Added new regression algorithms

* Deleted regression algorithms because they tested behavior similar to other existing regression algorithms * Fixed new bug in regression algorithm due to AddData changes * Added unit tests for wrapt version and package existence * Fix issue where data would be set to raw normalization mode
2019-09-20 14:33:27 -07:00
parent 9265bfe065
commit 4b0ed03b4f
16 changed files with 412 additions and 522 deletions
@@ -0,0 +1,76 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data.Custom.SEC import *
+from QuantConnect.Data.Custom.USTreasury import *
+import numpy as np
+
+### <summary>
+### Regression algorithm checks that adding data via AddData
+### works as expected
+### </summary>
+class CustomDataAddDataRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2013, 10, 7)
+        self.SetEndDate(2013, 10, 11)
+        self.SetCash(100000)
+
+        twxEquity = self.AddEquity("TWX", Resolution.Daily).Symbol
+        customTwxSymbol = self.AddData(SECReport8K, twxEquity, Resolution.Daily).Symbol
+
+        self.googlEquity = self.AddEquity("GOOGL", Resolution.Daily).Symbol
+        customGooglSymbol = self.AddData(SECReport10K, "GOOGL", Resolution.Daily).Symbol
+
+        usTreasury = self.AddData(USTreasuryYieldCurveRate, "GOOGL", Resolution.Daily).Symbol
+        usTreasuryUnderlyingEquity = Symbol.Create("MSFT", SecurityType.Equity, Market.USA)
+        usTreasuryUnderlying = self.AddData(USTreasuryYieldCurveRate, usTreasuryUnderlyingEquity, Resolution.Daily).Symbol
+
+        optionSymbol = self.AddOption("TWX", Resolution.Minute).Symbol
+        customOptionSymbol = self.AddData(SECReport10K, optionSymbol, Resolution.Daily).Symbol
+
+        if customTwxSymbol.Underlying != twxEquity:
+            raise Exception(f"Underlying symbol for {customTwxSymbol} is not equal to TWX equity. Expected {twxEquity} got {customTwxSymbol.Underlying}")
+        if customGooglSymbol.Underlying != self.googlEquity:
+            raise Exception(f"Underlying symbol for {customGooglSymbol} is not equal to GOOGL equity. Expected {self.googlEquity} got {customGooglSymbol.Underlying}")
+        if usTreasury.HasUnderlying:
+            raise Exception(f"US Treasury yield curve (no underlying) has underlying when it shouldn't. Found {usTreasury.Underlying}")
+        if not usTreasuryUnderlying.HasUnderlying:
+            raise Exception("US Treasury yield curve (with underlying) has no underlying Symbol even though we added with Symbol")
+        if usTreasuryUnderlying.Underlying != usTreasuryUnderlyingEquity:
+            raise Exception(f"US Treasury yield curve underlying does not equal equity Symbol added. Expected {usTreasuryUnderlyingEquity} got {usTreasuryUnderlying.Underlying}")
+        if customOptionSymbol.Underlying != optionSymbol:
+            raise Exception("Option symbol not equal to custom underlying symbol. Expected {optionSymbol} got {customOptionSymbol.Underlying}")
+
+        try:
+            customDataNoCache = self.AddData(SECReport10Q, "AAPL", Resolution.Daily)
+            raise Exception("AAPL was found in the SymbolCache, though it should be missing")
+        except InvalidOperationException as e:
+            return
+
+    def OnData(self, data):
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if not self.Portfolio.Invested and len(self.Transactions.GetOpenOrders()) == 0:
+            self.SetHoldings(self.googlEquity, 0.5)