/*
* 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.Interfaces;
using QuantConnect.Util;
namespace QuantConnect.Algorithm.CSharp
{
///
/// Algorithm illustrating how to get a security's industry-standard identifier from its
///
public class IndustryStandardSecurityIdentifiersRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
{
public override void Initialize()
{
SetStartDate(2014, 06, 05);
SetEndDate(2014, 06, 05);
var equity = AddEquity("AAPL").Symbol;
var cusip = equity.CUSIP;
var compositeFigi = equity.CompositeFIGI;
var sedol = equity.SEDOL;
var isin = equity.ISIN;
var cik = equity.CIK;
CheckSymbolRepresentation(cusip, "CUSIP");
CheckSymbolRepresentation(compositeFigi, "Composite FIGI");
CheckSymbolRepresentation(sedol, "SEDOL");
CheckSymbolRepresentation(isin, "ISIN");
CheckSymbolRepresentation($"{cik}", "CIK");
// Check Symbol API vs QCAlgorithm API
CheckAPIsSymbolRepresentations(cusip, CUSIP(equity), "CUSIP");
CheckAPIsSymbolRepresentations(compositeFigi, CompositeFIGI(equity), "Composite FIGI");
CheckAPIsSymbolRepresentations(sedol, SEDOL(equity), "SEDOL");
CheckAPIsSymbolRepresentations(isin, ISIN(equity), "ISIN");
CheckAPIsSymbolRepresentations($"{cik}", $"{CIK(equity)}", "CIK");
Log($"\nAAPL CUSIP: {cusip}" +
$"\nAAPL Composite FIGI: {compositeFigi}" +
$"\nAAPL SEDOL: {sedol}" +
$"\nAAPL ISIN: {isin}" +
$"\nAAPL CIK: {cik}");
}
private static void CheckSymbolRepresentation(string symbol, string standard)
{
if (symbol.IsNullOrEmpty())
{
throw new RegressionTestException($"{standard} symbol representation is null or empty");
}
}
private static void CheckAPIsSymbolRepresentations(string symbolApiSymbol, string algorithmApiSymbol, string standard)
{
if (symbolApiSymbol != algorithmApiSymbol)
{
throw new RegressionTestException($@"Symbol API {standard} symbol representation ({symbolApiSymbol}) does not match QCAlgorithm API {
standard} symbol representation ({algorithmApiSymbol})");
}
}
///
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
///
public bool CanRunLocally { get; } = true;
///
/// This is used by the regression test system to indicate which languages this algorithm is written in.
///
public List Languages { get; } = new() { Language.CSharp, Language.Python };
///
/// Data Points count of all timeslices of algorithm
///
public long DataPoints => 795;
///
/// Data Points count of the algorithm history
///
public int AlgorithmHistoryDataPoints => 0;
///
/// Final status of the algorithm
///
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
///
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
///
public Dictionary ExpectedStatistics => new Dictionary
{
{"Total Orders", "0"},
{"Average Win", "0%"},
{"Average Loss", "0%"},
{"Compounding Annual Return", "0%"},
{"Drawdown", "0%"},
{"Expectancy", "0"},
{"Start Equity", "100000"},
{"End Equity", "100000"},
{"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", "0"},
{"Tracking Error", "0"},
{"Treynor Ratio", "0"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", ""},
{"Portfolio Turnover", "0%"},
{"Drawdown Recovery", "0"},
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
};
}
}