/* * 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"} }; } }