Universes immediate selection (QuantConnect#7785)

* Make sure continuous futures universe selection is performed right away on the start of the algorithm. This ensures the Future.Mapped is not null * Minor changes * Minor fixes * Update regression algorithms stats * Add DC futures map file * Update DC futures map file * Update regression algorithms stats * Include ETFs for immediate universe selection * Include Coarse Fundamentals for immediate universe selection * Include Futures Chain Universe for immediate selection * Add Option Chain Universe test * Include custom universes for immediate selection * Minor updates * Include constituents universes for immediate selection * Minor update * Minor changes, docs and stats updates * Minor changes * Minor changes and clean up * Minor regression algorithm stat update
jhonabreul · Feb 21, 2024 · 09db45c · 09db45c
1 parent 64fe4ba
commit 09db45c
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Showing 80 changed files with 2,828 additions and 216 deletions.
diff --git a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs
@@ -116,7 +116,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 63;
+        public long DataPoints => 74;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs
@@ -93,7 +93,7 @@ public override void OnData(Slice data)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12164;
+        public long DataPoints => 12170;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -129,7 +129,7 @@ public override void OnData(Slice data)
             {"Estimated Strategy Capacity", "$2600000.00"},
             {"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"},
             {"Portfolio Turnover", "495.15%"},
-            {"OrderListHash", "39179b5e977b8bf5411fbd31896a7953"}
+            {"OrderListHash", "51ae811a9f7a26ae8eb96cdcefe1ab59"}
         };
     }
 }
diff --git a/...thm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs b/...thm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
@@ -220,7 +220,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 608372;
+        public long DataPoints => 608378;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -256,7 +256,7 @@ public override void OnEndOfAlgorithm()
             {"Estimated Strategy Capacity", "$760000.00"},
             {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"},
             {"Portfolio Turnover", "32.31%"},
-            {"OrderListHash", "b508146aff4ac449e9c6f502928e2115"}
+            {"OrderListHash", "8d248c2234fec09fbe09f86735fefd99"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs b/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs
@@ -118,7 +118,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713394;
+        public long DataPoints => 713395;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs b/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs
@@ -123,7 +123,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 2217324;
+        public long DataPoints => 2217325;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs
@@ -176,7 +176,7 @@ public void Dispose()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 1333;
+        public long DataPoints => 1334;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs
@@ -151,7 +151,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 75401;
+        public long DataPoints => 75403;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs
@@ -117,7 +117,7 @@ select futuresContract
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 14036;
+        public virtual long DataPoints => 14038;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs
@@ -136,7 +136,7 @@ public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorith
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 57752;
+        public virtual long DataPoints => 57754;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs
@@ -41,7 +41,7 @@ public class BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm : BasicTem
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 163392;
+        public override long DataPoints => 163410;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

diff --git a/Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs
@@ -140,7 +140,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public virtual long DataPoints => 48688;
+        public virtual long DataPoints => 48690;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs
@@ -47,7 +47,7 @@ public class BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm : Basic
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 147769;
+        public override long DataPoints => 147771;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs
@@ -41,7 +41,7 @@ public class BasicTemplateFuturesHourlyAlgorithm : BasicTemplateFuturesDailyAlgo
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 87391;
+        public override long DataPoints => 87393;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs
@@ -151,7 +151,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 224660;
+        public long DataPoints => 224662;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs
@@ -43,7 +43,7 @@ public class BasicTemplateFuturesWithExtendedMarketDailyAlgorithm : BasicTemplat
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 16263;
+        public override long DataPoints => 16265;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

diff --git a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs
@@ -41,7 +41,7 @@ public class BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm : BasicTempla
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public override long DataPoints => 228936;
+        public override long DataPoints => 228938;
 
         /// <summary>
         /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

diff --git a/Algorithm.CSharp/CoarseFundamentalImmediateSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/CoarseFundamentalImmediateSelectionRegressionAlgorithm.cs
@@ -0,0 +1,153 @@
+/*
+ * 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.Linq;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Data;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Assert that CoarseFundamentals universe selection happens right away after algorithm starts
+    /// </summary>
+    public class CoarseFundamentalImmediateSelectionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private const int NumberOfSymbols = 3;
+
+        private bool _initialSelectionDone;
+
+        public override void Initialize()
+        {
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2014, 03, 25);
+            SetEndDate(2014, 03, 30);
+            SetCash(100000);
+
+            AddUniverse(CoarseSelectionFunction);
+        }
+
+        // sort the data by daily dollar volume and take the top 'NumberOfSymbols'
+        public IEnumerable<Symbol> CoarseSelectionFunction(IEnumerable<CoarseFundamental> coarse)
+        {
+            if (!_initialSelectionDone)
+            {
+                if (Time != StartDate)
+                {
+                    throw new Exception($"CoarseSelectionFunction called at unexpected time. " +
+                        $"Expected it to be called on {StartDate} but was called on {Time}");
+                }
+            }
+
+            // sort descending by daily dollar volume
+            var sortedByDollarVolume = coarse.OrderByDescending(x => x.DollarVolume);
+
+            // take the top entries from our sorted collection
+            var top = sortedByDollarVolume.Take(NumberOfSymbols);
+
+            // we need to return only the symbol objects
+            return top.Select(x => x.Symbol);
+        }
+
+        public void OnData(Slice data)
+        {
+            Log($"OnData({UtcTime:o}): Keys: {string.Join(", ", data.Keys.OrderBy(x => x))}");
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            Log($"OnSecuritiesChanged({UtcTime:o}):: {changes}");
+
+            // This should also happen right away
+            if (!_initialSelectionDone)
+            {
+                _initialSelectionDone = true;
+
+                if (Time != StartDate)
+                {
+                    throw new Exception($"OnSecuritiesChanged called at unexpected time. " +
+                        $"Expected it to be called on {StartDate} but was called on {Time}");
+                }
+
+                if (changes.AddedSecurities.Count != NumberOfSymbols)
+                {
+                    throw new Exception($"Unexpected number of added securities. " +
+                        $"Expected {NumberOfSymbols} but was {changes.AddedSecurities.Count}");
+                }
+
+                if (changes.RemovedSecurities.Count != 0)
+                {
+                    throw new Exception($"Unexpected number of removed securities. " +
+                        $"Expected 0 but was {changes.RemovedSecurities.Count}");
+                }
+            }
+        }
+
+        /// <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>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 35405;
+
+        /// <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", "3.134"},
+            {"Tracking Error", "0.097"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}