Jhonathan Abreu
3888896ed4
* Add extendedMarket parameter to every history api method overload * Rename extendedMarketHours parameter New name is extendedHours as in the History API to standarize parameters naming * Update generic history overloads to use every matching subscription * Update regression algorithms stats * Centralize period-based history error for tick resolution * Rename extended market hours parameter to extendedMarketHours * Minor changes * Minor changes * Minor unit tests changes * Minor unit tests changes * Minor changes * Minor unit tests changes * Minor unit tests changes
124 lines
5.0 KiB
C#
124 lines
5.0 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.Interfaces;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm for testing that period-based history requests are not allowed with tick resolution
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/// </summary>
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public class PeriodBasedHistoryRequestNotAllowedWithTickResolutionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 08);
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SetEndDate(2013, 10, 09);
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var spy = AddEquity("SPY", Resolution.Tick).Symbol;
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// Tick resolution is not allowed for period-based history requests
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AssertThatHistoryThrowsForTickResolution(() => History<Tick>(spy, 1),
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"Tick history call with implicit tick resolution");
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AssertThatHistoryThrowsForTickResolution(() => History<Tick>(spy, 1, Resolution.Tick),
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"Tick history call with explicit tick resolution");
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AssertThatHistoryThrowsForTickResolution(() => History<Tick>(new [] { spy }, 1),
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"Tick history call with symbol array with implicit tick resolution");
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AssertThatHistoryThrowsForTickResolution(() => History<Tick>(new [] { spy }, 1, Resolution.Tick),
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"Tick history call with symbol array with explicit tick resolution");
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var history = History<Tick>(spy, TimeSpan.FromHours(12));
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if (history.Count() == 0)
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{
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throw new Exception("On history call with implicit tick resolution: history returned no results");
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}
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history = History<Tick>(spy, TimeSpan.FromHours(12), Resolution.Tick);
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if (history.Count() == 0)
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{
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throw new Exception("On history call with explicit tick resolution: history returned no results");
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}
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}
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private void AssertThatHistoryThrowsForTickResolution(Action historyCall, string historyCallDescription)
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{
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try
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{
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historyCall();
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throw new Exception($"{historyCallDescription}: expected an exception to be thrown");
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}
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catch (InvalidOperationException)
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{
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// expected
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}
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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, Language.Python };
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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 => 7682413;
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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 => 2736238;
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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", "0"},
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{"Tracking Error", "0"},
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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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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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