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Adjust lower-resolution fill-forwarded strict end-timed daily bars (#…
…8412) * Adjust lower-resolution fill-forwarded daily bars when strict end times is enabled This allows to get fill-forwarded bars with unchanged time stamps * Minor fixes * Minor test data changes * Fixes and comments * Address peer review and add some fixes * Minor fix and add regression algorithm * Minor fix
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Algorithm.CSharp/StrictEndTimeLowerResolutionFillForwardRegressionAlgorithm.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,253 @@ | ||
| /* | ||
| * 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.Data.Consolidators; | ||
| using QuantConnect.Data.Market; | ||
| using QuantConnect.Interfaces; | ||
| using QuantConnect.Securities; | ||
| using QuantConnect.Util; | ||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression algorithm asserting fill forwarded data behavior for consolidators and indicators. | ||
| /// 1. Test that the on-consolidated event is not called for fill forwarded data in identity and higher period consolidators | ||
| /// 2. Test that the intra-day fill-forwarded data is not fed to indicators | ||
| /// </summary> | ||
| public class StrictEndTimeLowerResolutionFillForwardRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private Security _aapl; | ||
|
|
||
| private BaseData _lastNonFilledForwardedData; | ||
| private int _dataCount; | ||
| private int _indicatorUpdateCount; | ||
|
|
||
| protected virtual bool ExtendedMarketHours => false; | ||
|
|
||
| public override void Initialize() | ||
| { | ||
| SetStartDate(2013, 10, 07); | ||
| SetEndDate(2013, 10, 30); | ||
|
|
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| Settings.DailyPreciseEndTime = true; | ||
|
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| // Fill forward resolution will be minute | ||
| AddEquity("SPY", Resolution.Minute); | ||
| _aapl = AddEquity("AAPL", Resolution.Daily, extendedMarketHours: ExtendedMarketHours); | ||
|
|
||
| var tradableDates = QuantConnect.Time.EachTradeableDayInTimeZone(_aapl.Exchange.Hours, StartDate, EndDate, | ||
| _aapl.Exchange.TimeZone, _aapl.IsExtendedMarketHours).ToList(); | ||
|
|
||
| TestIdentityConsolidator(tradableDates); | ||
| TestHigherPeriodConsolidator(tradableDates); | ||
| TestIndicator(tradableDates); | ||
| } | ||
|
|
||
| private void TestIdentityConsolidator(List<DateTime> tradableDates) | ||
| { | ||
| var i = 0; | ||
| var consolidator = Consolidate<TradeBar>(_aapl.Symbol, TimeSpan.FromDays(1), (bar) => | ||
| { | ||
| var expectedDate = tradableDates[i++]; | ||
| var schedule = LeanData.GetDailyCalendar(expectedDate.AddDays(1), _aapl.Exchange, false); | ||
|
|
||
| if (bar.Time != schedule.Start || bar.EndTime != schedule.End) | ||
| { | ||
| throw new RegressionTestException($"Unexpected consolidated bar time. " + | ||
| $"Expected: [{schedule.Start} - {schedule.End}], Actual: [{bar.Time} - {bar.EndTime}]"); | ||
| } | ||
|
|
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| Debug($"Consolidated (identity) :: {bar}"); | ||
| }); | ||
|
|
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| if (consolidator is not IdentityDataConsolidator<TradeBar>) | ||
| { | ||
| throw new RegressionTestException($"Unexpected consolidator type. " + | ||
| $"Expected {typeof(IdentityDataConsolidator<TradeBar>)} but was {consolidator.GetType()}"); | ||
| } | ||
| } | ||
|
|
||
| private void TestHigherPeriodConsolidator(List<DateTime> tradableDates) | ||
| { | ||
| var i = 0; | ||
| // Add a consolidator to assert that fill forward data is not used | ||
| Consolidate<TradeBar>(_aapl.Symbol, TimeSpan.FromDays(2), (bar) => | ||
| { | ||
| var expectedStartDate = tradableDates[i++]; | ||
| var startDateSchedule = LeanData.GetDailyCalendar(expectedStartDate.AddDays(1), _aapl.Exchange, false); | ||
|
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| var expectedStartTime = startDateSchedule.Start; | ||
| var expectedEndTime = expectedStartTime.AddDays(2); | ||
|
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| if (bar.Time != expectedStartTime || bar.EndTime != expectedEndTime) | ||
| { | ||
| throw new RegressionTestException($"Unexpected consolidated bar time. " + | ||
| $"Expected: [{expectedStartTime} - {expectedEndTime}], Actual: [{bar.Time} - {bar.EndTime}]"); | ||
| } | ||
|
|
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| if (tradableDates[i] == expectedStartDate.AddDays(1)) | ||
| { | ||
| i++; | ||
| } | ||
|
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| Debug($"Consolidated (2 days) :: {bar}"); | ||
| }); | ||
| } | ||
|
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||
| private void TestIndicator(List<DateTime> tradableDates) | ||
| { | ||
| var i = 0; | ||
| EMA(_aapl.Symbol, 3, Resolution.Daily).Updated += (sender, data) => | ||
| { | ||
| _indicatorUpdateCount++; | ||
|
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| var expectedEndTime = _aapl.Exchange.Hours.GetNextMarketClose(tradableDates[i++], false); | ||
| if (data.EndTime != expectedEndTime) | ||
| { | ||
| throw new RegressionTestException($"Unexpected EMA time. Expected: {expectedEndTime}, Actual: {data.EndTime}"); | ||
| } | ||
|
|
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| Debug($"EMA :: [{data.EndTime}] {data}"); | ||
| }; | ||
| } | ||
|
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| public override void OnData(Slice slice) | ||
| { | ||
| if (slice.TryGetValue(_aapl.Symbol, out var data)) | ||
| { | ||
| var baseData = data as BaseData; | ||
| if (!baseData.IsFillForward) | ||
| { | ||
| _lastNonFilledForwardedData = baseData; | ||
| } | ||
|
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||
| var timeInExchangeTz = UtcTime.ConvertFromUtc(_aapl.Exchange.TimeZone); | ||
| var daySchedule = LeanData.GetDailyCalendar(timeInExchangeTz, _aapl.Exchange, false); | ||
|
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||
| if (timeInExchangeTz == daySchedule.End) | ||
| { | ||
| if (baseData.IsFillForward) | ||
| { | ||
| throw new RegressionTestException("End of day data should not be fill forward for daily subscription when data is available"); | ||
| } | ||
| } | ||
| else | ||
| { | ||
| if (!baseData.IsFillForward | ||
| || _lastNonFilledForwardedData == null | ||
| || _lastNonFilledForwardedData.Time.Date != baseData.Time.Date | ||
| || _lastNonFilledForwardedData.EndTime.Date != baseData.EndTime.Date) | ||
| { | ||
| throw new RegressionTestException("Data should be fill forward to minute resolution during the day"); | ||
| } | ||
| } | ||
|
|
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| _dataCount++; | ||
| } | ||
| } | ||
|
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| public override void OnEndOfAlgorithm() | ||
| { | ||
| var tradableDates = QuantConnect.Time.EachTradeableDay(_aapl, StartDate.AddDays(1), EndDate, ExtendedMarketHours); | ||
| var tradableDatesCount = 1; | ||
| var expectedDataCount = 1; // One for the first day | ||
| foreach (var date in tradableDates) | ||
| { | ||
| tradableDatesCount++; | ||
| var hours = _aapl.Exchange.Hours.GetMarketHours(date); | ||
| foreach (var segment in hours.Segments) | ||
| { | ||
| if (ExtendedMarketHours || segment.State == MarketHoursState.Market) | ||
| { | ||
| expectedDataCount += (int)(segment.End - segment.Start).TotalMinutes; | ||
| } | ||
| } | ||
| } | ||
|
|
||
| if (_dataCount != expectedDataCount) | ||
| { | ||
| throw new RegressionTestException($"Unexpected data count. Expected: {expectedDataCount}, Actual: {_dataCount}"); | ||
| } | ||
|
|
||
| if (_indicatorUpdateCount != tradableDatesCount) | ||
| { | ||
| throw new RegressionTestException($"Unexpected indicator update count. Expected: {tradableDatesCount}, Actual: {_indicatorUpdateCount}"); | ||
| } | ||
| } | ||
|
|
||
| /// <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 virtual long DataPoints => 20805; | ||
|
|
||
| /// <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; | ||
|
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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 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", "-7.12"}, | ||
| {"Tracking Error", "0.109"}, | ||
| {"Treynor Ratio", "0"}, | ||
| {"Total Fees", "$0.00"}, | ||
| {"Estimated Strategy Capacity", "$0"}, | ||
| {"Lowest Capacity Asset", ""}, | ||
| {"Portfolio Turnover", "0%"}, | ||
| {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} | ||
| }; | ||
| } | ||
| } |
29 changes: 29 additions & 0 deletions
29
...harp/StrictEndTimeLowerResolutionFillForwardWithExtendedMarketHoursRegressionAlgorithm.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,29 @@ | ||
| /* | ||
| * 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. | ||
| */ | ||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression algorithm asserting fill forwarded data behavior for consolidators and indicators. | ||
| /// 1. Test that the on-consolidated event is not called for fill forwarded data in identity and higher period consolidators | ||
| /// 2. Test that the intra-day fill-forwarded data is not fed to indicators | ||
| /// </summary> | ||
| public class StrictEndTimeLowerResolutionFillForwardWithExtendedMarketHoursRegressionAlgorithm : StrictEndTimeLowerResolutionFillForwardRegressionAlgorithm | ||
| { | ||
| protected override bool ExtendedMarketHours => true; | ||
|
|
||
| public override long DataPoints => 30495; | ||
| } | ||
| } |
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