4961844f82
* Refactor user define universe handling - Normalize user define universe additions and removals to behave like other subscriptions without requiting special handling * Minor fixes
237 lines
10 KiB
C#
237 lines
10 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 QuantConnect.Data;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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using System;
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using System.Collections.Generic;
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using System.Data;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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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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public class IndicatorSelectorsWorkWithDifferentOptions: QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private List<Indicator> _equityIndicators;
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private Indicator _optionIndicator;
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private Indicator _tradebarIndicatorHistory;
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private Indicator _quotebarIndicatorHistory;
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private Symbol _equity;
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private Symbol _eurusd;
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private Symbol _aapl;
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private Symbol _option;
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private Symbol _future;
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private Symbol _futureContract;
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private bool _quoteBarsFound;
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private bool _tradeBarsFound;
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private DateTime _aaplLastDate;
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private DateTime _eurusdLastDate;
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private List<decimal> _aaplPoints = new List<decimal>();
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private List<decimal> _eurusdPoints = new List<decimal>();
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private List<decimal> _futurePoints = new List<decimal>();
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public override void Initialize()
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{
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SetStartDate(2013, 06, 07);
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SetEndDate(2013, 11, 08);
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_equity = AddEquity("SPY", Resolution.Minute).Symbol;
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_aapl = AddEquity("AAPL", Resolution.Daily).Symbol;
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_eurusd = AddForex("EURUSD", Resolution.Daily).Symbol;
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_option = AddOption("NWSA", Resolution.Minute).Symbol;
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_option = QuantConnect.Symbol.CreateOption("NWSA", Market.USA, OptionStyle.American, OptionRight.Put, 33, new DateTime(2013, 07, 20));
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var future = AddFuture("GC", Resolution.Daily, Market.COMEX);
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_future = future.Symbol;
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future.SetFilter(0, 120);
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AddOptionContract(_option, Resolution.Minute);
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_equityIndicators = new List<Indicator>()
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{
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Identity(_equity, Resolution.Minute, Field.BidClose, "Bid.Close."),
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Identity(_equity, Resolution.Minute, Field.BidOpen, "Bid.Open."),
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Identity(_equity, Resolution.Minute, Field.BidLow, "Bid.Low."),
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Identity(_equity, Resolution.Minute, Field.BidHigh, "Bid.High."),
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Identity(_equity, Resolution.Minute, Field.AskClose, "Ask.Close."),
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Identity(_equity, Resolution.Minute, Field.AskOpen, "Ask.Open."),
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Identity(_equity, Resolution.Minute, Field.AskLow, "Ask.Low."),
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Identity(_equity, Resolution.Minute, Field.AskHigh, "Ask.High."),
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};
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_optionIndicator = Identity(_option, Resolution.Minute, Field.Volume, "Volume.");
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_tradebarIndicatorHistory = Identity(_aapl, Resolution.Daily);
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_quotebarIndicatorHistory = Identity(_eurusd, Resolution.Daily);
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}
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public override void OnData(Slice slice)
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{
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if (_aaplLastDate.Date != Time.Date && slice.TryGetValue(_aapl, out var aaplPoint))
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{
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if (aaplPoint.Volume != 0)
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{
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_aaplLastDate = Time.Date;
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_aaplPoints.Add(aaplPoint.Volume);
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}
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}
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if (_eurusdLastDate.Date != Time.Date && slice.QuoteBars.TryGetValue(_eurusd, out var eurusdPoint))
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{
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_eurusdLastDate = Time.Date;
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_eurusdPoints.Add(eurusdPoint.Bid.Close);
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}
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if (slice.QuoteBars.ContainsKey(_equity))
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{
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_quoteBarsFound = true;
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var wrongEquityIndicators = _equityIndicators.Where(x =>
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{
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var propertyName = x.Name.Split(".")[0]; // This could be Ask/Bid
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var secondPropertyName = x.Name.Split(".")[1]; // This could be Open/Close/High/Low
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var property = slice.QuoteBars[_equity].GetType().GetProperty(propertyName).GetValue(slice.QuoteBars[_equity], null);
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var value = (decimal)property.GetType().GetProperty(secondPropertyName).GetValue(property, null);
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return x.Current.Value != value;
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});
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if (wrongEquityIndicators.Any())
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{
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throw new RegressionTestException();
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}
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}
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if (slice.OptionChains.TryGetValue(_option.Canonical, out var optionChain) && optionChain.TradeBars.TryGetValue(_option, out var optionChainTradeBar))
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{
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_tradeBarsFound = true;
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if (_optionIndicator.Current.Value != optionChainTradeBar.Volume)
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{
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throw new RegressionTestException();
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}
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}
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if (slice.FutureChains.TryGetValue(_future, out var futureChain))
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{
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if (_futureContract == null)
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{
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_futureContract = futureChain.TradeBars.Values.FirstOrDefault().Symbol;
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}
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if (futureChain.TradeBars.TryGetValue(_futureContract, out var value))
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{
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if (value.Volume != 0)
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{
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_futurePoints.Add(value.Volume);
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}
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}
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_quoteBarsFound)
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{
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throw new RegressionTestException("At least one quote bar should have been found, but none was found");
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}
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if (!_tradeBarsFound)
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{
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throw new RegressionTestException("At least one trade bar should have been found, but none was found");
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}
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var backtestDays = (EndDate - StartDate).Days;
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var futureIndicator = new Identity("");
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var futureVolumeHistory = IndicatorHistory(futureIndicator, _futureContract, backtestDays, Resolution.Daily, Field.Volume);
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if (Math.Abs(futureVolumeHistory.Current.Select(x => x.Value).Where(x => x != 0).Average() - _futurePoints.Average()) > 0.001m)
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{
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throw new RegressionTestException($"No history indicator future data point was found using Field.Volume selector for {_futureContract}!");
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}
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var volumeHistory = IndicatorHistory(_tradebarIndicatorHistory, _aapl, 109, Resolution.Daily, Field.Volume);
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if (Math.Abs(volumeHistory.Current.Select(x => x.Value).Average() - _aaplPoints.Average()) > 0.001m)
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{
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throw new RegressionTestException($"No history indicator data point was found using Field.Volume selector for {_aapl}!");
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}
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var bidCloseHistory = IndicatorHistory(_quotebarIndicatorHistory, _eurusd, 132, Resolution.Daily, Field.BidClose);
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if (Math.Abs(bidCloseHistory.Current.Select(x => x.Value).Average() - _eurusdPoints.Average()) > 0.001m)
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{
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throw new RegressionTestException($"No history indicator data point was found using Field.BidClose selector for {_eurusd}!");
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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 => 454078;
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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 => 351;
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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", "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", "100000.00"},
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{"End Equity", "100000"},
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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", "-1.543"},
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{"Tracking Error", "0.098"},
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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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