Martin Molinero
5b04cfe202
- Classic Algorithms will emight insights based on order fills. - To be able to update generated insights closed time, we will not clone emitted insights. - `InsightAnalysisContext` will update `AnalysisEndTimeUtc` when the Insight period is closed and the period is `EndOfTimeTimeSpan` - Adding new regression algorithm asserting on the new emitted insights - Adding unit tests - `LiveTradingResultHandler` will store `AlphaRunTimeStatistics` - Making `DefaultAlphaHandler.ProcessAsynchronousEvents` virtual to facilitate cloud changes
296 lines
11 KiB
C#
296 lines
11 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 System;
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using NUnit.Framework;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Algorithm.Framework.Alphas
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{
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[TestFixture]
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public class OrderBasedInsightGeneratorTests
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{
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private Security _security;
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[SetUp]
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public void SetUp()
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{
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var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true, true, false);
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_security = new Security(
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exchangeHours,
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config,
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void GeneratedPeriodAndCloseTimeAreSet(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 1 : -1,
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OrderFee.Zero
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),
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new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)));
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Assert.AreEqual(new DateTime(2013, 1, 1), insight.GeneratedTimeUtc);
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Assert.AreEqual(Time.EndOfTime, insight.CloseTimeUtc);
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Assert.AreEqual(Time.EndOfTimeTimeSpan, insight.Period);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void NoExistingHoldings(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 1 : -1,
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OrderFee.Zero
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),
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new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)));
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Assert.AreEqual(1, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Up : InsightDirection.Down, insight.Direction);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void ChangeMarketSide(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var holding =
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new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
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holding.SetHoldings(1, direction == OrderDirection.Buy ? -1 : 1);
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 2 : -2,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(1, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Up : InsightDirection.Down, insight.Direction);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void ClosePosition(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var holding =
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new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
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holding.SetHoldings(1, direction == OrderDirection.Buy ? -1 : 1);
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 1 : -1,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(1, insight.Confidence);
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Assert.AreEqual(InsightDirection.Flat, insight.Direction);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void IncreasePosition(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var holding =
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new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
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holding.SetHoldings(1, direction == OrderDirection.Buy ? 1 : -1);
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 1 : -1,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(1, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Up : InsightDirection.Down, insight.Direction);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void ReducePosition(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var holding =
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new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
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holding.SetHoldings(1, direction == OrderDirection.Buy ? -2 : 2);
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 1 : -1,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(0.5, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Down : InsightDirection.Up, insight.Direction);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void ReducePositionWithExistingInsight(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var holding = new SecurityHolding(_security,
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new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 2 : -2,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(1, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Up : InsightDirection.Down, insight.Direction);
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holding.SetHoldings(1, direction == OrderDirection.Buy ? 2 : -2);
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insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? -1 : 1,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(0.5, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Up : InsightDirection.Down, insight.Direction);
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holding.SetHoldings(1, direction == OrderDirection.Buy ? 1 : -1);
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insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? -0.5m: 0.5m,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(0.25, insight.Confidence);
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Assert.AreEqual(direction == OrderDirection.Buy
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? InsightDirection.Up : InsightDirection.Down, insight.Direction);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void ExistingInsightCloseTimeIsUpdated(OrderDirection direction)
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{
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var insightGenerator = new OrderBasedInsightGenerator();
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var holding = new SecurityHolding(_security,
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new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
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var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2013, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? 2 : -2,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(new DateTime(2013, 1, 1), insight.GeneratedTimeUtc);
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holding.SetHoldings(1, direction == OrderDirection.Buy ? 2 : -2);
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var insight2 = insightGenerator.GenerateInsightFromFill(new OrderEvent(
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1,
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Symbols.SPY,
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new DateTime(2015, 1, 1),
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OrderStatus.Filled,
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direction,
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1,
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direction == OrderDirection.Buy ? -1 : 1,
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OrderFee.Zero
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), holding);
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Assert.AreEqual(insight2.GeneratedTimeUtc, insight.CloseTimeUtc);
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// period will not change
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Assert.AreEqual(Time.EndOfTimeTimeSpan, insight.Period);
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}
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}
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}
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