Gerardo Salazar
cd9e451ead
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Adds support for ETF constituent universes
* Adds filtering for universe data if it doesn't match the
universe subscription type
* Update mapping for ALL underlying Symbols if
`Symbol.UpdateMappedSymbol(...)` is called. Required to support
constituent ETF universes that might have mapping events
* Delistings of composite constituent universe Symbol will result in
removal of universe securities.
* Added regression algorithms for ETF constituent mappings (C#/Python),
along with data required to run locally
* Refactor universe delistings in SubscriptionSynchronizer -
big thank you to @Martin-Molinero :)
* Address review: update regression algorithms and add explanatory comments
* Address review: add additional checks to delisting regression algorithms
* Adds new regression algorithm testing the addition of a universe
without calling AddEquity() and asserts same behavior
69 lines
3.4 KiB
Python
69 lines
3.4 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 AlgorithmImports import *
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### <summary>
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### Tests the delisting of the composite Symbol (ETF symbol) and the removal of
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### the universe and the symbol from the algorithm, without adding a subscription via AddEquity
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### </summary>
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class ETFConstituentUniverseCompositeDelistingRegressionAlgorithmNoAddEquityETF(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2020, 12, 1)
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self.SetEndDate(2021, 1, 31)
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self.SetCash(100000)
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self.universeSymbolCount = 0
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self.universeAdded = False
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self.universeRemoved = False
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self.UniverseSettings.Resolution = Resolution.Hour
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self.delistingDate = date(2021, 1, 21)
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self.aapl = self.AddEquity("AAPL", Resolution.Hour).Symbol
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self.gdvd = Symbol.Create("GDVD", SecurityType.Equity, Market.USA)
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self.AddUniverse(ETFConstituentsUniverse(self.gdvd, self.UniverseSettings, self.FilterETFs))
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def FilterETFs(self, constituents):
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if self.UtcTime.date() > self.delistingDate:
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raise Exception(f"Performing constituent universe selection on {self.UtcTime.strftime('%Y-%m-%d %H:%M:%S.%f')} after composite ETF has been delisted")
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constituentSymbols = [i.Symbol for i in constituents]
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self.universeSymbolCount = len(constituentSymbols)
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return constituentSymbols
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def OnData(self, data):
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if self.UtcTime.date() > self.delistingDate and any([i != self.aapl for i in data.Keys]):
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raise Exception("Received unexpected slice in OnData(...) after universe was deselected")
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if not self.Portfolio.Invested:
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self.SetHoldings(self.aapl, 0.5)
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def OnSecuritiesChanged(self, changes):
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if len(changes.AddedSecurities) != 0 and self.UtcTime.date() > self.delistingDate:
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raise Exception("New securities added after ETF constituents were delisted")
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self.universeAdded = self.universeAdded or len(changes.AddedSecurities) >= self.universeSymbolCount
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# Subtract 1 from universe Symbol count for AAPL, since it was manually added to the algorithm
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self.universeRemoved = self.universeRemoved or (len(changes.RemovedSecurities) == self.universeSymbolCount - 1 and self.UtcTime.date() >= self.delistingDate and self.UtcTime.date() < self.EndDate.date())
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def OnEndOfAlgorithm(self):
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if not self.universeAdded:
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raise Exception("ETF constituent universe was never added to the algorithm")
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if not self.universeRemoved:
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raise Exception("ETF constituent universe was not removed from the algorithm after delisting")
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if len(self.ActiveSecurities) > 2:
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raise Exception(f"Expected less than 2 securities after algorithm ended, found {len(self.Securities)}")
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