wehub-resource-sync
145 lines
9.0 KiB
Python
145 lines
9.0 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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### <summary>
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### This regression algorithm tests that we can use selectors in the indicators
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### that need quote data
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### </summary>
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class IndicatorSelectorWorksWithDifferentOptions(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 6, 7)
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self.set_end_date(2013, 11, 8)
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self.equity = self.add_equity("SPY", Resolution.MINUTE).symbol
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self.option = self.add_option("NWSA", Resolution.MINUTE).symbol
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self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol
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self.aapl_points = []
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self.aapl_last_date = date(1,1,1)
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self.eurusd = self.add_forex("EURUSD", Resolution.DAILY).symbol
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self.eurusd_points = []
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self.eurusd_last_date = date(1,1,1)
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future = self.add_future("GC", Resolution.DAILY, Market.COMEX)
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self.future = future.symbol
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self.future_contract = None
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self.future_points = []
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future.set_filter(0, 120)
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self.option = Symbol.create_option("NWSA", Market.USA, OptionStyle.AMERICAN, OptionRight.PUT, 33, datetime(2013, 7, 20))
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self.add_option_contract(self.option, Resolution.MINUTE)
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self.option_indicator = self.identity(self.option, Resolution.MINUTE, Field.VOLUME, "Volume.")
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self.bid_close_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_CLOSE, "Bid.Close.")
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self.bid_open_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_OPEN, "Bid.Open.")
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self.bid_low_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_LOW, "Bid.Low.")
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self.bid_high_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_HIGH, "Bid.High.")
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self.ask_close_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_CLOSE, "Ask.Close.")
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self.ask_open_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_OPEN, "Ask.Open.")
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self.ask_low_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_LOW, "Ask.Low.")
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self.ask_high_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_HIGH, "Ask.High.")
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self.quotebars_found = False
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self.tradebars_found = False
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self.tradebar_history_indicator = self.identity(self.aapl, Resolution.DAILY)
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self.quotebar_history_indicator = self.identity(self.eurusd, Resolution.DAILY)
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def on_data(self, slice):
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if self.aapl_last_date != self.time.date():
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bars = slice.get(TradeBar)
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if self.aapl in bars.keys():
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datapoint = bars[self.aapl]
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if datapoint and datapoint.volume != 0:
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self.aapl_last_date = self.time.date()
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self.aapl_points.append(datapoint.volume)
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if self.eurusd_last_date != self.time.date() and (self.eurusd in slice.quote_bars.keys()):
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self.eurusd_last_date = self.time.date()
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self.eurusd_points.append(slice.quote_bars[self.eurusd].bid.close)
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if self.equity in slice.quote_bars.keys():
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self.quotebars_found = True
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if slice.quote_bars["SPY"].bid.close != self.bid_close_indicator.current.value:
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close_value = slice.quote_bars["SPY"].bid.close
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raise AssertionError(f"{self.bid_close_indicator.__name__} should have been {close_value}, but was {self.bid_close_indicator.current.value}")
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if slice.quote_bars["SPY"].bid.open != self.bid_open_indicator.current.value:
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open_value = slice.quote_bars["SPY"].bid.open
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raise AssertionError(f"{self.bid_open_indicator.__name__} should have been {open_value}, but was {self.bid_open_indicator.current.value}")
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if slice.quote_bars["SPY"].bid.low != self.bid_low_indicator.current.value:
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low_value = slice.quote_bars["SPY"].bid.low
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raise AssertionError(f"{self.bid_low_indicator.__name__} should have been {low_value}, but was {self.bid_low_indicator.current.value}")
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if slice.quote_bars["SPY"].bid.high != self.bid_high_indicator.current.value:
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high_value = slice.quote_bars["SPY"].bid.high
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raise AssertionError(f"{self.bid_high_indicator.__name__} should have been {high_value}, but was {self.bid_high_indicator.current.value}")
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if slice.quote_bars["SPY"].ask.close != self.ask_close_indicator.current.value:
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close_value = slice.quote_bars["SPY"].ask.close
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raise AssertionError(f"{self.ask_close_indicator.__name__} should have been {close_value}, but was {self.ask_close_indicator.current.value}")
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if slice.quote_bars["SPY"].ask.open != self.ask_open_indicator.current.value:
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open_value = slice.quote_bars["SPY"].bid.open
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raise AssertionError(f"{self.ask_open_indicator.__name__} should have been {open_value}, but was {self.ask_open_indicator.current.value}")
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if slice.quote_bars["SPY"].ask.low != self.ask_low_indicator.current.value:
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low_value = slice.quote_bars["SPY"].bid.low
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raise AssertionError(f"{self.ask_low_indicator.__name__} should have been {low_value}, but was {self.ask_low_indicator.current.value}")
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if slice.quote_bars["SPY"].ask.high != self.ask_high_indicator.current.value:
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high_value = slice.quote_bars["SPY"].bid.high
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raise AssertionError(f"{self.ask_high_indicator.__name__} should have been {high_value}, but was {self.ask_high_indicator.current.value}")
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if (self.option.canonical in slice.option_chains.keys()) and (self.option in slice.option_chains[self.option.canonical].trade_bars.keys()):
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self.tradebars_found = True
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if self.option_indicator.current.value != slice.option_chains[self.option.canonical].trade_bars[self.option].volume:
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volume = slice.option_chains[self.option.canonical].trade_bars[self.option].volume
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raise AssertionError(f"{self.option_indicator.__name__} should have been {volume}, but was {self.option_indicator.current.value}")
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if (self.future in slice.futures_chains.keys()):
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if self.future_contract == None:
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self.future_contract = slice.future_chains[self.future].trade_bars.values()[0].symbol
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if self.future_contract in slice.future_chains[self.future].trade_bars:
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value = slice.future_chains[self.future].trade_bars[self.future_contract]
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if value.volume != 0:
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self.future_points.append(value.volume)
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def on_end_of_algorithm(self):
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if not self.quotebars_found:
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raise AssertionError("At least one quote bar should have been found, but none was found")
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if not self.tradebars_found:
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raise AssertionError("At least one trade bar should have been found, but none was found")
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future_indicator = Identity("")
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backtest_days = (self.end_date - self.start_date).days
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future_volume_history = self.indicator_history(future_indicator, self.future_contract, backtest_days, Resolution.DAILY, Field.VOLUME).current
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future_volume_history_values = list(map(lambda x: x.value, future_volume_history))
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future_volume_history_values = list(filter(lambda x: x != 0, future_volume_history_values))
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if abs(sum(future_volume_history_values)/len(future_volume_history_values) - sum(self.future_points)/len(self.future_points)) > 0.001:
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raise AssertionError(f"No history indicator future data point was found using Field.Volume selector! {self.future_points}")
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volume_history = self.indicator_history(self.tradebar_history_indicator, self.aapl, 109, Resolution.DAILY, Field.VOLUME).current
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volume_history_values = list(map(lambda x: x.value, volume_history))
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if abs(sum(volume_history_values)/len(volume_history_values) - sum(self.aapl_points)/len(self.aapl_points)) > 0.001:
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raise AssertionError("No history indicator data point was found using Field.Volume selector!")
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bid_close_history = self.indicator_history(self.quotebar_history_indicator, self.eurusd, 132, Resolution.DAILY, Field.BID_CLOSE).current
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bid_close_history_values = list(map(lambda x: x.value, bid_close_history))
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if abs(sum(bid_close_history_values)/len(bid_close_history_values) - sum(self.eurusd_points)/len(self.eurusd_points)) > 0.001:
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raise AssertionError("No history indicator data point was found using Field.BidClose selector!")
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