quantconnect--lean/Algorithm.CSharp/CustomDataPropertiesRegressionAlgorithm.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Collections.Generic;
using System.Globalization;
using Newtonsoft.Json;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression test to demonstrate setting custom Symbol Properties and Market Hours for a custom data import
    /// </summary>
    /// <meta name="tag" content="using data" />
    /// <meta name="tag" content="custom data" />
    /// <meta name="tag" content="crypto" />
    /// <meta name="tag" content="regression test" />
    public class CustomDataPropertiesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private string _ticker = "BTC";
        private Security _bitcoin;

        /// <summary>
        /// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2011, 9, 13);
            SetEndDate(2015, 12, 01);

            //Set the cash for the strategy:
            SetCash(100000);

            // Define our custom data properties and exchange hours
            var properties = new SymbolProperties("Bitcoin", "USD", 1, 0.01m, 0.01m, _ticker);
            var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);

            // Add the custom data to our algorithm with our custom properties and exchange hours
            _bitcoin = AddData<Bitcoin>(_ticker, properties, exchangeHours);

            //Verify our symbol properties were changed and loaded into this security
            if (_bitcoin.SymbolProperties != properties)
            {
                throw new Exception("Failed to set and retrieve custom SymbolProperties for BTC");
            }

            //Verify our exchange hours were changed and loaded into this security
            if (_bitcoin.Exchange.Hours != exchangeHours)
            {
                throw new Exception("Failed to set and retrieve custom ExchangeHours for BTC");
            }

            // For regression purposes on AddData overloads, this call is simply to ensure Lean can accept this
            // with default params and is not routed to a breaking function.
            AddData<Bitcoin>("BTCUSD");
        }

        /// <summary>
        /// Event Handler for Bitcoin Data Events: These Bitcoin objects are created from our
        /// "Bitcoin" type below and fired into this event handler.
        /// </summary>
        /// <param name="data">One(1) Bitcoin Object, streamed into our algorithm synchronized in time with our other data streams</param>
        public void OnData(Bitcoin data)
        {
            //If we don't have any bitcoin "SHARES" -- invest"
            if (!Portfolio.Invested)
            {
                //Bitcoin used as a tradable asset, like stocks, futures etc.
                if (data.Close != 0)
                {
                    //Access custom data symbols using <ticker>.<custom-type>
                    Order("BTC.Bitcoin", Portfolio.MarginRemaining / Math.Abs(data.Close + 1));
                }
            }
        }

        public override void OnEndOfAlgorithm()
        {
            // Reset our Symbol property value, for testing purposes.
            SymbolPropertiesDatabase.SetEntry(Market.USA, MarketHoursDatabase.GetDatabaseSymbolKey(_bitcoin.Symbol), SecurityType.Base,
                SymbolProperties.GetDefault("USD"));
        }

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public Language[] Languages { get; } = { Language.CSharp, Language.Python };

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "1"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "155.262%"},
            {"Drawdown", "84.800%"},
            {"Expectancy", "0"},
            {"Net Profit", "5123.242%"},
            {"Sharpe Ratio", "2.067"},
            {"Probabilistic Sharpe Ratio", "68.833%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "1.732"},
            {"Beta", "0.037"},
            {"Annual Standard Deviation", "0.841"},
            {"Annual Variance", "0.707"},
            {"Information Ratio", "1.902"},
            {"Tracking Error", "0.848"},
            {"Treynor Ratio", "46.992"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Fitness Score", "0"},
            {"Kelly Criterion Estimate", "0"},
            {"Kelly Criterion Probability Value", "0"},
            {"Sortino Ratio", "2.238"},
            {"Return Over Maximum Drawdown", "1.832"},
            {"Portfolio Turnover", "0"},
            {"Total Insights Generated", "0"},
            {"Total Insights Closed", "0"},
            {"Total Insights Analysis Completed", "0"},
            {"Long Insight Count", "0"},
            {"Short Insight Count", "0"},
            {"Long/Short Ratio", "100%"},
            {"Estimated Monthly Alpha Value", "$0"},
            {"Total Accumulated Estimated Alpha Value", "$0"},
            {"Mean Population Estimated Insight Value", "$0"},
            {"Mean Population Direction", "0%"},
            {"Mean Population Magnitude", "0%"},
            {"Rolling Averaged Population Direction", "0%"},
            {"Rolling Averaged Population Magnitude", "0%"},
            {"OrderListHash", "1f54fb75ebcc0daafa5d45bfbaa4fbcb"}
        };

        /// <summary>
        /// Custom Data Type: Bitcoin data from Quandl - http://www.quandl.com/help/api-for-bitcoin-data
        /// </summary>
        public class Bitcoin : BaseData
        {
            [JsonProperty("timestamp")]
            public int Timestamp = 0;
            [JsonProperty("open")]
            public decimal Open = 0;
            [JsonProperty("high")]
            public decimal High = 0;
            [JsonProperty("low")]
            public decimal Low = 0;
            [JsonProperty("last")]
            public decimal Close = 0;
            [JsonProperty("bid")]
            public decimal Bid = 0;
            [JsonProperty("ask")]
            public decimal Ask = 0;
            [JsonProperty("vwap")]
            public decimal WeightedPrice = 0;
            [JsonProperty("volume")]
            public decimal VolumeBTC = 0;
            public decimal VolumeUSD = 0;

            /// <summary>
            /// 1. DEFAULT CONSTRUCTOR: Custom data types need a default constructor.
            /// We search for a default constructor so please provide one here. It won't be used for data, just to generate the "Factory".
            /// </summary>
            public Bitcoin()
            {
                Symbol = "BTC";
            }

            /// <summary>
            /// 2. RETURN THE STRING URL SOURCE LOCATION FOR YOUR DATA:
            /// This is a powerful and dynamic select source file method. If you have a large dataset, 10+mb we recommend you break it into smaller files. E.g. One zip per year.
            /// We can accept raw text or ZIP files. We read the file extension to determine if it is a zip file.
            /// </summary>
            /// <param name="config">Configuration object</param>
            /// <param name="date">Date of this source file</param>
            /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
            /// <returns>String URL of source file.</returns>
            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
            {
                if (isLiveMode)
                {
                    return new SubscriptionDataSource("https://www.bitstamp.net/api/ticker/", SubscriptionTransportMedium.Rest);
                }

                //return "http://my-ftp-server.com/futures-data-" + date.ToString("Ymd") + ".zip";
                // OR simply return a fixed small data file. Large files will slow down your backtest
                return new SubscriptionDataSource("https://www.quantconnect.com/api/v2/proxy/quandl/api/v3/datasets/BCHARTS/BITSTAMPUSD.csv?order=asc&api_key=WyAazVXnq7ATy_fefTqm", SubscriptionTransportMedium.RemoteFile);
            }

            /// <summary>
            /// 3. READER METHOD: Read 1 line from data source and convert it into Object.
            /// Each line of the CSV File is presented in here. The backend downloads your file, loads it into memory and then line by line
            /// feeds it into your algorithm
            /// </summary>
            /// <param name="line">string line from the data source file submitted above</param>
            /// <param name="config">Subscription data, symbol name, data type</param>
            /// <param name="date">Current date we're requesting. This allows you to break up the data source into daily files.</param>
            /// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
            /// <returns>New Bitcoin Object which extends BaseData.</returns>
            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
            {
                var coin = new Bitcoin();
                if (isLiveMode)
                {
                    //Example Line Format:
                    //{"high": "441.00", "last": "421.86", "timestamp": "1411606877", "bid": "421.96", "vwap": "428.58", "volume": "14120.40683975", "low": "418.83", "ask": "421.99"}
                    try
                    {
                        coin = JsonConvert.DeserializeObject<Bitcoin>(line);
                        coin.EndTime = DateTime.UtcNow.ConvertFromUtc(config.ExchangeTimeZone);
                        coin.Value = coin.Close;
                    }
                    catch { /* Do nothing, possible error in json decoding */ }
                    return coin;
                }

                //Example Line Format:
                //Date      Open   High    Low     Close   Volume (BTC)    Volume (Currency)   Weighted Price
                //2011-09-13 5.8    6.0     5.65    5.97    58.37138238,    346.0973893944      5.929230648356
                try
                {
                    string[] data = line.Split(',');
                    coin.Time = DateTime.Parse(data[0], CultureInfo.InvariantCulture);
                    coin.Open = Convert.ToDecimal(data[1], CultureInfo.InvariantCulture);
                    coin.High = Convert.ToDecimal(data[2], CultureInfo.InvariantCulture);
                    coin.Low = Convert.ToDecimal(data[3], CultureInfo.InvariantCulture);
                    coin.Close = Convert.ToDecimal(data[4], CultureInfo.InvariantCulture);
                    coin.VolumeBTC = Convert.ToDecimal(data[5], CultureInfo.InvariantCulture);
                    coin.VolumeUSD = Convert.ToDecimal(data[6], CultureInfo.InvariantCulture);
                    coin.WeightedPrice = Convert.ToDecimal(data[7], CultureInfo.InvariantCulture);
                    coin.Value = coin.Close;
                }
                catch { /* Do nothing, skip first title row */ }

                return coin;
            }
        }
    }
}