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
88 lines
4.1 KiB
Python
88 lines
4.1 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 mapping of the ETF symbol that has a constituent universe attached to it and ensures
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### that data is loaded after the mapping event takes place.
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### </summary>
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class ETFConstituentUniverseFilterFunctionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2011, 2, 1)
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self.SetEndDate(2011, 4, 4)
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self.SetCash(100000)
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self.filterDateConstituentSymbolCount = {}
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self.constituentDataEncountered = {}
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self.constituentSymbols = []
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self.mappingEventOccurred = False
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self.UniverseSettings.Resolution = Resolution.Hour
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self.aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA)
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self.qqq = self.AddEquity("QQQ", Resolution.Daily).Symbol
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self.AddUniverse(ETFConstituentsUniverse(self.qqq, self.UniverseSettings, self.FilterETFs))
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def FilterETFs(self, constituents):
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constituentSymbols = [i.Symbol for i in constituents]
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if self.aapl not in constituentSymbols:
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raise Exception("AAPL not found in QQQ constituents")
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self.filterDateConstituentSymbolCount[self.UtcTime.date()] = len(constituentSymbols)
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for symbol in constituentSymbols:
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self.constituentSymbols.append(symbol)
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self.constituentSymbols = list(set(self.constituentSymbols))
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return constituentSymbols
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def OnData(self, data):
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if len(data.SymbolChangedEvents) != 0:
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for symbolChanged in data.SymbolChangedEvents.Values:
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if symbolChanged.Symbol != self.qqq:
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raise Exception(f"Mapped symbol is not QQQ. Instead, found: {symbolChanged.Symbol}")
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if symbolChanged.OldSymbol != "QQQQ":
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raise Exception(f"Old QQQ Symbol is not QQQQ. Instead, found: {symbolChanged.OldSymbol}")
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if symbolChanged.NewSymbol != "QQQ":
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raise Exception(f"New QQQ Symbol is not QQQ. Instead, found: {symbolChanged.NewSymbol}")
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self.mappingEventOccurred = True
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if self.qqq in data and len([i for i in data.Keys]) == 1:
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return
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if self.UtcTime.date() not in self.constituentDataEncountered:
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self.constituentDataEncountered[self.UtcTime.date()] = False
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if len([i for i in data.Keys if i in self.constituentSymbols]) != 0:
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self.constituentDataEncountered[self.UtcTime.date()] = True
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if not self.Portfolio.Invested:
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self.SetHoldings(self.aapl, 0.5)
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def OnEndOfAlgorithm(self):
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if len(self.filterDateConstituentSymbolCount) != 2:
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raise Exception(f"ETF constituent filtering function was not called 2 times (actual: {len(self.filterDateConstituentSymbolCount)}")
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if not self.mappingEventOccurred:
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raise Exception("No mapping/SymbolChangedEvent occurred. Expected for QQQ to be mapped from QQQQ -> QQQ");
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for constituentDate, constituentsCount in self.filterDateConstituentSymbolCount.items():
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if constituentsCount < 25:
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raise Exception(f"Expected 25 or more constituents in filter function on {constituentDate}, found {constituentsCount}")
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for constituentDate, constituentEncountered in self.constituentDataEncountered.items():
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if not constituentEncountered:
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raise Exception(f"Received data in OnData(...) but it did not contain any constituent data on {constituentDate.strftime('%Y-%m-%d %H:%M:%S.%f')}") |