Add WarmupFutureRegressionAlgorithm

Algorithm.CSharp/WarmupFutureRegressionAlgorithm.cs

@@ -0,0 +1,188 @@
+/*
+ * 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.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the behavior of future warmup
+    /// </summary>
+    public class WarmupFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private List<DateTime> _continuousWarmupTimes = new();
+        private List<DateTime> _chainWarmupTimes = new();
+        // S&P 500 EMini futures
+        private const string RootSP500 = Futures.Indices.SP500EMini;
+        public Symbol SP500 = QuantConnect.Symbol.Create(RootSP500, SecurityType.Future, Market.CME);
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 08);
+            SetEndDate(2013, 10, 10);
+
+            var futureSP500 = AddFuture(RootSP500);
+            futureSP500.SetFilter(TimeSpan.Zero, TimeSpan.FromDays(182));
+
+            SetWarmUp(1, Resolution.Daily);
+        }
+
+        /// <summary>
+        /// Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override for receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if(IsWarmingUp && slice.ContainsKey(SP500))
+            {
+                if (Securities[SP500].AskPrice == 0)
+                {
+                    throw new Exception("Continuous contract price is not set!");
+                }
+                _continuousWarmupTimes.Add(Time);
+            }
+
+            foreach (var chain in slice.FutureChains)
+            {
+                // find the front contract expiring no earlier than in 90 days
+                var contract = (
+                    from futuresContract in chain.Value.OrderBy(x => x.Expiry)
+                    where futuresContract.Expiry > Time.Date.AddDays(90)
+                    select futuresContract
+                ).FirstOrDefault();
+
+                // if found, trade it
+                if (contract != null)
+                {
+                    if (IsWarmingUp)
+                    {
+                        if (contract.AskPrice == 0)
+                        {
+                            throw new Exception("Contract price is not set!");
+                        }
+                        _chainWarmupTimes.Add(Time);
+                    }
+                    else if (!Portfolio.Invested && IsMarketOpen(contract.Symbol))
+                    {
+                        MarketOrder(contract.Symbol, 1);
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            AssertDataTime(new DateTime(2013, 10, 07, 0, 0, 0), new DateTime(2013, 10, 08, 0, 0, 0), _chainWarmupTimes);
+            AssertDataTime(new DateTime(2013, 10, 06, 20, 1, 0), new DateTime(2013, 10, 08, 0, 0, 0), _continuousWarmupTimes);
+        }
+
+        private void AssertDataTime(DateTime start, DateTime end, List<DateTime> times)
+        {
+            var count = 0;
+            do
+            {
+                if (Securities[SP500].Exchange.Hours.IsOpen(start.AddMinutes(-1), true))
+                {
+                    if (times[count] != start)
+                    {
+                        throw new Exception($"Unexpected time {times[count]} expected {start}");
+                    }
+                    // if the market is closed there will be no data, so stop moving the index counter
+                    count++;
+                }
+                start = start.AddMinutes(1);
+            }
+            while (start < end);
+        }
+
+        /// <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 => 88834;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "224.153%"},
+            {"Drawdown", "1.500%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0.971%"},
+            {"Sharpe Ratio", "35.085"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-5.591"},
+            {"Beta", "0.727"},
+            {"Annual Standard Deviation", "0.176"},
+            {"Annual Variance", "0.031"},
+            {"Information Ratio", "-151.136"},
+            {"Tracking Error", "0.066"},
+            {"Treynor Ratio", "8.515"},
+            {"Total Fees", "$1.85"},
+            {"Estimated Strategy Capacity", "$5500000.00"},
+            {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
+            {"Fitness Score", "0.208"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "17.639"},
+            {"Return Over Maximum Drawdown", "126.711"},
+            {"Portfolio Turnover", "0.208"},
+            {"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", "4a00c10c083332bf19a18ce24ab6d687"}
+        };
+    }
+}

Algorithm.CSharp/WarmupOptionRegressionAlgorithm.cs

@@ -88,7 +88,7 @@ public override void OnEndOfAlgorithm()
             {
                 if (_optionWarmupTimes[count] != start)
                 {
-                    throw new Exception($"Unexpecte time {_optionWarmupTimes[count]} expected {start}");
+                    throw new Exception($"Unexpected time {_optionWarmupTimes[count]} expected {start}");
                 }
                 count++;
                 start = start.AddMinutes(1);

Engine/DataFeeds/Enumerators/Factories/BaseDataSubscriptionEnumeratorFactory.cs

@@ -83,6 +83,7 @@ public IEnumerator<BaseData> CreateEnumerator(SubscriptionRequest request, IData
                 var entriesForDate = factory.Read(source);
                 foreach (var entry in entriesForDate)
                 {
+                    // note that tradable dates are returned in data time zone and lean expects data to be emited in exchange time zone
                     yield return entry;
                 }
             }