Alexandre Catarino
2b0fd2e607
* Fixes Double to Decimal Cast in GetAnnualPerformance `GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`). See `ProbabilisticSharpeRatio` where the same solution was applied. * Updates SPY Market Data SPY is a key asset since it is the default benchmark, and any change can lead to different `Alpha` and `Beta` * Updates Unit Tests to Reflect Data Update * Updates Regression Tests to Reflect Data Update I Most of the regression tests change because of updated data (market and factors) of SPY (default benchmark) while the total trade remain the same. * Updates Regression Tests to Reflect Data Update II The following regression tests were changed to adapt to adjusted prices and keep the total trades: - `BacktestingBrokerageRegressionAlgorithm` - `LimitIfTouchedRegressionAlgorithm` - `PortfolioRebalanceOnCustomFuncRegressionAlgorithm` - `SetAccountCurrencySecurityMarginModelRegressionAlgorithm` - `StopLossOnOrderEventRegressionAlgorithm` - `TimeInForceAlgorithm` The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before: - `FreePortfolioValueRegressionAlgorithm` 2 -> 3 - `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 291 -> 298 - `TrailingStopRiskFrameworkAlgorithm` 5 -> 7 Especial cases: - `AutoRegressiveIntegratedMovingAverageRegressionAlgorithm` 65 -> 52 - ARIMA model sensibility - `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 19 - BLM model sensibility - `ExtendedMarketHoursHistoryRegressionAlgorithm` 20 -> 18 - Less minute bars before market opens * Addresses Peer-Review Fix `BacktestingBrokerageRegressionAlgorithm` to use `CalculateOrderQuantity` and round down `quantity` to an even number to pass a value assertion and update the expected value from 50 to 52. The quantity calculated by `CalculateOrderQuantity` has changed from 50 to 53 because of factor file update.
66 lines
3.3 KiB
Python
66 lines
3.3 KiB
Python
# 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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from QuantConnect import *
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from QuantConnect.Orders import *
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from QuantConnect.Algorithm import *
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from collections import deque
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from datetime import timedelta
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### <summary>
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### Basic algorithm demonstrating how to place LimitIfTouched orders.
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### </summary>
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### <meta name="tag" content="trading and orders" />
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### <meta name="tag" content="placing orders" />`
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### <meta name="tag" content="limit if touched order"/>
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class LimitIfTouchedRegressionAlgorithm(QCAlgorithm):
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_expectedEvents = deque([
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"Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 144.6434 USD LimitPrice: 144.3551 TriggerPrice: 143.6051 OrderFee: 1 USD",
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"Time: 10/10/2013 15:57:00 OrderID: 73 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 145.6636 USD LimitPrice: 145.6434 TriggerPrice: 144.8934 OrderFee: 1 USD",
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"Time: 10/11/2013 15:37:00 OrderID: 74 EventID: 11 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 146.7185 USD LimitPrice: 146.6723 TriggerPrice: 145.9223 OrderFee: 1 USD" ])
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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self.SetCash(100000)
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self.AddEquity("SPY")
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def OnData(self, data):
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if data.ContainsKey("SPY"):
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if len(self.Transactions.GetOpenOrders()) == 0:
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self._negative = 1 if self.Time.day < 9 else -1
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orderRequest = SubmitOrderRequest(OrderType.LimitIfTouched, SecurityType.Equity, "SPY",
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self._negative * 10, 0,
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data["SPY"].Price - self._negative,
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data["SPY"].Price - 0.25 * self._negative, self.UtcTime,
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f"LIT - Quantity: {self._negative * 10}")
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self._request = self.Transactions.AddOrder(orderRequest)
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return
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if self._request is not None:
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if self._request.Quantity == 1:
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self.Transactions.CancelOpenOrders()
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self._request = None
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return
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new_quantity = int(self._request.Quantity - self._negative)
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self._request.UpdateQuantity(new_quantity, f"LIT - Quantity: {new_quantity}")
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def OnOrderEvent(self, orderEvent):
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if orderEvent.Status == OrderStatus.Filled:
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expected = self._expectedEvents.popleft()
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if orderEvent.ToString() != expected:
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raise Exception(f"orderEvent {orderEvent.Id} differed from {expected}")
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