Up Period parameter defined
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class CSMANotWarmUp(PythonIndicator):
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def __init__(self, name: str, period: int) -> None:
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super().__init__()
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self.name = name
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self.value = 0
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self._queue = deque(maxlen=period)
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# Update method is mandatory
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def update(self, input: IndicatorDataPoint) -> bool:
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self._queue.appendleft(input.value)
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count = len(self._queue)
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self.value = np.sum(self._queue) / count
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return count == self._queue.maxlen
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# Python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA) With Warm Up Period parameter defined
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class CSMAWithWarmUp(CSMANotWarmUp):
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def __init__(self, name: str, period: int) -> None:
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super().__init__(name, period)
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self.warm_up_period = period
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# Custom python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA)
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class CustomSMA():
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def __init__(self, name: str, period: int) -> None:
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self.name = name
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self.value = 0
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self._queue = deque(maxlen=period)
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self.warm_up_period = period
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self.is_ready = False
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self.samples = 0
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# Update method is mandatory
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def update(self, input: IndicatorDataPoint) -> bool:
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self.samples += 1
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self._queue.appendleft(input.value)
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count = len(self._queue)
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self.value = np.sum(self._queue) / count
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if count == self._queue.maxlen:
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self.is_ready = True
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return self.is_ready
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