Gerardo Salazar
17ab10531a
* Fixes ETB/shortable regression algorithms that were previously failing
* Addresses review and fixes bug
* Fixes bug where orders would be denied regardless of direction
whenever they exceeded the absolute value of the shortable quantity
* Updates regression algorithm + statistics + simplifies test
* Fixes python regression algorithm
* Addresses review: removes comments and unneeded imports
111 lines
5.0 KiB
Python
111 lines
5.0 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 datetime import date
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import QuantConnect
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Brokerages import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Shortable import *
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from QuantConnect.Data.UniverseSelection import *
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from QuantConnect.Interfaces import *
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from QuantConnect import *
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class AllShortableSymbolsRegressionAlgorithmBrokerageModel(DefaultBrokerageModel):
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def __init__(self):
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self.ShortableProvider = LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", Market.USA)
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### <summary>
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### Tests filtering in coarse selection by shortable quantity
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### </summary>
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class AllShortableSymbolsCoarseSelectionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self._20140325 = date(2014, 3, 25);
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self._20140326 = date(2014, 3, 26);
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self._20140327 = date(2014, 3, 27);
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self._20140328 = date(2014, 3, 28);
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self._20140329 = date(2014, 3, 29);
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self.aapl = QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
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self.bac = QuantConnect.Symbol.Create("BAC", SecurityType.Equity, Market.USA);
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self.gme = QuantConnect.Symbol.Create("GME", SecurityType.Equity, Market.USA);
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self.goog = QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA);
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self.qqq = QuantConnect.Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
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self.spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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self.lastTradeDate = date(1, 1, 1);
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self.coarseSelected = {
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self._20140325: False,
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self._20140326: False,
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self._20140327: False,
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self._20140328: False
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}
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self.expectedSymbols = {
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self._20140325: [self.bac, self.qqq, self.spy],
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self._20140326: [self.spy],
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self._20140327: [self.aapl, self.bac, self.gme, self.qqq, self.spy],
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self._20140328: [self.goog],
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self._20140329: []
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}
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self.SetStartDate(2014, 3, 25);
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self.SetEndDate(2014, 3, 29);
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self.SetCash(10000000);
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self.AddUniverse(self.CoarseSelectionFunc);
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self.UniverseSettings.Resolution = QuantConnect.Resolution.Daily;
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self.SetBrokerageModel(AllShortableSymbolsRegressionAlgorithmBrokerageModel());
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def OnData(self, data):
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if self.Time.date() == self.lastTradeDate:
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return
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for symbol in self.ActiveSecurities.Keys:
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if not symbol in self.Portfolio or not self.Portfolio[symbol].Invested:
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if not self.Shortable(symbol):
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raise Exception(f"Expected {symbol} to be shortable on {self.Time}")
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# Buy at least once into all Symbols. Since daily data will always use
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# MOO orders, it makes the testing of liquidating buying into Symbols difficult
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self.MarketOrder(symbol, -float(self.ShortableQuantity(symbol)))
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self.lastTradeDate = self.Time.date()
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def CoarseSelectionFunc(self, coarse):
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shortableSymbols = self.AllShortableSymbols();
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selectedSymbols = list(sorted([x.Symbol for x in coarse if x.Symbol in shortableSymbols and shortableSymbols[x.Symbol] >= 500]))
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expectedMissing = 0;
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if self.Time.date() == self._20140327:
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gme = QuantConnect.Symbol.Create("GME", SecurityType.Equity, Market.USA);
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if gme not in shortableSymbols:
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raise Exception("Expected unmapped GME in shortable symbols list on 2014-03-27");
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if len([x.Symbol.Value for x in coarse if x.Symbol.Value == "GME"]) == 0:
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raise Exception("Expected mapped GME in coarse symbols on 2014-03-27");
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expectedMissing = 1;
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missing = [i for i in self.expectedSymbols[self.Time.date()] if i not in selectedSymbols]
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if (len(missing) != expectedMissing):
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raise Exception(f"Expected Symbols selected on {self.Time.date()} to match expected Symbols, but the following Symbols were missing: {', '.join([str(s) for s in missing])}")
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self.coarseSelected[self.Time.date()] = True;
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return selectedSymbols
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def OnEndOfAlgorithm(self):
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if not all(list(self.coarseSelected.values())):
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raise Exception(f"Expected coarse selection on all dates, but didn't run on: {', '.join([str(k) for k, v in self.coarseSelected.items() if not v])}") |