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Moving UsesMapFiles to DataType

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- Custom data types will know whether or not Lean should use map files
- Updating regression test with sample custom data using map files,
which can run locally
- Adding unit tests for the `SubscriptionDataReaderHistoryProvider`,
checking it mappes equities and options correctly
This commit is contained in:
Martin Molinero
2019-08-19 17:18:15 -03:00
parent c25bdc6a07
commit 73d780daae
24 changed files with 400 additions and 176 deletions
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Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs
+77 -59
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@@ -13,12 +13,11 @@
* limitations under the License.
*/
using Newtonsoft.Json;
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Custom.SEC;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
namespace QuantConnect.Algorithm.CSharp
@@ -29,7 +28,6 @@ namespace QuantConnect.Algorithm.CSharp
/// <meta name="tag" content="using data" />
/// <meta name="tag" content="custom data" />
/// <meta name="tag" content="regression test" />
/// <meta name="tag" content="SEC" />
/// <meta name="tag" content="rename event" />
/// <meta name="tag" content="map" />
/// <meta name="tag" content="mapping" />
@@ -37,52 +35,51 @@ namespace QuantConnect.Algorithm.CSharp
public class CustomDataUsingMapFileRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
private Symbol _symbol;
private bool _changedSymbol;
private Dictionary<DateTime, string> _tickers = new Dictionary<DateTime, string>();
/// <summary>
/// Ticker we use for testing
/// </summary>
public const string Ticker = "TWX";
private bool _initialMapping;
private bool _executionMapping;
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2001, 1, 1);
SetEndDate(2003, 12, 31);
SetCash(100000);
SetStartDate(2013, 06, 27);
SetEndDate(2013, 07, 02);
// AOL renames to TWX in 2003
_symbol = AddData<SECReport8K>(Ticker, Resolution.Daily).Symbol;
AddEquity(Ticker, Resolution.Daily);
_symbol = AddData<CustomDataUsingMapping>("FOXA").Symbol;
}
/// <summary>
/// Checks to see if the stock has been renamed, and places an order once the symbol has changed
/// </summary>
/// <param name="slice"></param>
public override void OnData(Slice slice)
{
if (slice.SymbolChangedEvents.ContainsKey(_symbol))
{
// Check to see if it was renamed on the 16th
_changedSymbol = Time.Date == new DateTime(2003, 10, 16);
Log($"{Time} - Ticker changed from: {slice.SymbolChangedEvents[_symbol].OldSymbol} to {slice.SymbolChangedEvents[_symbol].NewSymbol}");
}
foreach (var report in slice.Get<SECReport8K>())
{
var ticker = report.Key.Value;
var date = Time.Date;
if (date == new DateTime(2001, 1, 26) || date == new DateTime(2003, 10, 22))
var mappingEvent = slice.SymbolChangedEvents.Single().Value;
Log($"{Time} - Ticker changed from: {mappingEvent.OldSymbol} to {mappingEvent.NewSymbol}");
if (Time.Date == new DateTime(2013, 06, 27))
{
_tickers[date] = ticker;
}
// initial mapping event since we added FOXA and it's currently NWSA - GH issue 3327
if (mappingEvent.NewSymbol != "NWSA"
|| mappingEvent.OldSymbol != "FOXA")
{
throw new Exception($"Unexpected mapping event {mappingEvent}");
}
Log($"{Time} - Received 8-K report for {ticker}");
_initialMapping = true;
}
else if(Time.Date == new DateTime(2013, 06, 29))
{
if (mappingEvent.NewSymbol != "FOXA"
|| mappingEvent.OldSymbol != "NWSA")
{
throw new Exception($"Unexpected mapping event {mappingEvent}");
}
_executionMapping = true;
SetHoldings(_symbol, 1);
}
}
}
@@ -91,30 +88,20 @@ namespace QuantConnect.Algorithm.CSharp
/// </summary>
public override void OnEndOfAlgorithm()
{
if (!_changedSymbol)
if (!_initialMapping)
{
throw new Exception("The ticker did not generate the initial rename event");
}
if (!_executionMapping)
{
throw new Exception("The ticker did not rename throughout the course of its life even though it should have");
}
var expectedTickers = new Dictionary<DateTime, string>
{
{ new DateTime(2001, 1, 26), "AOL" },
{ new DateTime(2003, 10, 22), "TWX" },
};
// Check for dictionary equality: https://stackoverflow.com/a/3804852
if (_tickers.Count != expectedTickers.Count && _tickers.Except(expectedTickers).Any())
{
Log($"Found: {JsonConvert.SerializeObject(_tickers, Formatting.None)}");
Log($"Expected: {JsonConvert.SerializeObject(expectedTickers, Formatting.None)}");
throw new Exception("SEC data event tickers do not match test case");
}
}
/// <summary>
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
/// </summary>
public bool CanRunLocally { get; } = false;
public bool CanRunLocally { get; } = true;
/// <summary>
/// This is used by the regression test system to indicate which languages this algorithm is written in.
@@ -126,25 +113,56 @@ namespace QuantConnect.Algorithm.CSharp
/// </summary>
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
{
{"Total Trades", "0"},
{"Total Trades", "1"},
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "0%"},
{"Drawdown", "0%"},
{"Compounding Annual Return", "-99.882%"},
{"Drawdown", "52.600%"},
{"Expectancy", "0"},
{"Net Profit", "0%"},
{"Sharpe Ratio", "0"},
{"Net Profit", "-10.486%"},
{"Sharpe Ratio", "-8.145"},
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "0"},
{"Beta", "0"},
{"Annual Standard Deviation", "0"},
{"Annual Variance", "0"},
{"Information Ratio", "0"},
{"Tracking Error", "0"},
{"Treynor Ratio", "0"},
{"Alpha", "-4.451"},
{"Beta", "-0.082"},
{"Annual Standard Deviation", "0.55"},
{"Annual Variance", "0.302"},
{"Information Ratio", "-8.63"},
{"Tracking Error", "0.556"},
{"Treynor Ratio", "54.53"},
{"Total Fees", "$0.00"},
};
/// <summary>
/// Test example custom data showing how to enable the use of map files.
/// Implemented as a wrapper of existing NWSA->FOXA equity
/// </summary>
private class CustomDataUsingMapping : TradeBar
{
/// <summary>
/// Indicates if there is support for map files
/// </summary>
/// <returns>True indicates map files should be used</returns>
public override bool UsesMapFiles()
{
return true;
}
public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
{
return base.GetSource(new SubscriptionDataConfig(config,
typeof(CustomDataUsingMapping),
// create a new symbol as equity so we find the existing data files
Symbol.Create(config.MappedSymbol, SecurityType.Equity, config.Market)),
date,
isLiveMode);
}
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
return ParseEquity(config, line, date);
}
}
}
}