Alexandre Catarino
2b0fd2e607
* Fixes Double to Decimal Cast in GetAnnualPerformance `GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`). See `ProbabilisticSharpeRatio` where the same solution was applied. * Updates SPY Market Data SPY is a key asset since it is the default benchmark, and any change can lead to different `Alpha` and `Beta` * Updates Unit Tests to Reflect Data Update * Updates Regression Tests to Reflect Data Update I Most of the regression tests change because of updated data (market and factors) of SPY (default benchmark) while the total trade remain the same. * Updates Regression Tests to Reflect Data Update II The following regression tests were changed to adapt to adjusted prices and keep the total trades: - `BacktestingBrokerageRegressionAlgorithm` - `LimitIfTouchedRegressionAlgorithm` - `PortfolioRebalanceOnCustomFuncRegressionAlgorithm` - `SetAccountCurrencySecurityMarginModelRegressionAlgorithm` - `StopLossOnOrderEventRegressionAlgorithm` - `TimeInForceAlgorithm` The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before: - `FreePortfolioValueRegressionAlgorithm` 2 -> 3 - `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 291 -> 298 - `TrailingStopRiskFrameworkAlgorithm` 5 -> 7 Especial cases: - `AutoRegressiveIntegratedMovingAverageRegressionAlgorithm` 65 -> 52 - ARIMA model sensibility - `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 19 - BLM model sensibility - `ExtendedMarketHoursHistoryRegressionAlgorithm` 20 -> 18 - Less minute bars before market opens * Addresses Peer-Review Fix `BacktestingBrokerageRegressionAlgorithm` to use `CalculateOrderQuantity` and round down `quantity` to an even number to pass a value assertion and update the expected value from 50 to 52. The quantity calculated by `CalculateOrderQuantity` has changed from 50 to 53 because of factor file update.
112 lines
5.2 KiB
Python
112 lines
5.2 KiB
Python
# 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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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.Orders import *
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from QuantConnect.Orders.TimeInForces import *
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from datetime import datetime
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### <summary>
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### Demonstration algorithm of time in force order settings.
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="using quantconnect" />
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### <meta name="tag" content="trading and orders" />
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class TimeInForceAlgorithm(QCAlgorithm):
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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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def Initialize(self):
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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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# The default time in force setting for all orders is GoodTilCancelled (GTC),
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# uncomment this line to set a different time in force.
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# We currently only support GTC and DAY.
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# self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
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self.symbol = self.AddEquity("SPY", Resolution.Minute).Symbol
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self.gtcOrderTicket1 = None
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self.gtcOrderTicket2 = None
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self.dayOrderTicket1 = None
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self.dayOrderTicket2 = None
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self.gtdOrderTicket1 = None
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self.gtdOrderTicket2 = None
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self.expectedOrderStatuses = {}
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# OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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# Arguments:
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# data: Slice object keyed by symbol containing the stock data
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def OnData(self, data):
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if self.gtcOrderTicket1 is None:
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# These GTC orders will never expire and will not be canceled automatically.
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self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilCanceled
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# this order will not be filled before the end of the backtest
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self.gtcOrderTicket1 = self.LimitOrder(self.symbol, 10, 100)
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self.expectedOrderStatuses[self.gtcOrderTicket1.OrderId] = OrderStatus.Submitted
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# this order will be filled before the end of the backtest
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self.gtcOrderTicket2 = self.LimitOrder(self.symbol, 10, 160)
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self.expectedOrderStatuses[self.gtcOrderTicket2.OrderId] = OrderStatus.Filled
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if self.dayOrderTicket1 is None:
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# These DAY orders will expire at market close,
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# if not filled by then they will be canceled automatically.
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self.DefaultOrderProperties.TimeInForce = TimeInForce.Day
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# this order will not be filled before market close and will be canceled
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self.dayOrderTicket1 = self.LimitOrder(self.symbol, 10, 140)
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self.expectedOrderStatuses[self.dayOrderTicket1.OrderId] = OrderStatus.Canceled
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# this order will be filled before market close
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self.dayOrderTicket2 = self.LimitOrder(self.symbol, 10, 180)
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self.expectedOrderStatuses[self.dayOrderTicket2.OrderId] = OrderStatus.Filled
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if self.gtdOrderTicket1 is None:
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# These GTD orders will expire on October 10th at market close,
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# if not filled by then they will be canceled automatically.
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self.DefaultOrderProperties.TimeInForce = TimeInForce.GoodTilDate(datetime(2013, 10, 10))
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# this order will not be filled before expiry and will be canceled
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self.gtdOrderTicket1 = self.LimitOrder(self.symbol, 10, 100)
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self.expectedOrderStatuses[self.gtdOrderTicket1.OrderId] = OrderStatus.Canceled
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# this order will be filled before expiry
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self.gtdOrderTicket2 = self.LimitOrder(self.symbol, 10, 160)
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self.expectedOrderStatuses[self.gtdOrderTicket2.OrderId] = OrderStatus.Filled
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# Order event handler. This handler will be called for all order events, including submissions, fills, cancellations.
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# This method can be called asynchronously, ensure you use proper locks on thread-unsafe objects
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def OnOrderEvent(self, orderEvent):
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self.Debug(f"{self.Time} {orderEvent}")
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# End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
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def OnEndOfAlgorithm(self):
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for orderId, expectedStatus in self.expectedOrderStatuses.items():
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order = self.Transactions.GetOrderById(orderId)
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if order.Status != expectedStatus:
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raise Exception(f"Invalid status for order {orderId} - Expected: {expectedStatus}, actual: {order.Status}") |