quantconnect--lean/Algorithm.CSharp/FuturesExpiredContractRegression.cs

/* 
 * 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 System.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Regression algorithm to test if expired futures contract chains are making their
    /// way into the timeslices being delivered to OnData()
    /// </summary>
    public class FuturesExpiredContractRegression : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private bool _receivedData;

        /// <summary>
        /// Initializes the algorithm state.
        /// </summary>
        public override void Initialize()
        {
            SetStartDate(2013, 10, 1);
            SetEndDate(2013, 12, 23);
            SetCash(1000000);

            // Subscribe to futures ES
            var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute, Market.CME, false);
            future.SetFilter(TimeSpan.FromDays(0), TimeSpan.FromDays(90));
        }

        public override void OnData(Slice data)
        {
            foreach (var chain in data.FutureChains)
            {
                _receivedData = true;

                foreach (var contract in chain.Value.OrderBy(x => x.Expiry))
                {
                    if (contract.Expiry.Date < Time.Date)
                    {
                        throw new Exception($"Received expired contract {contract} expired: {contract.Expiry} current time: {Time}");
                    }
                }
            }
        }

        public override void OnEndOfAlgorithm()
        {
            if (!_receivedData)
            {
                throw new Exception("No Futures chains were received in this regression");
            }
        }

        /// <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 Language[] Languages { get; } = { Language.CSharp };

        /// <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 Trades", "0"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Net Profit", "0%"},
            {"Sharpe 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", "-3.432"},
            {"Tracking Error", "0.098"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Fitness Score", "0"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
}