Support for custom summary statistics at runtime

Algorithm.Python/StatisticsResultsAlgorithm.py

@@ -18,6 +18,9 @@ from AlgorithmImports import *
 ### </summary>
 class StatisticsResultsAlgorithm(QCAlgorithm):
 
+    MostTradedSecurityStatistic = "Most Traded Security"
+    MostTradedSecurityTradeCountStatistic = "Most Traded Security Trade Count"
+
     def Initialize(self):
         self.SetStartDate(2013, 10, 7)
         self.SetEndDate(2013, 10, 11)
@@ -32,7 +35,9 @@ class StatisticsResultsAlgorithm(QCAlgorithm):
         self.fastIbmEma = self.EMA(self.spy, 10, Resolution.Minute)
         self.slowIbmEma = self.EMA(self.spy, 30, Resolution.Minute)
 
-    def OnData(self, data):
+        self.trade_counts = {self.spy: 0, self.ibm: 0}
+
+    def OnData(self, data: Slice):
         if not self.slowSpyEma.IsReady: return
 
         if self.fastSpyEma > self.slowSpyEma:
@@ -55,3 +60,50 @@ class StatisticsResultsAlgorithm(QCAlgorithm):
             # Access a single statistic
             self.Log(f"Total trades so far: {statistics[PerformanceMetrics.TotalTrades]}")
             self.Log(f"Sharpe Ratio: {statistics[PerformanceMetrics.SharpeRatio]}")
+
+            # --------
+
+            # We can also set custom summary statistics:
+
+            if all(count == 0 for count in self.trade_counts.values()):
+                if StatisticsResultsAlgorithm.MostTradedSecurityStatistic in statistics:
+                    raise Exception(f"Statistic {StatisticsResultsAlgorithm.MostTradedSecurityStatistic} should not be set yet")
+                if StatisticsResultsAlgorithm.MostTradedSecurityTradeCountStatistic in statistics:
+                    raise Exception(f"Statistic {StatisticsResultsAlgorithm.MostTradedSecurityTradeCountStatistic} should not be set yet")
+            else:
+                # The current most traded security should be set in the summary
+                most_trade_security, most_trade_security_trade_count = self.GetMostTradeSecurity()
+                self.CheckMostTradedSecurityStatistic(statistics, most_trade_security, most_trade_security_trade_count)
+
+            # Update the trade count
+            self.trade_counts[orderEvent.Symbol] += 1
+
+            # Set the most traded security
+            most_trade_security, most_trade_security_trade_count = self.GetMostTradeSecurity()
+            self.SetSummaryStatistic(StatisticsResultsAlgorithm.MostTradedSecurityStatistic, most_trade_security)
+            self.SetSummaryStatistic(StatisticsResultsAlgorithm.MostTradedSecurityTradeCountStatistic, most_trade_security_trade_count)
+
+            # Re-calculate statistics:
+            statistics = self.Statistics.Summary
+
+            # Let's keep track of our custom summary statistics after the update
+            self.CheckMostTradedSecurityStatistic(statistics, most_trade_security, most_trade_security_trade_count)
+
+
+    def CheckMostTradedSecurityStatistic(self, statistics: Dict[str, str], mostTradedSecurity: Symbol, tradeCount: int):
+        mostTradedSecurityStatistic = statistics[StatisticsResultsAlgorithm.MostTradedSecurityStatistic]
+        mostTradedSecurityTradeCountStatistic = statistics[StatisticsResultsAlgorithm.MostTradedSecurityTradeCountStatistic]
+        self.Log(f"Most traded security: {mostTradedSecurityStatistic}")
+        self.Log(f"Most traded security trade count: {mostTradedSecurityTradeCountStatistic}")
+
+        if mostTradedSecurityStatistic != mostTradedSecurity:
+            raise Exception(f"Most traded security should be {mostTradedSecurity} but it is {mostTradedSecurityStatistic}")
+
+        if mostTradedSecurityTradeCountStatistic != str(tradeCount):
+            raise Exception(f"Most traded security trade count should be {tradeCount} but it is {mostTradedSecurityTradeCountStatistic}")
+
+    def GetMostTradeSecurity(self) -> Tuple[Symbol, int]:
+        most_trade_security = max(self.trade_counts, key=lambda symbol: self.trade_counts[symbol])
+        most_trade_security_trade_count = self.trade_counts[most_trade_security]
+        return most_trade_security, most_trade_security_trade_count
+