JosueNina
f7ce35ae82
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* Implement Session class * Use MarketHourAwareConsolidator inside Session * Delete SecurityCacheSessionConfig * Refactor session class * Solve review comments * Fix regression algorithms * Add null check to AvailableDataTypes * Update session class * Solve new review comments * Add new test for futures and update regression test to PEP8 * Add new regression algorithm for Session with futures * Resolve review comments * Add local time keeper to SecurityCache * Scan on consolidator updates and time updates * Add new regression algorithms and unit tests * Add unit tests and improve comments * Fix syntax test * Solve review comments * Add regression algorithms * Resolve review comments * Make SessionConsolidator implement IDataConsolidator * Add caching to avoid recreating SessionBar instances on every access * Solve review comments * Make SessionConsolidator inherit from MarketHourAwareConsolidator * Add unit test to verify Session preserves previous day values * Update regression algorithms * Solve review comments * Resolve review comments * Solve new review comments * Add unit test for Session class * Refactor SessionBar properties and Update method * Use WorkingDataInstance reference instead of _workingData.Clone() * Use a delegate to get the workingBar instance * Fix bug in MarketHourAwareConsolidator * Solve review comments * Handle OI values * Add regression algorithms for future contracts and options * Solve review comments * Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase * Prevent overlapping higher resolution data * Update tests * Solve review comments * Minor tweaks
70 lines
2.7 KiB
C#
70 lines
2.7 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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namespace QuantConnect.Algorithm.CSharp
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{
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public class SecuritySessionWithDailyResolutionRegressionAlgorithm : SecuritySessionRegressionAlgorithm
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{
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protected override Resolution Resolution => Resolution.Daily;
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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 override List<Language> Languages { get; } = new() { Language.CSharp };
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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 override long DataPoints => 48;
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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 => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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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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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino 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", "-8.91"},
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{"Tracking Error", "0.223"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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