wehub-resource-sync
82 lines
3.9 KiB
Python
82 lines
3.9 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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### Tests the delisting of the composite Symbol (ETF symbol) and the removal of
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### the universe and the symbol from the algorithm.
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### </summary>
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class ETFConstituentUniverseCompositeDelistingRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 12, 1)
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self.set_end_date(2021, 1, 31)
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self.set_cash(100000)
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self.universe_symbol_count = 0
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self.universe_selection_done = False
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self.universe_added = False
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self.universe_removed = False
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self.universe_settings.resolution = Resolution.HOUR
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self.delisting_date = date(2021, 1, 21)
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self.aapl = self.add_equity("AAPL", Resolution.HOUR).symbol
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self.gdvd = self.add_equity("GDVD", Resolution.HOUR).symbol
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self.add_universe(self.universe.etf(self.gdvd, self.universe_settings, self.filter_etfs))
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def filter_etfs(self, constituents):
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self.universe_selection_done = True
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if self.utc_time.date() > self.delisting_date:
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raise AssertionError(f"Performing constituent universe selection on {self.utc_time.strftime('%Y-%m-%d %H:%M:%S.%f')} after composite ETF has been delisted")
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constituent_symbols = [i.symbol for i in constituents]
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self.universe_symbol_count = len(set(constituent_symbols))
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return constituent_symbols
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def on_data(self, data):
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if self.utc_time.date() > self.delisting_date and any([i != self.aapl for i in data.keys()]):
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raise AssertionError("Received unexpected slice in OnData(...) after universe was deselected")
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if not self.portfolio.invested:
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self.set_holdings(self.aapl, 0.5)
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def on_securities_changed(self, changes):
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if len(changes.added_securities) != 0 and self.utc_time.date() > self.delisting_date:
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raise AssertionError("New securities added after ETF constituents were delisted")
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# Since we added the etf subscription it will get delisted and send us a removal event
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expected_changes_count = self.universe_symbol_count
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if self.universe_selection_done:
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# "_universe_symbol_count + 1" because selection is done right away,
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# so AddedSecurities includes all ETF constituents (including APPL) plus GDVD
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self.universe_added = self.universe_added or len(changes.added_securities) == (expected_changes_count - 1)
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# TODO: shouldn't be sending AAPL as a removed security since it was added by another universe
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self.universe_removed = self.universe_removed or (
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len(changes.removed_securities) == (expected_changes_count + 1) and
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self.utc_time.date() >= self.delisting_date and
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self.utc_time.date() < self.end_date.date())
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def on_end_of_algorithm(self):
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if not self.universe_added:
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raise AssertionError("ETF constituent universe was never added to the algorithm")
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if not self.universe_removed:
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raise AssertionError("ETF constituent universe was not removed from the algorithm after delisting")
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if len(self.active_securities) > 2:
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raise AssertionError(f"Expected less than 2 securities after algorithm ended, found {len(self.securities)}")
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