Feature 5988 WarmUpIndicator() method for indicators written in Python (#6027)

* Implement IIndicatorWarmUpPeriodProvider - Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs - Make a unit test to check whether the WarmUpPeriod is working as expected - Make a regression test to check the new feature at a system level * Nit change * Change Period parameter for WarmUpPeriod parameter - Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod * Documentation change * Fix tests bugs - In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1 * Change names * Change WarmUp and RegisterIndicator methods - Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter * Call WarmUpIndicator manually - Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs - Change the regression algorithm to warm up the indicators manually * Remove unnecessary code and add more tests * Nit change * Revert "Nit change" This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6. * Fix bugs * Try fix bugs * Add C# regression test - More nit changes - Fix bugs * Requested changes * Remove unnecessary code * Requested changes * Nit changes - Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly * Reduce redundant code * Fix bug and add more unit and regression tests * - Add more unit tests * Nit change * Test cleanup Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2021-10-28 18:29:22 -05:00
parent 013b9ea850
commit fc6ddc2120
7 changed files with 539 additions and 10 deletions
@@ -0,0 +1,137 @@
+# 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 AlgorithmImports import *
+from collections import deque
+
+### <summary>
+### Regression test to check python indicator is keeping backwards compatibility 
+### with indicators that do not set WarmUpPeriod or do not inherit from PythonIndicator class.
+### </summary>
+### <meta name="tag" content="indicators" />
+### <meta name="tag" content="indicator classes" />
+### <meta name="tag" content="custom indicator" />
+### <meta name="tag" content="regression test" />
+class CustomWarmUpPeriodIndicatorAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2013,10,7)
+        self.SetEndDate(2013,10,11)
+        self.AddEquity("SPY", Resolution.Second)
+
+        # Create three python indicators
+        # - customNotWarmUp does not define WarmUpPeriod parameter
+        # - customWarmUp defines WarmUpPeriod parameter
+        # - customNotInherit defines WarmUpPeriod parameter but does not inherit from PythonIndicator class
+        # - csharpIndicator defines WarmUpPeriod parameter and represents the traditional LEAN C# indicator
+        self.customNotWarmUp = CSMANotWarmUp('customNotWarmUp', 60)
+        self.customWarmUp = CSMAWithWarmUp('customWarmUp', 60)
+        self.customNotInherit = CustomSMA('customNotInherit', 60)
+        self.csharpIndicator = SimpleMovingAverage('csharpIndicator', 60)
+
+        # Register the daily data of "SPY" to automatically update the indicators
+        self.RegisterIndicator("SPY", self.customWarmUp, Resolution.Minute)
+        self.RegisterIndicator("SPY", self.customNotWarmUp, Resolution.Minute)
+        self.RegisterIndicator("SPY", self.customNotInherit, Resolution.Minute)
+        self.RegisterIndicator("SPY", self.csharpIndicator, Resolution.Minute)
+
+        # Warm up customWarmUp indicator
+        self.WarmUpIndicator("SPY", self.customWarmUp, Resolution.Minute)
+
+        # Check customWarmUp indicator has already been warmed up with the requested data
+        assert(self.customWarmUp.IsReady), "customWarmUp indicator was expected to be ready"
+        assert(self.customWarmUp.Samples == 60), "customWarmUp indicator was expected to have processed 60 datapoints already"
+
+        # Try to warm up customNotWarmUp indicator. It's expected from LEAN to skip the warm up process
+        # because this indicator doesn't define WarmUpPeriod parameter
+        self.WarmUpIndicator("SPY", self.customNotWarmUp, Resolution.Minute)
+
+        # Check customNotWarmUp indicator is not ready and is using the default WarmUpPeriod value
+        assert(not self.customNotWarmUp.IsReady), "customNotWarmUp indicator wasn't expected to be warmed up"
+        assert(self.customNotWarmUp.WarmUpPeriod == 0), "customNotWarmUp indicator WarmUpPeriod parameter was expected to be 0"
+
+        # Warm up customNotInherit indicator. Though it does not inherit from PythonIndicator class,
+        # it defines WarmUpPeriod parameter so it's expected to be warmed up from LEAN
+        self.WarmUpIndicator("SPY", self.customNotInherit, Resolution.Minute)
+
+        # Check customNotInherit indicator has already been warmed up with the requested data
+        assert(self.customNotInherit.IsReady), "customNotInherit indicator was expected to be ready"
+        assert(self.customNotInherit.Samples == 60), "customNotInherit indicator was expected to have processed 60 datapoints already"
+
+        # Warm up csharpIndicator
+        self.WarmUpIndicator("SPY", self.csharpIndicator, Resolution.Minute)
+
+        # Check csharpIndicator indicator has already been warmed up with the requested data
+        assert(self.csharpIndicator.IsReady), "csharpIndicator indicator was expected to be ready"
+        assert(self.csharpIndicator.Samples == 60), "csharpIndicator indicator was expected to have processed 60 datapoints already"
+
+    def OnData(self, data):
+        if not self.Portfolio.Invested:
+            self.SetHoldings("SPY", 1)
+
+        if self.Time.second == 0:
+            # Compute the difference between indicators values
+            diff = abs(self.customNotWarmUp.Current.Value - self.customWarmUp.Current.Value)
+            diff += abs(self.customNotInherit.Value - self.customNotWarmUp.Current.Value)
+            diff += abs(self.customNotInherit.Value - self.customWarmUp.Current.Value)
+            diff += abs(self.csharpIndicator.Current.Value - self.customWarmUp.Current.Value)
+            diff += abs(self.csharpIndicator.Current.Value - self.customNotWarmUp.Current.Value)
+            diff += abs(self.csharpIndicator.Current.Value - self.customNotInherit.Value)
+
+            # Check customNotWarmUp indicator is ready when the number of samples is bigger than its WarmUpPeriod parameter
+            assert(self.customNotWarmUp.IsReady == (self.customNotWarmUp.Samples >= 60)), "customNotWarmUp indicator was expected to be ready when the number of samples were bigger that its WarmUpPeriod parameter"
+
+            # Check their values are the same. We only need to check if customNotWarmUp indicator is ready because the other ones has already been asserted to be ready
+            assert(diff <= 1e-10 or (not self.customNotWarmUp.IsReady)), f"The values of the indicators are not the same. Indicators difference is {diff}"
+            
+# Python implementation of SimpleMovingAverage.
+# Represents the traditional simple moving average indicator (SMA) without Warm Up Period parameter defined
+class CSMANotWarmUp(PythonIndicator):
+    def __init__(self, name, period):
+        self.Name = name
+        self.Value = 0
+        self.queue = deque(maxlen=period)
+
+    # Update method is mandatory
+    def Update(self, input):
+        self.queue.appendleft(input.Value)
+        count = len(self.queue)
+        self.Value = np.sum(self.queue) / count
+        return count == self.queue.maxlen
+
+# Python implementation of SimpleMovingAverage.
+# Represents the traditional simple moving average indicator (SMA) With Warm Up Period parameter defined
+class CSMAWithWarmUp(CSMANotWarmUp):
+    def __init__(self, name, period):
+        super().__init__(name, period)
+        self.WarmUpPeriod = period
+
+# Custom python implementation of SimpleMovingAverage.
+# Represents the traditional simple moving average indicator (SMA)
+class CustomSMA():
+    def __init__(self, name, period):
+        self.Name = name
+        self.Value = 0
+        self.queue = deque(maxlen=period)
+        self.WarmUpPeriod = period
+        self.IsReady = False
+        self.Samples = 0
+
+    # Update method is mandatory
+    def Update(self, input):
+        self.Samples += 1
+        self.queue.appendleft(input.Value)
+        count = len(self.queue)
+        self.Value = np.sum(self.queue) / count
+        if count == self.queue.maxlen:
+            self.IsReady = True
+        return self.IsReady