Martin-Molinero
b9f616b454
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* Set security cache open interest from chain universe data - The option and future security caches now update the open interest cache property from stored chain universe data points (OptionUniverse, FutureUniverse), which the algorithm manager pushes into the security caches - Add index option and future option specific security caches, mapped in the SecurityCacheProvider, which previously fell through to the base SecurityCache - Add regression algorithms asserting the behavior for equity options, index options and futures Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> * Guard against empty data lists when updating open interest StoreData is public API, add an UpdateOpenInterest overload taking the data list which checks the count before accessing the last data point Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> --------- Co-authored-by: Claude Fable 5 <noreply@anthropic.com>
78 lines
2.9 KiB
C#
78 lines
2.9 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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*/
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that the index option security cache open interest is set from the chain universe data open interest
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/// </summary>
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public class IndexOptionUniverseOpenInterestRegressionAlgorithm : OptionUniverseOpenInterestRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2021, 1, 4);
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SetEndDate(2021, 1, 5);
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SetCash(100000);
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var option = AddIndexOption("SPX");
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option.SetFilter(universe => universe.Contracts(contracts => contracts.Where(x => x.OpenInterest != 0).Take(10)));
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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 => 14433;
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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", "-17.826"},
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{"Tracking Error", "0.077"},
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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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