Martin-Molinero
3410832ccf
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Alpha holdings state - Alpha result packet will optionally provide the algorithms portfolio state * Rename * Convert AlphaStreamsPortfolio to data source * Improvements on AlphaStreams algorithm * Fix regression tests * Add unit tests for EW AS PCM and fixing bugs * Protobuf AlphaStreamsPortfoliot staState - Protobuf AlphaStreamsPortfolioState. Adding unit tests - Add variable TPV tests for EW ASPCM * Add alpha license to Organization response * Improvements EW AS PCM respects free portfolio value * Fixes - Update tests expected statistics results affected by MHDB custom data timezone fix - Fix for Extensions.IsCustomDataType * Fixed and adding more regression tests - Adding support and regression test with alpha consumer with different account currency - Adding support and regression test of a universe adding custom data types - Add support and regression test for algorithm alpha consumer with existing holdings * Add AlphaStreamsOrderEvent data type
88 lines
3.5 KiB
C#
88 lines
3.5 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 QuantConnect.Data.UniverseSelection;
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using QuantConnect.Data.Custom.AlphaStreams;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Selection;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example algorithm consuming an alpha streams portfolio state and trading based on it
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/// </summary>
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public class AlphaStreamsUniverseSelectionTemplateAlgorithm : AlphaStreamsBasicTemplateAlgorithm
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{
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2018, 04, 04);
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SetEndDate(2018, 04, 06);
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SetExecution(new ImmediateExecutionModel());
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Settings.MinimumOrderMarginPortfolioPercentage = 0.01m;
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SetPortfolioConstruction(new EqualWeightingAlphaStreamsPortfolioConstructionModel());
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SetUniverseSelection(new ScheduledUniverseSelectionModel(
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DateRules.EveryDay(),
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TimeRules.Midnight,
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SelectAlphas,
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new UniverseSettings(UniverseSettings)
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{
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SubscriptionDataTypes = new List<Tuple<Type, TickType>>
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{new(typeof(AlphaStreamsPortfolioState), TickType.Trade)},
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FillForward = false,
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}
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));
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}
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private IEnumerable<Symbol> SelectAlphas(DateTime dateTime)
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{
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Log($"SelectAlphas() {Time}");
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foreach (var alphaId in new[] {"623b06b231eb1cc1aa3643a46", "9fc8ef73792331b11dbd5429a"})
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{
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var alphaSymbol = new Symbol(SecurityIdentifier.GenerateBase(typeof(AlphaStreamsPortfolioState), alphaId, Market.USA),
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alphaId);
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yield return alphaSymbol;
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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 what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics
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{
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get
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{
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var result = base.ExpectedStatistics;
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result["Compounding Annual Return"] = "-13.200%";
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result["Information Ratio"] = "2.827";
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result["Tracking Error"] = "0.248";
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result["Fitness Score"] = "0.011";
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result["Return Over Maximum Drawdown"] = "-113.513";
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result["Portfolio Turnover"] = "0.023";
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return result;
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}
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}
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}
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}
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