public void SubSamples()
{
var series = new Series {
Name = "name"
};
var reference = DateTime.UtcNow.Date;
series.AddPoint(reference, 1m);
series.AddPoint(reference.AddDays(1), 2m);
series.AddPoint(reference.AddDays(2), 3m);
series.AddPoint(reference.AddDays(3), 4m);
series.AddPoint(reference.AddDays(4), 5m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddDays(1), reference.AddDays(2));
Assert.AreEqual(2, sampled.Values.Count);
Assert.AreEqual(series.Values[1].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[1].y, sampled.Values[0].y);
Assert.AreEqual(series.Values[2].x, sampled.Values[1].x);
Assert.AreEqual(series.Values[2].y, sampled.Values[1].y);
}
public void RespectsMostRecentTimeOnDuplicatePoints()
{
var series = new Series();
series.AddPoint(DateTime.Today, 1m);
series.AddPoint(DateTime.Today, 2m);
Assert.AreEqual(1, series.Values.Count);
Assert.AreEqual(2m, series.Values.Single().y);
}
public void RespectsMostRecentTimeOnDuplicatePoints()
{
var series = new Series();
series.AddPoint(DateTime.Today, 1m);
series.AddPoint(DateTime.Today, 2m);
Assert.AreEqual(1, series.Values.Count);
Assert.AreEqual(2m, series.Values.Single().y);
}
public void DoesNotSampleScatterPlots()
{
var scatter = new Series("scatter", SeriesType.Scatter);
scatter.AddPoint(DateTime.Today, 1m);
scatter.AddPoint(DateTime.Today, 3m);
scatter.AddPoint(DateTime.Today.AddSeconds(1), 1.5m);
scatter.AddPoint(DateTime.Today.AddSeconds(0.5), 1.5m);
var sampler = new SeriesSampler(TimeSpan.FromMilliseconds(1));
var sampled = sampler.Sample(scatter, DateTime.Today, DateTime.Today.AddDays(1));
foreach (var pair in scatter.Values.Zip<ChartPoint, ChartPoint, Tuple<ChartPoint, ChartPoint>>(sampled.Values, Tuple.Create))
{
Assert.AreEqual(pair.Item1.x, pair.Item2.x);
Assert.AreEqual(pair.Item1.y, pair.Item2.y);
}
}
public void PlotNetPosition(Slice slice)
{
_longHoldingsCount.AddPoint(slice.Time, OptionTools.GetHoldingQuantity(this, _primarySymbol, true, false));
_shortHoldingsCount.AddPoint(slice.Time, -OptionTools.GetHoldingQuantity(this, _primarySymbol, false, true));
_longOpenOrdersCount.AddPoint(slice.Time, OptionTools.GetOpenOrderQuantity(this, _primarySymbol, true, false));
_shortOpenOrdersCount.AddPoint(slice.Time, -OptionTools.GetOpenOrderQuantity(this, _primarySymbol, false, true));
}
public void DoesNotSampleScatterPlots()
{
var scatter = new Series("scatter", SeriesType.Scatter);
scatter.AddPoint(DateTime.Today, 1m);
scatter.AddPoint(DateTime.Today, 3m);
scatter.AddPoint(DateTime.Today.AddSeconds(1), 1.5m);
scatter.AddPoint(DateTime.Today.AddSeconds(0.5), 1.5m);
var sampler = new SeriesSampler(TimeSpan.FromMilliseconds(1));
var sampled = sampler.Sample(scatter, DateTime.Today, DateTime.Today.AddDays(1));
foreach (var pair in scatter.Values.Zip(sampled.Values, Tuple.Create))
{
Assert.AreEqual(pair.Item1.x, pair.Item2.x);
Assert.AreEqual(pair.Item1.y, pair.Item2.y);
}
}
/// <summary>
/// Performs processing in sync with the algorithm's time loop to provide consisten reading of data
/// </summary>
public virtual void ProcessSynchronousEvents()
{
if (_isNotFrameworkAlgorithm)
{
return;
}
if (Algorithm.UtcTime.Date > _lastAlphaCountSampleDateUtc)
{
_lastAlphaCountSampleDateUtc = Algorithm.UtcTime.Date;
// populate charts with the daily alpha counts per symbol, resetting our storage
var sumPredictions = PopulateChartWithSeriesPerSymbol(_dailyAlphaCountPerSymbol, _dailyAlphaCountPerSymbolChart, SeriesType.StackedArea);
_dailyAlphaCountPerSymbol.Clear();
// add sum of daily alpha counts to the total alpha count series
_totalAlphaCountSeries.AddPoint(Algorithm.UtcTime.Date, sumPredictions, LiveMode);
// populate charts with the total alpha counts per symbol, no need to reset
PopulateChartWithSeriesPerSymbol(_alphaCountPerSymbol, _totalAlphaCountPerSymbolChart, SeriesType.Pie);
}
// before updating scores, emit chart points for the previous sample period
if (Algorithm.UtcTime >= _nextChartSampleAlgorithmTimeUtc)
{
try
{
// verify these scores have been computed before taking the first sample
if (StatisticsUpdater.RollingAverageIsReady)
{
// sample the rolling averaged population scores
foreach (var scoreType in ScoreTypes)
{
var score = 100 * RuntimeStatistics.RollingAveragedPopulationScore.GetScore(scoreType);
_alphaScoreSeriesByScoreType[scoreType].AddPoint(Algorithm.UtcTime, (decimal)score, LiveMode);
}
_nextChartSampleAlgorithmTimeUtc = Algorithm.UtcTime + ChartUpdateInterval;
}
}
catch (Exception err)
{
Log.Error(err);
}
}
try
{
// update scores in line with the algo thread to ensure a consistent read of security data
// this will manage marking alphas as closed as well as performing score updates
AlphaManager.UpdateScores();
}
catch (Exception err)
{
Log.Error(err);
}
}
public void SubSamples()
{
var series = new Series {Name = "name"};
var reference = DateTime.UtcNow.Date;
series.AddPoint(reference, 1m);
series.AddPoint(reference.AddDays(1), 2m);
series.AddPoint(reference.AddDays(2), 3m);
series.AddPoint(reference.AddDays(3), 4m);
series.AddPoint(reference.AddDays(4), 5m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddDays(1), reference.AddDays(2));
Assert.AreEqual(2, sampled.Values.Count);
Assert.AreEqual(series.Values[1].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[1].y, sampled.Values[0].y);
Assert.AreEqual(series.Values[2].x, sampled.Values[1].x);
Assert.AreEqual(series.Values[2].y, sampled.Values[1].y);
}
/// <summary>
/// Invokes the manager at the end of the time step.
/// Samples and plots insight counts and population score.
/// </summary>
/// <param name="frontierTimeUtc">The current frontier time utc</param>
public void Step(DateTime frontierTimeUtc)
{
// Only add our charts to the algorithm when we actually have an insight
// We will still update our internal charts anyways, but this keeps Alpha charts out of
// algorithms that don't use the framework.
if (!_chartsAdded && _dailyInsightCount > 0)
{
_algorithm.AddChart(_insightScoreChart);
_algorithm.AddChart(_totalInsightCountChart);
_algorithm.AddChart(_totalInsightCountPerSymbolChart);
_chartsAdded = true;
}
// sample insight/symbol counts each utc day change
if (frontierTimeUtc.Date > _lastInsightCountSampleDateUtc)
{
_lastInsightCountSampleDateUtc = frontierTimeUtc.Date;
// add sum of daily insight counts to the total insight count series
_totalInsightCountSeries.AddPoint(frontierTimeUtc.Date, _dailyInsightCount);
// Create the pie chart every minute or so
PopulateChartWithSeriesPerSymbol(_totalInsightCountPerSymbol, _totalInsightCountPerSymbolChart, SeriesType.Treemap, frontierTimeUtc);
// Resetting our storage
_dailyInsightCount = 0;
}
// sample average population scores
if (frontierTimeUtc >= _nextChartSampleAlgorithmTimeUtc)
{
try
{
// verify these scores have been computed before taking the first sample
if (_statisticsManager.RollingAverageIsReady)
{
// sample the rolling averaged population scores
foreach (var scoreType in InsightManager.ScoreTypes)
{
var score = 100 * _statisticsManager.Statistics.RollingAveragedPopulationScore.GetScore(scoreType);
_insightScoreSeriesByScoreType[scoreType].AddPoint(frontierTimeUtc, score.SafeDecimalCast());
}
_nextChartSampleAlgorithmTimeUtc = frontierTimeUtc + SampleInterval;
}
}
catch (Exception err)
{
Log.Error(err);
}
}
}
public void ReturnsIdentityOnSinglePoint()
{
var series = new Series {Name = "name"};
var reference = DateTime.Now.ToUniversalTime();
series.AddPoint(reference, 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddSeconds(-1), reference.AddSeconds(1));
Assert.AreEqual(1, sampled.Values.Count);
Assert.AreEqual(series.Values[0].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[0].y, sampled.Values[0].y);
}
public void SerializeDeserializeReturnsSameValue()
{
var date = new DateTime(2050, 1, 1, 1, 1, 1);
var series = new Series("Pepito Grillo", SeriesType.Bar, "%", Color.Blue, ScatterMarkerSymbol.Diamond);
series.AddPoint(date, 1);
series.AddPoint(date.AddSeconds(1), 2);
var serializedSeries = JsonConvert.SerializeObject(series);
var result = (Series)JsonConvert.DeserializeObject(serializedSeries, typeof(Series));
Assert.AreEqual(series.Values.Count, result.Values.Count);
for (var i = 0; i < series.Values.Count; i++)
{
Assert.AreEqual(series.Values[i].x, result.Values[i].x);
Assert.AreEqual(series.Values[i].y, result.Values[i].y);
}
Assert.AreEqual(series.Name, result.Name);
Assert.AreEqual(series.Unit, result.Unit);
Assert.AreEqual(series.SeriesType, result.SeriesType);
Assert.AreEqual(series.Color.ToArgb(), result.Color.ToArgb());
Assert.AreEqual(series.ScatterMarkerSymbol, result.ScatterMarkerSymbol);
}
public void SerializedPieWillOnlyHaveOneValue()
{
var date = new DateTime(2050, 1, 1, 1, 1, 1);
var date2 = date.AddSeconds(1);
var series = new Series("Pepito Grillo", SeriesType.Pie, "$", Color.Empty, ScatterMarkerSymbol.Diamond);
series.AddPoint(date, 1);
series.AddPoint(date2, 2);
var serializedSeries = JsonConvert.SerializeObject(series);
var result = (Series)JsonConvert.DeserializeObject(serializedSeries, typeof(Series));
var expectedX = Convert.ToInt64(Time.DateTimeToUnixTimeStamp(date2.ToUniversalTime())); // expect last dateTime (date2)
Assert.AreEqual(1, result.Values.Count); // expect only one value
Assert.AreEqual(expectedX, result.Values[0].x);
Assert.AreEqual(3, result.Values[0].y); // expect sum of values (1 + 2)
Assert.AreEqual(series.Name, result.Name);
Assert.AreEqual(series.Unit, result.Unit);
Assert.AreEqual(series.SeriesType, result.SeriesType);
Assert.AreEqual(series.Color.ToArgb(), result.Color.ToArgb());
Assert.AreEqual(series.ScatterMarkerSymbol, result.ScatterMarkerSymbol);
}
public void EmitsEmptySeriesWithSinglePointOutsideOfStartStop()
{
var series = new Series {
Name = "name"
};
var reference = DateTime.Now;
series.AddPoint(reference.AddSeconds(-1), 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference, reference);
Assert.AreEqual(0, sampled.Values.Count);
}
public void ReturnsIdentityOnSinglePoint()
{
var series = new Series {
Name = "name"
};
var reference = DateTime.Now.ToUniversalTime();
series.AddPoint(reference, 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddSeconds(-1), reference.AddSeconds(1));
Assert.AreEqual(1, sampled.Values.Count);
Assert.AreEqual(series.Values[0].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[0].y, sampled.Values[0].y);
}
void HandleAction(Data.Market.TradeBar bar)
{
if (_lastSlice != null)
{
OptionChain chain;
int calls = 0; int puts = 0;
if (_lastSlice.OptionChains.TryGetValue(_option.Symbol.Value, out chain))
{
calls = _lastSlice.OptionChains[_option.Symbol.Value].Select((o) => o.Right == OptionRight.Call).Count();
puts = _lastSlice.OptionChains[_option.Symbol.Value].Select((o) => o.Right == OptionRight.Put).Count();
}
_callCount.AddPoint(_lastSlice.Time, calls);
_putCount.AddPoint(_lastSlice.Time, puts);
Console.WriteLine("{0}\t{1}, {2}", _lastSlice.Time, calls, puts);
}
}
/// <summary>
/// Invokes the manager at the end of the time step.
/// Samples and plots insight counts and population score.
/// </summary>
/// <param name="frontierTimeUtc">The current frontier time utc</param>
public void Step(DateTime frontierTimeUtc)
{
// sample insight/symbol counts each utc day change
if (frontierTimeUtc.Date > _lastInsightCountSampleDateUtc)
{
_lastInsightCountSampleDateUtc = frontierTimeUtc.Date;
// populate charts with the daily insight counts per symbol
var sumInsights = PopulateChartWithSeriesPerSymbol(_dailyInsightCountPerSymbol, _dailyInsightCountPerSymbolChart, SeriesType.StackedArea, frontierTimeUtc);
// add sum of daily insight counts to the total insight count series
_totalInsightCountSeries.AddPoint(frontierTimeUtc.Date, sumInsights);
// populate charts with the daily insight counts per symbol diff
PopulateChartWithSeriesPerSymbol(_dailyInsightCountPerSymbol, _totalInsightCountPerSymbolChart, SeriesType.Pie, frontierTimeUtc);
// Resetting our storage
_dailyInsightCountPerSymbol.Clear();
}
// sample average population scores
if (frontierTimeUtc >= _nextChartSampleAlgorithmTimeUtc)
{
try
{
// verify these scores have been computed before taking the first sample
if (_statisticsManager.RollingAverageIsReady)
{
// sample the rolling averaged population scores
foreach (var scoreType in InsightManager.ScoreTypes)
{
var score = 100 * _statisticsManager.Statistics.RollingAveragedPopulationScore.GetScore(scoreType);
_insightScoreSeriesByScoreType[scoreType].AddPoint(frontierTimeUtc, (decimal)score);
}
_nextChartSampleAlgorithmTimeUtc = frontierTimeUtc + SampleInterval;
}
}
catch (Exception err)
{
Log.Error(err);
}
}
}
/// <summary>
/// Invokes the manager at the end of the time step.
/// Samples and plots insight counts and population score.
/// </summary>
/// <param name="frontierTimeUtc">The current frontier time utc</param>
public void Step(DateTime frontierTimeUtc)
{
// sample insight/symbol counts each utc day change
if (frontierTimeUtc.Date > _lastInsightCountSampleDateUtc)
{
_lastInsightCountSampleDateUtc = frontierTimeUtc.Date;
// add sum of daily insight counts to the total insight count series
_totalInsightCountSeries.AddPoint(frontierTimeUtc.Date, _dailyCount);
// Create the pie chart every minute or so
PopulateChartWithSeriesPerSymbol(_totalInsightCountPerSymbol, _totalInsightCountPerSymbolChart, SeriesType.Treemap, frontierTimeUtc);
// Resetting our storage
_dailyCount = 0;
}
// sample average population scores
if (frontierTimeUtc >= _nextChartSampleAlgorithmTimeUtc)
{
try
{
// verify these scores have been computed before taking the first sample
if (_statisticsManager.RollingAverageIsReady)
{
// sample the rolling averaged population scores
foreach (var scoreType in InsightManager.ScoreTypes)
{
var score = 100 * _statisticsManager.Statistics.RollingAveragedPopulationScore.GetScore(scoreType);
_insightScoreSeriesByScoreType[scoreType].AddPoint(frontierTimeUtc, score.SafeDecimalCast());
}
_nextChartSampleAlgorithmTimeUtc = frontierTimeUtc + SampleInterval;
}
}
catch (Exception err)
{
Log.Error(err);
}
}
}
public void NoDrawdown(bool hasEquityPoint)
{
var strategyEquityChart = new Chart("Strategy Equity");
var equitySeries = new Series("Equity");
strategyEquityChart.AddSeries(equitySeries);
if (hasEquityPoint)
{
equitySeries.AddPoint(new DateTime(2020, 1, 1), 100000);
}
var backtest = new BacktestResult
{
Charts = new Dictionary <string, Chart> {
[strategyEquityChart.Name] = strategyEquityChart
}
};
var normalizedResults = DrawdownCollection.NormalizeResults(backtest, null);
Assert.AreEqual(0, normalizedResults.KeyCount);
Assert.AreEqual(0, normalizedResults.ValueCount);
}
public void EmitsEmptySeriesWithSinglePointOutsideOfStartStop()
{
var series = new Series { Name = "name" };
var reference = DateTime.Now;
series.AddPoint(reference.AddSeconds(-1), 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference, reference);
Assert.AreEqual(0, sampled.Values.Count);
}