Jhonathan Abreu
a590147b9a
Modified algorithms to use futures contract objects directly instead of accessing their Symbol property. Removed unnecessary import statements and redundant lines in various files.
234 lines
9.0 KiB
C#
234 lines
9.0 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Interfaces;
|
|
using QuantConnect.Securities;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Securities.Future;
|
|
using System;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using System.Linq;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm asserting that continuous future universe selection happens right away for all futures.
|
|
/// An example case is ES and Milk futures, which have different time zones. ES is in New York and Milk is in Chicago.
|
|
/// ES selection would happen first just because of this, but all futures should have a mapped contract right away.
|
|
/// </summary>
|
|
public class ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
|
{
|
|
private Future _es;
|
|
private Future _milk;
|
|
|
|
private bool _dataReceived;
|
|
|
|
private DateTime _startDateUtc;
|
|
|
|
private DateTime _esSelectionTimeUtc;
|
|
private DateTime _milkSelectionTimeUtc;
|
|
|
|
private bool _securitiesChangedEventReceived;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2013, 10, 7);
|
|
SetEndDate(2013, 10, 11);
|
|
|
|
_startDateUtc = StartDate.ConvertToUtc(TimeZone);
|
|
|
|
// ES time zone is New York
|
|
_es = AddFuture(Futures.Indices.SP500EMini,
|
|
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
|
|
dataMappingMode: DataMappingMode.OpenInterestAnnual,
|
|
contractDepthOffset: 0,
|
|
extendedMarketHours: true);
|
|
|
|
// Milk time zone is Chicago, so market open will be after ES
|
|
_milk = AddFuture(Futures.Dairy.ClassIIIMilk,
|
|
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
|
|
dataMappingMode: DataMappingMode.OpenInterestAnnual,
|
|
contractDepthOffset: 0,
|
|
extendedMarketHours: true);
|
|
|
|
_es.SetFilter(universe =>
|
|
{
|
|
if (_esSelectionTimeUtc == DateTime.MinValue)
|
|
{
|
|
_esSelectionTimeUtc = universe.LocalTime.ConvertToUtc(_es.Exchange.TimeZone);
|
|
|
|
if (_esSelectionTimeUtc != _startDateUtc)
|
|
{
|
|
throw new RegressionTestException($"Expected ES universe selection to happen on algorithm start ({_startDateUtc}), " +
|
|
$"but happened on {_esSelectionTimeUtc}");
|
|
}
|
|
|
|
}
|
|
|
|
return universe;
|
|
});
|
|
|
|
_milk.SetFilter(universe =>
|
|
{
|
|
if (_milkSelectionTimeUtc == DateTime.MinValue)
|
|
{
|
|
_milkSelectionTimeUtc = universe.LocalTime.ConvertToUtc(_milk.Exchange.TimeZone);
|
|
|
|
if (_milkSelectionTimeUtc != _startDateUtc)
|
|
{
|
|
throw new RegressionTestException($"Expected DC universe selection to happen on algorithm start ({_startDateUtc}), " +
|
|
$"but happened on {_milkSelectionTimeUtc}");
|
|
}
|
|
}
|
|
|
|
return universe;
|
|
});
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
_dataReceived = true;
|
|
|
|
if (_es.Mapped == null)
|
|
{
|
|
throw new RegressionTestException("ES mapped contract is null");
|
|
}
|
|
|
|
// This is what we actually want to assert: even though Milk future time zone is 1 hour behind,
|
|
// we should have a mapped contract right away.
|
|
if (_milk.Mapped == null)
|
|
{
|
|
throw new RegressionTestException("DC mapped contract is null");
|
|
}
|
|
|
|
Log($"{slice.Time} :: ES Mapped Contract: {_es.Mapped}. DC Mapped Contract: {_milk.Mapped}");
|
|
}
|
|
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
if (!_securitiesChangedEventReceived)
|
|
{
|
|
_securitiesChangedEventReceived = true;
|
|
|
|
if (Time != StartDate)
|
|
{
|
|
throw new RegressionTestException($"Expected OnSecuritiesChanged to be called on algorithm start ({StartDate}), " +
|
|
$"but happened on {Time}");
|
|
}
|
|
|
|
if (_esSelectionTimeUtc == DateTime.MinValue)
|
|
{
|
|
throw new RegressionTestException("ES universe selection time was not set");
|
|
}
|
|
|
|
if (_milkSelectionTimeUtc == DateTime.MinValue)
|
|
{
|
|
throw new RegressionTestException("DC universe selection time was not set");
|
|
}
|
|
|
|
if (changes.AddedSecurities.Count == 0 || changes.RemovedSecurities.Count != 0)
|
|
{
|
|
throw new RegressionTestException($"Unexpected securities changes. Expected multiple securities added and none removed " +
|
|
$"but got {changes.AddedSecurities.Count} securities added and {changes.RemovedSecurities.Count} removed.");
|
|
}
|
|
|
|
if (!changes.AddedSecurities.Any(x => !x.Symbol.IsCanonical() && x.Symbol.Canonical == _es.Symbol))
|
|
{
|
|
throw new RegressionTestException($"Expected to find a multiple futures for ES");
|
|
}
|
|
|
|
if (!changes.AddedSecurities.Any(x => !x.Symbol.IsCanonical() && x.Symbol.Canonical == _milk.Symbol))
|
|
{
|
|
throw new RegressionTestException($"Expected to find a multiple futures for DC");
|
|
}
|
|
}
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
// Just a protection in case data is changed to make sure assertions in OnData were done.
|
|
if (!_dataReceived)
|
|
{
|
|
throw new RegressionTestException("No data was received so no checks were done");
|
|
}
|
|
|
|
if (!_securitiesChangedEventReceived)
|
|
{
|
|
throw new RegressionTestException("OnSecuritiesChanged was not called");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public List<Language> Languages { get; } = new() { Language.CSharp };
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public long DataPoints => 445961;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public int AlgorithmHistoryDataPoints => 0;
|
|
|
|
/// <summary>
|
|
/// Final status of the algorithm
|
|
/// </summary>
|
|
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Orders", "0"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "0%"},
|
|
{"Drawdown", "0%"},
|
|
{"Expectancy", "0"},
|
|
{"Start Equity", "100000"},
|
|
{"End Equity", "100000"},
|
|
{"Net Profit", "0%"},
|
|
{"Sharpe Ratio", "0"},
|
|
{"Sortino Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "-8.91"},
|
|
{"Tracking Error", "0.223"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$0.00"},
|
|
{"Estimated Strategy Capacity", "$0"},
|
|
{"Lowest Capacity Asset", ""},
|
|
{"Portfolio Turnover", "0%"},
|
|
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
|
};
|
|
}
|
|
}
|