Add CSharp version

Author: Marinovsky

Algorithm.CSharp/BasicTemplateOptionsConsolidationAlgorithm.cs

@@ -0,0 +1,144 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// A demonstration of consolidating options data into larger bars for your algorithm.
+    /// </summary>
+    public class BasicTemplateOptionsConsolidationAlgorithm: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<Symbol, IDataConsolidator> _consolidators = new();
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 7);
+            SetEndDate(2013, 10, 11);
+            SetCash(1000000);
+
+            var option = AddOption("SPY");
+            option.SetFilter(-2, 2, 0, 189);
+        }
+
+        public void OnQuoteBarConsolidated(object sender, QuoteBar quoteBar)
+        {
+            Log($"OnQuoteBarConsolidated called on {Time}");
+            Log(quoteBar.ToString());
+        }
+
+        public void OnTradeBarConsolidated(object sender, TradeBar tradeBar)
+        {
+            Log($"OnQuoteBarConsolidated called on {Time}");
+            Log(tradeBar.ToString());
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach(var security in changes.AddedSecurities)
+            {
+                IDataConsolidator consolidator;
+                if (security.Type == SecurityType.Equity)
+                {
+                    consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(5));
+                    (consolidator as TradeBarConsolidator).DataConsolidated += OnTradeBarConsolidated;
+                }
+                else
+                {
+                    consolidator = new QuoteBarConsolidator(new TimeSpan(0, 5, 0));
+                    (consolidator as QuoteBarConsolidator).DataConsolidated += OnQuoteBarConsolidated;
+                }
+
+                SubscriptionManager.AddConsolidator(security.Symbol, consolidator);
+                _consolidators[security.Symbol] = consolidator;
+            }
+
+            foreach(var security in changes.RemovedSecurities)
+            {
+                _consolidators.Remove(security.Symbol, out var consolidator);
+                SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator);
+
+                if (security.Type == SecurityType.Equity)
+                {
+                    (consolidator as TradeBarConsolidator).DataConsolidated -= OnTradeBarConsolidated;
+                }
+                else
+                {
+                    (consolidator as QuoteBarConsolidator).DataConsolidated -= OnQuoteBarConsolidated;
+                }
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <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"},
+            {"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", "-8.91"},
+            {"Tracking Error", "0.223"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.Python/BasicTemplateOptionsConsolidationAlgorithm.py

@@ -34,9 +34,6 @@ def Initialize(self):
         option.SetFilter(-2, +2, 0, 180)
         # option.SetFilter(-2, +2, timedelta(0), timedelta(180))
         self.consolidators = dict()
-    
-    def OnData(self,slice):
-        pass
 
     def OnQuoteBarConsolidated(self, sender, quoteBar):
         self.Log("OnQuoteBarConsolidated called on " + str(self.Time))