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Daily data time adjustment (QuantConnect#8001)
* Daily data Time & EndTime Improvement - Adjust daily data Time & EndTime to actually reflect the time of the data used, for example US Equity from 9.30 to 4PM. Adding new unit and regression tests * Refactor solution to use enumerator - Refactor daily strict end times solution to be through enumerator usage, so it applies for history providers too * Minor fixes * Revert fill forward enumerator change - Revert FillForward enumerator causing stats changing, enhancing unit tests * Some cleanup * Improve handling of live trading FF enumerator - Improve handling of live trading FF enumerator, by adding support for bars to arrive with a delay so we can handle auction close/option prices or data providers which might have some delay making the data available. Adding new unit tests asserting the behavior
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70
Algorithm.CSharp/FillForwardStrictEndTimeDailyRegressionAlgorithm.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,70 @@ | ||
| /* | ||
| * 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.Collections.Generic; | ||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| public class FillForwardStrictEndTimeDailyRegressionAlgorithm : FillForwardStrictEndTimeHourRegressionAlgorithm | ||
| { | ||
| protected override int StartDate => 1; | ||
| protected override Resolution FillForwardResolution => Resolution.Daily; | ||
|
|
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| /// <summary> | ||
| /// Data Points count of all timeslices of algorithm | ||
| /// </summary> | ||
| public override long DataPoints => 100; | ||
|
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| /// </summary> | ||
| /// Data Points count of the algorithm history | ||
| /// </summary> | ||
| public override int AlgorithmHistoryDataPoints => 0; | ||
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| /// <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", "-0.878"}, | ||
| {"Tracking Error", "0.111"}, | ||
| {"Treynor Ratio", "0"}, | ||
| {"Total Fees", "$0.00"}, | ||
| {"Estimated Strategy Capacity", "$0"}, | ||
| {"Lowest Capacity Asset", ""}, | ||
| {"Portfolio Turnover", "0%"}, | ||
| {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} | ||
| }; | ||
| } | ||
| } |
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135
Algorithm.CSharp/FillForwardStrictEndTimeHourRegressionAlgorithm.cs
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,135 @@ | ||
| /* | ||
| * 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.Text; | ||
| using QuantConnect.Data; | ||
| using QuantConnect.Interfaces; | ||
| using System.Collections.Generic; | ||
|
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| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression algorithm asserting the behavior of fill forward when using daily strict end times | ||
| /// </summary> | ||
| public class FillForwardStrictEndTimeHourRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private readonly bool _updateExpectedData = false; | ||
| private readonly StringBuilder _data = new(); | ||
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| protected virtual string ExpectedDataFile => $"../../TestData/{GetType().Name}.zip"; | ||
| protected virtual int StartDate => 4; | ||
| protected virtual Resolution FillForwardResolution => Resolution.Hour; | ||
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| /// <summary> | ||
| /// Initialize your algorithm and add desired assets. | ||
| /// </summary> | ||
| public override void Initialize() | ||
| { | ||
| SetStartDate(2021, 1, StartDate); | ||
| SetEndDate(2021, 1, 15); | ||
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| AddIndex("SPX", Resolution.Daily); | ||
| AddEquity("SPY", FillForwardResolution); | ||
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| Settings.DailyStrictEndTimeEnabled = true; | ||
| } | ||
|
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| /// <summary> | ||
| /// Index EMA Cross trading index options of the index. | ||
| /// </summary> | ||
| public override void OnData(Slice data) | ||
| { | ||
| if (data.ContainsKey("SPX")) | ||
| { | ||
| var spxData = data.Bars["SPX"]; | ||
| var message = $"{Time} ==== FF {spxData.IsFillForward}. {spxData} {spxData.Time:HH:mm:ss}->{spxData.EndTime:HH:mm:ss}"; | ||
| _data.AppendLine(message); | ||
| Debug(message); | ||
| } | ||
| } | ||
|
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| public override void OnEndOfAlgorithm() | ||
| { | ||
| var data = _data.ToString(); | ||
| if (_updateExpectedData) | ||
| { | ||
| Compression.ZipData(ExpectedDataFile, new Dictionary<string, string>() { { "zip_entry_name.txt", data } }); | ||
| return; | ||
| } | ||
|
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| var expected = string.Join(';', Compression.ReadLines(ExpectedDataFile)).ReplaceLineEndings(""); | ||
| if (expected != data.ReplaceLineEndings(";").RemoveFromEnd(";")) | ||
| { | ||
| throw new Exception($"Unexpected data: \"{data}\"{Environment.NewLine}Expected: \"{expected}\""); | ||
| } | ||
| } | ||
|
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| /// <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; | ||
|
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| /// <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 }; | ||
|
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| /// <summary> | ||
| /// Data Points count of all timeslices of algorithm | ||
| /// </summary> | ||
| public virtual long DataPoints => 222; | ||
|
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| /// </summary> | ||
| /// Data Points count of the algorithm history | ||
| /// </summary> | ||
| public virtual int AlgorithmHistoryDataPoints => 0; | ||
|
|
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| /// <summary> | ||
| /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm | ||
| /// </summary> | ||
| public virtual 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", "-5.208"}, | ||
| {"Tracking Error", "0.103"}, | ||
| {"Treynor Ratio", "0"}, | ||
| {"Total Fees", "$0.00"}, | ||
| {"Estimated Strategy Capacity", "$0"}, | ||
| {"Lowest Capacity Asset", ""}, | ||
| {"Portfolio Turnover", "0%"}, | ||
| {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} | ||
| }; | ||
| } | ||
| } |
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