wehub-resource-sync
130 lines
4.9 KiB
C#
130 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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*/
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using System;
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using System.Linq;
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using System.Collections.Generic;
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using QuantConnect.Data;
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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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/// Reproduces https://github.com/QuantConnect/Lean/issues/7451, making sure no additional subscriptions are added for an index
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/// after manually adding both the underlying and an option contract, with slightly different configurations like the fill forward value.
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/// </summary>
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public class DuplicatedIndexOptionSubscriptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2021, 1, 4);
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SetEndDate(2021, 1, 4);
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SetCash(1000000);
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var spx = AddIndex("SPX", Resolution.Minute, fillForward: false).Symbol;
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if (SubscriptionManager.Subscriptions.Single().Symbol != spx)
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{
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throw new RegressionTestException($"Expected a single subscription to exist ({spx})");
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}
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var spxOption = QuantConnect.Symbol.CreateOption(
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spx,
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3200m,
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new DateTime(2021, 1, 15));
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AddIndexOptionContract(spxOption, Resolution.Minute);
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if (SubscriptionManager.Subscriptions.Count() < 2)
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{
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throw new RegressionTestException("Expected subscriptions for the added index option contract");
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}
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if (SubscriptionManager.Subscriptions.Count(x => x.Symbol == spx) != 1)
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{
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throw new RegressionTestException("Expected a single subscription for the underlying index security");
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}
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// Quit early, we already tested what we wanted
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Quit();
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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 virtual 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 virtual 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 virtual long DataPoints => 0;
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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 virtual 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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "1000000"},
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{"End Equity", "1000000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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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"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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