Juan José D'Ambrosio
765f2cab3b
* Add main exchange to map file minimum minimorum test * Add MainExchange to MapFilRow IEquatable implementation Also write CSV line correctly * Normalize exchanges Also add small test form MapFileRow * Exchange name normalization - Exchange name normalization. - Tick will protobuf `ExchangeCode` which will set existing `Exchange` * Include single character exchange code * Encode exchange as byte, Include exchange name as Enum * Update MapFileRow.cs to accept a byte instead a string for primary exchange * Fix issues in encoding exchanges map * Fix broken MapFile tests * Rename Main Exchange property in MapFileRow * Use BATS instead of BATSZ * Add primary exchange from map file * Move MapFilePrimaryExchangeProvider to its own file * Implement Char for primary exchange in map files * Fix broken tests after implementing char exchange into map file * Add a new constructor for MapFileRow it accepts a PrimaryExxchange object as parameter * Fix broken test WIP * Address review WIP * Handles unexpected encoded exchanges * Keep addressing review * Address review * Fix broken tests Make PrimaryExchange as default even if the IPrimaryExchangeProvider is not instantiated * Revert breaking change. * Add a check that resolved map file actually have content The issue that leads to this change was caused by a map file resolved to APC in the CoarseFundamentalTop3Algorithm. The resolver returns a not-null MapFile, but it is empty. To my best understand, the MapFile Resolver should return only existing map files in the map_files folder. But the LocalMapFileProvider returned a map file with a permtick that doesn't exist in the file system as CSV. * Set PrimaryExchange.UNKNOWN as default * Address review couple minor bugs - Use SID market instead of USA - Default ticke exchange is UNKNOWN * Update map files with latest format and latest info This include: - VXX, it was delisted, then VXXB appears and later it chnages from VXXB -> VXX - AAA delisting and a new listing with ticker AAA - FOXA ticker changue to TFCFA and later it was delisted * Update test after updating latest map files * Fix bug with factor files after updating map files * Fix bug with factor files after updating map files and revert statistics in regression tests * Update OrderHash in regression test Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
110 lines
4.2 KiB
C#
110 lines
4.2 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.Collections.Generic;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression test for consistency of hour data over a reverse split event in US equities.
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/// </summary>
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/// <meta name="tag" content="using data" />
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/// <meta name="tag" content="regression test" />
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public class HourReverseSplitRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _symbol;
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public override void Initialize()
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{
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SetStartDate(2013, 11, 7);
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SetEndDate(2013, 11, 8);
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SetCash(100000);
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SetBenchmark(x => 0);
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_symbol = AddEquity("VXX.1", Resolution.Hour).Symbol;
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}
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public void OnData(TradeBars tradeBars)
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{
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TradeBar bar;
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if (!tradeBars.TryGetValue(_symbol, out bar)) return;
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if (!Portfolio.Invested && Time.Date == EndDate.Date)
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{
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Buy(_symbol, 1);
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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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/// 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", "1"},
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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", "$1.00"},
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{"Fitness Score", "0"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "105744170"}
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};
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}
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}
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