Jhonathan Abreu
8e35155c40
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* Adapted futures commission fees for IB * Unit tests * Some cleanup * Fix exchange fees * Update regression algorithms stats * Update unit tests
91 lines
4.0 KiB
C#
91 lines
4.0 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.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm reproducing issue #5160 where delisting order would be cancelled because it was placed at the market close on the delisting day,
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/// in the case of daily resolution.
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/// </summary>
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public class DelistingFutureOptionDailyRegressionAlgorithm : DelistingFutureOptionRegressionAlgorithm
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{
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protected override Resolution Resolution => Resolution.Daily;
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protected override void PlaceOrder(Symbol symbol)
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{
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// We place a limit order because on daily resolution, data may come at a time when market is closed, so market orders are not allowed.
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// Also, we use a very high limit price to ensure the order is filled right away with the next bar.
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LimitOrder(symbol, 1, Securities[symbol].AskPrice * 2m);
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}
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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 => 13223;
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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 Trades", "16"},
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{"Average Win", "0.01%"},
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{"Average Loss", "-0.02%"},
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{"Compounding Annual Return", "-0.154%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "-0.708"},
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{"Net Profit", "-0.155%"},
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{"Sharpe Ratio", "-1.144"},
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{"Probabilistic Sharpe Ratio", "0.000%"},
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{"Loss Rate", "80%"},
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{"Win Rate", "20%"},
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{"Profit-Loss Ratio", "0.46"},
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{"Alpha", "-0.001"},
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{"Beta", "-0"},
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{"Annual Standard Deviation", "0.001"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.078"},
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{"Tracking Error", "0.107"},
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{"Treynor Ratio", "2.447"},
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{"Total Fees", "$19.76"},
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{"Estimated Strategy Capacity", "$2400000.00"},
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{"Lowest Capacity Asset", "DC V5E8PHPRCHJ8|DC V5E8P9SH0U0X"},
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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", "-0.381"},
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{"Return Over Maximum Drawdown", "-0.995"},
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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", "c545276e7159e2b6fd1202e5a23b6190"}
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};
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}
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}
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