Jhonathan Abreu
0472ce33d0
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property. Removed unnecessary import statements and redundant lines in various files.
239 lines
10 KiB
C#
239 lines
10 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.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm reproducing data type bugs in the Consolidate API. Related to GH 4205.
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/// </summary>
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public class ConsolidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private List<int> _consolidationCounts;
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private List<int> _expectedConsolidationCounts;
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private List<SimpleMovingAverage> _smas;
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private List<DateTime> _lastSmaUpdates;
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private int _customDataConsolidatorCount;
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private Future _future;
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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(2020, 01, 05);
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SetEndDate(2020, 01, 20);
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var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
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var symbol = FuturesChain(SP500).First();
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_future = AddFutureContract(symbol);
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var tradableDatesCount = QuantConnect.Time.EachTradeableDayInTimeZone(_future.Exchange.Hours,
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StartDate,
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EndDate,
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_future.Exchange.TimeZone,
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false).Count();
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_expectedConsolidationCounts = new(10);
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Consolidate<QuoteBar>(symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
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bar => UpdateQuoteBar(bar, 0));
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// The consolidator will respect the full 1 day bar span and will not consolidate the last tradable date,
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// since scan will not be called at 202/01/21 12am
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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Consolidate<QuoteBar>(symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
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TickType.Quote, bar => UpdateQuoteBar(bar, 1));
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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Consolidate<QuoteBar>(symbol, TimeSpan.FromDays(1), bar => UpdateQuoteBar(bar, 2));
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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Consolidate(symbol, Resolution.Daily, TickType.Quote, (Action<QuoteBar>)(bar => UpdateQuoteBar(bar, 3)));
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_expectedConsolidationCounts.Add(tradableDatesCount);
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Consolidate(symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 4));
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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Consolidate<TradeBar>(symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 5));
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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// Test using abstract T types, through defining a 'BaseData' handler
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Consolidate(symbol, Resolution.Daily, null, (Action<BaseData>)(bar => UpdateBar(bar, 6)));
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_expectedConsolidationCounts.Add(tradableDatesCount);
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Consolidate(symbol, TimeSpan.FromDays(1), null, (Action<BaseData>)(bar => UpdateBar(bar, 7)));
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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Consolidate(symbol, TimeSpan.FromDays(1), (Action<BaseData>)(bar => UpdateBar(bar, 8)));
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_expectedConsolidationCounts.Add(tradableDatesCount - 1);
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_consolidationCounts = Enumerable.Repeat(0, _expectedConsolidationCounts.Count).ToList();
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_smas = _consolidationCounts.Select(_ => new SimpleMovingAverage(10)).ToList();
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_lastSmaUpdates = _consolidationCounts.Select(_ => DateTime.MinValue).ToList();
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// custom data
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var customSecurity = AddData<CustomDataRegressionAlgorithm.Bitcoin>("BTC", Resolution.Minute);
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Consolidate<TradeBar>(customSecurity.Symbol, TimeSpan.FromDays(1), bar => _customDataConsolidatorCount++);
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try
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{
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Consolidate<QuoteBar>(customSecurity.Symbol, TimeSpan.FromDays(1), bar => { UpdateQuoteBar(bar, -1); });
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throw new RegressionTestException($"Expected {nameof(ArgumentException)} to be thrown");
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}
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catch (ArgumentException)
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{
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// will try to use BaseDataConsolidator for which input is TradeBars not QuoteBars
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}
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}
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private void UpdateBar(BaseData tradeBar, int position)
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{
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if (!(tradeBar is TradeBar))
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{
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throw new RegressionTestException("Expected a TradeBar");
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}
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_consolidationCounts[position]++;
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_smas[position].Update(tradeBar.EndTime, tradeBar.Value);
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_lastSmaUpdates[position] = tradeBar.EndTime;
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}
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private void UpdateTradeBar(TradeBar tradeBar, int position)
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{
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_consolidationCounts[position]++;
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_smas[position].Update(tradeBar.EndTime, tradeBar.High);
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_lastSmaUpdates[position] = tradeBar.EndTime;
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}
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private void UpdateQuoteBar(QuoteBar quoteBar, int position)
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{
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_consolidationCounts[position]++;
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_smas[position].Update(quoteBar.EndTime, quoteBar.High);
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_lastSmaUpdates[position] = quoteBar.EndTime;
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}
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public override void OnEndOfAlgorithm()
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{
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for (var i = 0; i < _consolidationCounts.Count; i++)
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{
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var consolidationCount = _consolidationCounts[i];
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var expectedConsolidationCount = _expectedConsolidationCounts[i];
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if (consolidationCount != expectedConsolidationCount)
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{
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throw new RegressionTestException($"Expected {expectedConsolidationCount} consolidations for consolidator {i} but received {consolidationCount}");
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}
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}
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if (_customDataConsolidatorCount == 0)
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{
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throw new RegressionTestException($"Unexpected custom data consolidation count: {_customDataConsolidatorCount}");
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}
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for (var i = 0; i < _smas.Count; i++)
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{
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if (_smas[i].Samples != _expectedConsolidationCounts[i])
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{
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throw new RegressionTestException($"Expected {_expectedConsolidationCounts} samples in each SMA but found {_smas[i].Samples} in SMA in index {i}");
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}
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if (_smas[i].Current.Time != _lastSmaUpdates[i])
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{
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throw new RegressionTestException($"Expected SMA in index {i} to have been last updated at {_lastSmaUpdates[i]} but was {_smas[i].Current.Time}");
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}
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}
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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if (!Portfolio.Invested && _future.HasData)
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{
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SetHoldings(_future.Symbol, 0.5);
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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 List<Language> Languages { get; } = new() { 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 => 14228;
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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 => 1;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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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 Orders", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "665.524%"},
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{"Drawdown", "1.500%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "109332.4"},
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{"Net Profit", "9.332%"},
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{"Sharpe Ratio", "9.805"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "93.474%"},
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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", "3.164"},
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{"Beta", "0.957"},
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{"Annual Standard Deviation", "0.383"},
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{"Annual Variance", "0.146"},
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{"Information Ratio", "8.29"},
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{"Tracking Error", "0.379"},
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{"Treynor Ratio", "3.917"},
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{"Total Fees", "$15.05"},
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{"Estimated Strategy Capacity", "$2100000000.00"},
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{"Lowest Capacity Asset", "ES XCZJLC9NOB29"},
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{"Portfolio Turnover", "64.34%"},
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{"OrderListHash", "d814db6d5a9c97ee6de477ea06cd3834"}
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};
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}
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}
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