JosueNina
f7ce35ae82
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Implement Session class * Use MarketHourAwareConsolidator inside Session * Delete SecurityCacheSessionConfig * Refactor session class * Solve review comments * Fix regression algorithms * Add null check to AvailableDataTypes * Update session class * Solve new review comments * Add new test for futures and update regression test to PEP8 * Add new regression algorithm for Session with futures * Resolve review comments * Add local time keeper to SecurityCache * Scan on consolidator updates and time updates * Add new regression algorithms and unit tests * Add unit tests and improve comments * Fix syntax test * Solve review comments * Add regression algorithms * Resolve review comments * Make SessionConsolidator implement IDataConsolidator * Add caching to avoid recreating SessionBar instances on every access * Solve review comments * Make SessionConsolidator inherit from MarketHourAwareConsolidator * Add unit test to verify Session preserves previous day values * Update regression algorithms * Solve review comments * Resolve review comments * Solve new review comments * Add unit test for Session class * Refactor SessionBar properties and Update method * Use WorkingDataInstance reference instead of _workingData.Clone() * Use a delegate to get the workingBar instance * Fix bug in MarketHourAwareConsolidator * Solve review comments * Handle OI values * Add regression algorithms for future contracts and options * Solve review comments * Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase * Prevent overlapping higher resolution data * Update tests * Solve review comments * Minor tweaks
96 lines
3.6 KiB
C#
96 lines
3.6 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 System;
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm to validate Security.Session functionality.
|
|
/// Verifies that daily session bars (Open, High, Low, Close, Volume) are correctly after resolution change
|
|
/// </summary>
|
|
public class SecuritySessionWithChangeOfResolutionRegressionAlgorithm : SecuritySessionRegressionAlgorithm
|
|
{
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
if (changes.RemovedSecurities.Count > 0)
|
|
{
|
|
Security = AddEquity("SPY", Resolution.Minute);
|
|
}
|
|
}
|
|
|
|
public override void OnEndOfDay(Symbol symbol)
|
|
{
|
|
if (UtcTime.Date == new DateTime(2013, 10, 7))
|
|
{
|
|
var session = Security.Session;
|
|
// Check before removal
|
|
if (session.Open != Open
|
|
|| session.High != High
|
|
|| session.Low != Low
|
|
|| session.Close != Close
|
|
|| session.Volume != Volume)
|
|
{
|
|
throw new RegressionTestException("Mismatch in current session bar (OHLCV)");
|
|
}
|
|
RemoveSecurity(symbol);
|
|
SecurityWasRemoved = true;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 3170;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public override 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%"},
|
|
{"Drawdown Recovery", "0"},
|
|
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
|
};
|
|
}
|
|
}
|