quantconnect--lean/Algorithm.CSharp/InternalSubscriptionHistoryRequestAlgorithm.cs

/*
 * 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.
*/

using System;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using System.Collections.Generic;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression algorithm asserting data returned by a history requests uses internal subscriptions correctly
    /// </summary>
    public class InternalSubscriptionHistoryRequestAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        /// <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(2013, 10, 07);
            SetEndDate(2013, 10, 11);

            AddEquity("AAPL", Resolution.Hour);
            SetBenchmark("SPY");
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                SetHoldings("AAPL", 1);

                var spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);

                var history = History(new[] { spy }, TimeSpan.FromDays(10));
                if (!history.Any() || !history.All(slice => slice.Bars.All(pair => pair.Value.Period == TimeSpan.FromHours(1))))
                {
                    throw new Exception("Unexpected history result for internal subscription");
                }

                // we add SPY using Daily > default benchmark using hourly
                AddEquity("SPY", Resolution.Daily);

                history = History(new[] { spy }, TimeSpan.FromDays(10));
                if (!history.Any() || !history.All(slice => slice.Bars.All(pair => pair.Value.Period == TimeSpan.FromDays(1))))
                {
                    throw new Exception("Unexpected history result for user subscription");
                }
            }
        }

        /// <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; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public Language[] Languages { get; } = { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 111;

        /// </summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 48;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "1"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "32.114%"},
            {"Drawdown", "2.300%"},
            {"Expectancy", "0"},
            {"Net Profit", "0.382%"},
            {"Sharpe Ratio", "5.488"},
            {"Probabilistic Sharpe Ratio", "60.047%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "-0.104"},
            {"Beta", "0.548"},
            {"Annual Standard Deviation", "0.179"},
            {"Annual Variance", "0.032"},
            {"Information Ratio", "-6.047"},
            {"Tracking Error", "0.165"},
            {"Treynor Ratio", "1.793"},
            {"Total Fees", "$32.11"},
            {"Estimated Strategy Capacity", "$66000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
            {"Fitness Score", "0.189"},
            {"Kelly Criterion Estimate", "0"},
            {"Kelly Criterion Probability Value", "0"},
            {"Sortino Ratio", "4.037"},
            {"Return Over Maximum Drawdown", "15.534"},
            {"Portfolio Turnover", "0.2"},
            {"Total Insights Generated", "0"},
            {"Total Insights Closed", "0"},
            {"Total Insights Analysis Completed", "0"},
            {"Long Insight Count", "0"},
            {"Short Insight Count", "0"},
            {"Long/Short Ratio", "100%"},
            {"Estimated Monthly Alpha Value", "$0"},
            {"Total Accumulated Estimated Alpha Value", "$0"},
            {"Mean Population Estimated Insight Value", "$0"},
            {"Mean Population Direction", "0%"},
            {"Mean Population Magnitude", "0%"},
            {"Rolling Averaged Population Direction", "0%"},
            {"Rolling Averaged Population Magnitude", "0%"},
            {"OrderListHash", "b7b8e83e4456e143c2c4c11fa31a1cf2"}
        };
    }
}