Ronit Jain
d1ff914e5a
Regression Tests / build (push) Has been cancelled
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265 lines
10 KiB
C#
265 lines
10 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm which reproduces GH issue #5079, where option chain universes would sometimes not get removed from the
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/// UniverseManager causing new universes not to get added
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/// </summary>
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public class OptionChainUniverseRemovalRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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// initialize our changes to nothing
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private SecurityChanges _changes = SecurityChanges.None;
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private int _optionCount;
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private Symbol _lastEquityAdded;
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private Symbol _aapl;
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public override void Initialize()
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{
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_aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
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UniverseSettings.Resolution = Resolution.Minute;
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SetStartDate(2014, 06, 06);
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SetEndDate(2014, 06, 10);
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var toggle = true;
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var selectionUniverse = AddUniverse(enumerable =>
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{
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if (toggle)
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{
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toggle = false;
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return new []{ _aapl };
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}
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toggle = true;
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return Enumerable.Empty<Symbol>();
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});
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AddUniverseOptions(selectionUniverse, universe =>
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{
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if (universe.Underlying == null)
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{
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throw new Exception("Underlying data point is null! This shouldn't happen, each OptionChainUniverse handles and should provide this");
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}
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return universe.IncludeWeeklys()
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.BackMonth() // back month so that they don't get removed because of being delisted
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.Contracts(universe.Take(5));
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});
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}
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public override void OnData(Slice data)
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{
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// if we have no changes, do nothing
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if (_changes == SecurityChanges.None ||
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_changes.AddedSecurities.Any(security => security.Price == 0))
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{
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return;
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}
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Debug(GetStatusLog());
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foreach (var security in _changes.AddedSecurities)
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{
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if (!security.Symbol.HasUnderlying)
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{
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_lastEquityAdded = security.Symbol;
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}
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else
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{
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// options added should all match prev added security
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if (security.Symbol.Underlying != _lastEquityAdded)
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{
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throw new Exception($"Unexpected symbol added {security.Symbol}");
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}
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_optionCount++;
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}
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}
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_changes = SecurityChanges.None;
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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Debug($"{GetStatusLog()}. CHANGES {changes}");
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if (Time.Day == 6)
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{
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if (Time.Hour != 0 && Time.Hour != 9)
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{
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throw new Exception($"Unexpected SecurityChanges time: {Time} {changes}");
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}
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if (changes.RemovedSecurities.Count != 0)
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{
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throw new Exception($"Unexpected removals: {changes}");
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}
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if (Time.Hour == 0)
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{
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// first we expect the equity to get Added
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if (changes.AddedSecurities.Count != 1 || changes.AddedSecurities[0].Symbol != _aapl)
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{
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throw new Exception($"Unexpected SecurityChanges: {changes}");
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}
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}
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else
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{
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// later we expect the options to be Added
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if (changes.AddedSecurities.Count != 5 || changes.AddedSecurities.Any(security => security.Symbol.SecurityType != SecurityType.Option))
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{
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throw new Exception($"Unexpected SecurityChanges: {changes}");
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}
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}
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}
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// We expect the equity to get Removed
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else if (Time.Day == 7)
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{
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if (Time.Hour != 0)
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{
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throw new Exception($"Unexpected SecurityChanges time: {Time} {changes}");
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}
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if (changes.AddedSecurities.Count != 0)
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{
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throw new Exception($"Unexpected additions: {changes}");
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}
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if (changes.RemovedSecurities.Count != 1 || changes.RemovedSecurities[0].Symbol != _aapl)
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{
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throw new Exception($"Unexpected SecurityChanges: {changes}");
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}
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}
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// We expect the options to get Removed, happens in the next loop after removing the equity
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else if (Time.Day == 9)
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{
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if (Time.Hour != 0)
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{
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throw new Exception($"Unexpected SecurityChanges time: {Time} {changes}");
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}
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// later we expect the options to be Removed
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if (changes.RemovedSecurities.Count != 6
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// the removal of the raw underlying subscription from the option chain universe
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|| changes.RemovedSecurities.Single(security => security.Symbol.SecurityType != SecurityType.Option).Symbol != _aapl
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// the removal of the 5 option contracts
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|| changes.RemovedSecurities.Count(security => security.Symbol.SecurityType == SecurityType.Option) != 5)
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{
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throw new Exception($"Unexpected SecurityChanges: {changes}");
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}
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}
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_changes += changes;
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}
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public override void OnEndOfAlgorithm()
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{
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if (_optionCount == 0)
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{
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throw new Exception("Option universe chain did not add any option!");
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}
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if (UniverseManager.Any(pair => pair.Value.DisposeRequested))
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{
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throw new Exception("There shouldn't be any disposed universe, they should be removed and replaced by new universes");
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}
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}
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private string GetStatusLog()
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{
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Plot("Status", "UniverseCount", UniverseManager.Count);
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Plot("Status", "SubscriptionCount", SubscriptionManager.Subscriptions.Count());
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Plot("Status", "ActiveSymbolsCount", UniverseManager.ActiveSecurities.Count);
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return $"{Time} | UniverseCount {UniverseManager.Count}. " +
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$"SubscriptionCount {SubscriptionManager.Subscriptions.Count()}. " +
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$"ActiveSymbols {string.Join(",", UniverseManager.ActiveSecurities.Keys)}";
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public Language[] Languages { get; } = { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 921994;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-9.522"},
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{"Tracking Error", "0.006"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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