Martin Molinero
a92bee5bf1
- Adding `IRealTimeHandler.OnSecurityChanged()` will be used to update the `OnEndOfDay` security related scheduled events - Adding `BaseRealTimeHandler.cs` to reduce code duplication in the `Backtesting` and `LiveTrading` `RealTimeHandlers` - Adding CSharp and Python regression tests - Deprecating `OnEndOfDay()` callback because of two reasons, mainly because Python does not support two methods with the same name, but also because different assets have different market close times. - `ScheduledEvents` set at the same time will now be deterministic
79 lines
3.5 KiB
Python
79 lines
3.5 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect
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# 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
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# 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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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Selection import *
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class OnEndOfDayRegressionAlgorithm(QCAlgorithm):
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'''Test algorithm verifying OnEndOfDay callbacks are called as expected. See GH issue 2865.'''
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def Initialize(self):
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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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self.SetStartDate(2013,10, 7)
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self.SetEndDate(2013,10,11)
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self.SetCash(100000)
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self._spySymbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA)
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self._bacSymbol = Symbol.Create("BAC", SecurityType.Equity, Market.USA)
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self._ibmSymbol = Symbol.Create("IBM", SecurityType.Equity, Market.USA)
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self._onEndOfDaySpyCallCount = 0
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self._onEndOfDayBacCallCount = 0
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self._onEndOfDayIbmCallCount = 0
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self.AddUniverse('my_universe_name', self.selection)
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def selection(self, time):
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if time.day == 8:
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return [self._spySymbol.Value, self._ibmSymbol.Value]
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return [self._spySymbol.Value]
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def OnEndOfDay(self, symbol):
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'''We expect it to be called on each day after the first selection process
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happens and the algorithm has a security in it
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'''
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if symbol == self._spySymbol:
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if self._onEndOfDaySpyCallCount == 0:
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# just the first time
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self.SetHoldings(self._spySymbol, 0.5)
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self.AddEquity("BAC")
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self._onEndOfDaySpyCallCount += 1
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if symbol == self._bacSymbol:
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if self._onEndOfDayBacCallCount == 0:
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# just the first time
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self.SetHoldings(self._bacSymbol, 0.5)
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self._onEndOfDayBacCallCount += 1
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if symbol == self._ibmSymbol:
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self._onEndOfDayIbmCallCount += 1
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self.Log("OnEndOfDay() called: " + str(self.UtcTime)
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+ ". SPY count " + str(self._onEndOfDaySpyCallCount)
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+ ". BAC count " + str(self._onEndOfDayBacCallCount)
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+ ". IBM count " + str(self._onEndOfDayIbmCallCount))
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def OnEndOfAlgorithm(self):
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'''Assert expected behavior'''
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if self._onEndOfDaySpyCallCount != 5:
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raise ValueError("OnEndOfDay(SPY) unexpected count call " + str(self._onEndOfDaySpyCallCount))
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if self._onEndOfDayBacCallCount != 4:
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raise ValueError("OnEndOfDay(BAC) unexpected count call " + str(self._onEndOfDayBacCallCount))
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if self._onEndOfDayIbmCallCount != 1:
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raise ValueError("OnEndOfDay(IBM) unexpected count call " + str(self._onEndOfDayIbmCallCount)) |