Jhonathan Abreu
09db45c91d
* Make sure continuous futures universe selection is performed right away on the start of the algorithm. This ensures the Future.Mapped is not null * Minor changes * Minor fixes * Update regression algorithms stats * Add DC futures map file * Update DC futures map file * Update regression algorithms stats * Include ETFs for immediate universe selection * Include Coarse Fundamentals for immediate universe selection * Include Futures Chain Universe for immediate selection * Add Option Chain Universe test * Include custom universes for immediate selection * Minor updates * Include constituents universes for immediate selection * Minor update * Minor changes, docs and stats updates * Minor changes * Minor changes and clean up * Minor regression algorithm stat update
82 lines
3.8 KiB
Python
82 lines
3.8 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.
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### </summary>
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class ETFConstituentUniverseCompositeDelistingRegressionAlgorithm(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.universeSelectionDone = False
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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 = self.AddEquity("GDVD", Resolution.Hour).Symbol
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self.AddUniverse(self.Universe.ETF(self.gdvd, self.UniverseSettings, self.FilterETFs))
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def FilterETFs(self, constituents):
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self.universeSelectionDone = True
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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(set(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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# Since we added the etf subscription it will get delisted and send us a removal event
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expectedChangesCount = self.universeSymbolCount + 1
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if self.universeSelectionDone:
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# "_universeSymbolCount + 1" because selection is done right away,
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# so AddedSecurities includes all ETF constituents (including APPL) plus GDVD
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self.universeAdded = self.universeAdded or len(changes.AddedSecurities) == expectedChangesCount
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# TODO: shouldn't be sending AAPL as a removed security since it was added by another universe
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self.universeRemoved = self.universeRemoved or (
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len(changes.RemovedSecurities) == expectedChangesCount and
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self.UtcTime.date() >= self.delistingDate and
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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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