Colton Sellers
94d766ff89
* Have BrokerageModel determine default benchmark * Add DefaultBenchmark to Python wrapper * Handle Null benchmark case * Add NullBenchmarkRegressionAlgorithm * Refactor solution to have BrokerageModel return IBenchmark; also refactor QCAlgorithm benchmark handling * Always create a new security for benchmark * Drop security overload, Always create a new security for benchmark * Check our securities for a symbol matching the ticker before creating a new one * No Python version of this regression * Address review * Create shared SecurityBenchmark creator function * Add Python regression and needed FuncBenchmark constructor
70 lines
2.7 KiB
C#
70 lines
2.7 KiB
C#
/*
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* 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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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities;
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namespace QuantConnect.Benchmarks
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{
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/// <summary>
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/// Creates a benchmark defined by the closing price of a <see cref="Security"/> instance
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/// </summary>
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public class SecurityBenchmark : IBenchmark
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{
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/// <summary>
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/// The benchmark security
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/// </summary>
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public Security Security { get; }
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/// <summary>
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/// Initializes a new instance of the <see cref="SecurityBenchmark"/> class
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/// </summary>
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public SecurityBenchmark(Security security)
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{
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Security = security;
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}
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/// <summary>
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/// Evaluates this benchmark at the specified time in units of the account's currency.
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/// </summary>
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/// <param name="time">The time to evaluate the benchmark at</param>
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/// <returns>The value of the benchmark at the specified time
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/// in units of the account's currency.</returns>
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public decimal Evaluate(DateTime time)
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{
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return Security.Price * Security.QuoteCurrency.ConversionRate;
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}
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/// <summary>
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/// Helper function that will create a security with the given SecurityManager
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/// for a specific symbol and then create a SecurityBenchmark for it
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/// </summary>
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/// <param name="securities">SecurityService to create the security</param>
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/// <param name="symbol">The symbol to create a security benchmark with</param>
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/// <returns>The new SecurityBenchmark</returns>
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public static SecurityBenchmark CreateInstance(SecurityManager securities, Symbol symbol)
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{
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// Create the security from this symbol
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var security = securities.CreateSecurity(symbol,
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new List<SubscriptionDataConfig>(),
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leverage: 1,
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addToSymbolCache: false);
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return new SecurityBenchmark(security);
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}
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}
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} |