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- `ITimeRules` are expected to yield time date in UTC, fixing `Noon`, `Midnight` and `Every` - `ScheduledUniverseSelectionModel` will use UTC time zone by default since that is the default expected time zone `ITimeRule` provides - Adding regression test
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143
Algorithm.CSharp/TimeRulesDefaultTimeZoneRegressionAlgorithm.cs
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,143 @@ | ||
| /* | ||
| * 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.Algorithm.Framework.Selection; | ||
| using QuantConnect.Interfaces; | ||
|
|
||
| namespace QuantConnect.Algorithm.CSharp | ||
| { | ||
| /// <summary> | ||
| /// Regression algorithm which reproduces GH issue 3740. | ||
| /// We assert the methods are triggered at the correct algorithm time | ||
| /// </summary> | ||
| public class TimeRulesDefaultTimeZoneRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition | ||
| { | ||
| private int _scheduleEventEveryCallCount; | ||
| private int _scheduleEventNoonCallCount; | ||
| private int _scheduleEventMidnightCallCount; | ||
| private int _selectionMethodCallCount; | ||
|
|
||
| public override void Initialize() | ||
| { | ||
| SetStartDate(2017, 01, 01); | ||
| SetEndDate(2017, 02, 01); | ||
|
|
||
| SetUniverseSelection(new ScheduledUniverseSelectionModel( | ||
| DateRules.EveryDay(), | ||
| TimeRules.At(9, 31), | ||
| SelectSymbolsAt | ||
| )); | ||
|
|
||
| Schedule.On(DateRules.EveryDay(), TimeRules.Every(TimeSpan.FromHours(6)), () => | ||
| { | ||
| _scheduleEventEveryCallCount++; | ||
| if (Time.Hour != 0 | ||
| && Time.Hour != 6 | ||
| && Time.Hour != 12 | ||
| && Time.Hour != 18) | ||
| { | ||
| throw new Exception($"Unexpected every 6 hours scheduled event time: {Time}"); | ||
| } | ||
| }); | ||
|
|
||
| Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () => | ||
| { | ||
| _scheduleEventNoonCallCount++; | ||
| if (Time.Hour != 12) | ||
| { | ||
| throw new Exception($"Unexpected Noon scheduled event time: {Time}"); | ||
| } | ||
| }); | ||
|
|
||
| Schedule.On(DateRules.EveryDay(), TimeRules.Midnight, () => | ||
| { | ||
| _scheduleEventMidnightCallCount++; | ||
| if (Time.Hour != 0) | ||
| { | ||
| throw new Exception($"Unexpected Midnight scheduled event time: {Time}"); | ||
| } | ||
| }); | ||
| } | ||
|
|
||
| private IEnumerable<Symbol> SelectSymbolsAt(DateTime dateTime) | ||
| { | ||
| _selectionMethodCallCount++; | ||
| Log($"SelectSymbolsAt {Time}"); | ||
| if (Time.TimeOfDay != new TimeSpan(9, 31, 0)) | ||
| { | ||
| throw new Exception($"Expected 'SelectSymbolsAt' to be called at 9:31 algorithm time: {Time}"); | ||
| } | ||
| yield break; | ||
| } | ||
|
|
||
| public override void OnEndOfAlgorithm() | ||
| { | ||
| if (_selectionMethodCallCount != 32) | ||
| { | ||
| throw new Exception($"Unexpected universe selection call count: {_selectionMethodCallCount}"); | ||
| } | ||
| if (_scheduleEventEveryCallCount != 130) | ||
| { | ||
| throw new Exception($"Unexpected scheduled event call count: {_scheduleEventEveryCallCount}"); | ||
| } | ||
| if (_scheduleEventNoonCallCount != 32) | ||
| { | ||
| throw new Exception($"Unexpected scheduled event call count: {_scheduleEventNoonCallCount}"); | ||
| } | ||
| if (_scheduleEventMidnightCallCount != 33) | ||
| { | ||
| throw new Exception($"Unexpected scheduled event call count: {_scheduleEventMidnightCallCount}"); | ||
| } | ||
| } | ||
|
|
||
| /// <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"}, | ||
| {"Loss Rate", "0%"}, | ||
| {"Win Rate", "0%"}, | ||
| {"Profit-Loss Ratio", "0"}, | ||
| {"Alpha", "0"}, | ||
| {"Beta", "0"}, | ||
| {"Annual Standard Deviation", "0"}, | ||
| {"Annual Variance", "0"}, | ||
| {"Information Ratio", "0"}, | ||
| {"Tracking Error", "0"}, | ||
| {"Treynor Ratio", "0"}, | ||
| {"Total Fees", "$0.00"} | ||
| }; | ||
| } | ||
| } |
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