Merge pull request QuantConnect#4295 from Martin-Molinero/test-add-ne…

…w-order-submission-data-regression-algorithm

Add OrderSubmission data regression algorithm

Algorithm.CSharp/OrderSubmissionDataRegressionAlgorithm.cs

@@ -0,0 +1,128 @@
+/*
+ * 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.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// </summary>
+    public class OrderSubmissionDataRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<string, OrderSubmissionData> _orderSubmissionData = new Dictionary<string, OrderSubmissionData>();
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            AddEquity("SPY");
+            AddForex("EURUSD", Resolution.Hour);
+
+            Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
+            {
+                Liquidate();
+                foreach (var ticker in new[] {"SPY", "EURUSD"})
+                {
+                    PlaceTrade(ticker);
+                }
+            });
+        }
+        private void PlaceTrade(string ticker)
+        {
+            var ticket = MarketOrder(ticker, 1000);
+            var order = Transactions.GetOrderById(ticket.OrderId);
+            var data = order.OrderSubmissionData;
+            if (data == null || data.AskPrice == 0 || data.BidPrice == 0 || data.LastPrice == 0)
+            {
+                throw new Exception("Invalid Order Submission data detected");
+            }
+
+            if (_orderSubmissionData.ContainsKey(ticker))
+            {
+                var previous = _orderSubmissionData[ticker];
+                if (previous.AskPrice == data.AskPrice || previous.BidPrice == data.BidPrice || previous.LastPrice == data.LastPrice)
+                {
+                    throw new Exception("Order Submission data didn't change");
+                }
+            }
+            _orderSubmissionData[ticker] = data;
+        }
+
+        /// <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", "18"},
+            {"Average Win", "0.88%"},
+            {"Average Loss", "-0.95%"},
+            {"Compounding Annual Return", "292.584%"},
+            {"Drawdown", "3.400%"},
+            {"Expectancy", "0.204"},
+            {"Net Profit", "1.780%"},
+            {"Sharpe Ratio", "11.819"},
+            {"Probabilistic Sharpe Ratio", "66.758%"},
+            {"Loss Rate", "38%"},
+            {"Win Rate", "62%"},
+            {"Profit-Loss Ratio", "0.93"},
+            {"Alpha", "1.037"},
+            {"Beta", "1.548"},
+            {"Annual Standard Deviation", "0.34"},
+            {"Annual Variance", "0.116"},
+            {"Information Ratio", "17.385"},
+            {"Tracking Error", "0.12"},
+            {"Treynor Ratio", "2.597"},
+            {"Total Fees", "$45.00"},
+            {"Fitness Score", "0.986"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "9.332"},
+            {"Return Over Maximum Drawdown", "45.085"},
+            {"Portfolio Turnover", "2.728"},
+            {"Total Insights Generated", "0"},
+            {"Total Insights Closed", "0"},
+            {"Total Insights Analysis Completed", "0"},
+            {"Long Insight Count", "0"},
+            {"Short Insight Count", "0"},
+            {"Long/Short Ratio", "100%"},
+            {"Estimated Monthly Alpha Value", "$0"},
+            {"Total Accumulated Estimated Alpha Value", "$0"},
+            {"Mean Population Estimated Insight Value", "$0"},
+            {"Mean Population Direction", "0%"},
+            {"Mean Population Magnitude", "0%"},
+            {"Rolling Averaged Population Direction", "0%"},
+            {"Rolling Averaged Population Magnitude", "0%"},
+            {"OrderListHash", "-809947807"}
+        };
+    }
+}

Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj

@@ -185,6 +185,7 @@
     <Compile Include="MarginRemainingRegressionAlgorithm.cs" />
     <Compile Include="NoMarginCallExpectedRegressionAlgorithm.cs" />
     <Compile Include="ObjectStoreExampleAlgorithm.cs" />
+    <Compile Include="OrderSubmissionDataRegressionAlgorithm.cs" />
     <Compile Include="RegisterIndicatorRegressionAlgorithm.cs" />
     <Compile Include="ScheduledEventsOrderRegressionAlgorithm.cs" />
     <Compile Include="SectorWeightingFrameworkAlgorithm.cs" />