quantconnect--lean/Algorithm.CSharp/ContinuousFuturesDailyRegressionAlgorithm.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 QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Securities;
using QuantConnect.Data.Market;
using System.Collections.Generic;
using QuantConnect.Securities.Future;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Continuous Futures Regression algorithm asserting bug fix for GH issue #6840
    /// </summary>
    public class ContinuousFuturesDailyRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private SymbolChangedEvent _symbolChangedEvent;
        private Future _continuousContract;
        private decimal _previousFactor;

        /// <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, 08);
            SetEndDate(2013, 12, 25);

            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
                dataNormalizationMode: DataNormalizationMode.ForwardPanamaCanal,
                dataMappingMode: DataMappingMode.LastTradingDay,
                contractDepthOffset: 0,
                resolution: Resolution.Daily
            );
        }

        /// <summary>
        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
        /// </summary>
        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
        public override void OnData(Slice slice)
        {
            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
            {
                if (changedEvent.Symbol == _continuousContract.Symbol)
                {
                    _symbolChangedEvent = changedEvent;
                    Log($"{Time} - SymbolChanged event: {changedEvent}. New expiration {_continuousContract.Mapped.ID.Date}");
                }
            }

            if (!slice.Bars.TryGetValue(_continuousContract.Symbol, out var continuousBar))
            {
                return;
            }

            var mappedBar = Securities[_continuousContract.Mapped].Cache.GetData<TradeBar>();
            if (mappedBar == null || continuousBar.EndTime != mappedBar.EndTime)
            {
                return;
            }
            var priceFactor = continuousBar.Close - mappedBar.Close;
            Debug($"{Time} - Price factor {priceFactor}");

            if(_symbolChangedEvent != null)
            {
                if(_previousFactor == priceFactor)
                {
                    throw new RegressionTestException($"Price factor did not change after symbol changed! {Time} {priceFactor}");
                }

                Quit("We asserted what we wanted");
            }
            _previousFactor = priceFactor;
        }

        public override void OnEndOfAlgorithm()
        {
            if (_symbolChangedEvent == null)
            {
                throw new RegressionTestException("Unexpected a symbol changed event but got none!");
            }
        }

        /// <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 List<Language> Languages { get; } = new() { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 848;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 0;

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <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 Orders", "0"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000"},
            {"End Equity", "100000"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "-4.63"},
            {"Tracking Error", "0.088"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
            {"Portfolio Turnover", "0%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
}