Fix price shifts around futures rollover date (#8371)

* Test * Fix price shift on continuous future rollover * Keep track of both data and exchange time in subscription data reader * Fix for daily and hourly resolutions. Add daily and hour algorithms * Fixes for emitting new exchange dates at the beginning and end when data is not available * Cleanup * Minor fix * Minor fix: detect mapping in data reader after advancing time keeper * Minor fix * More fixes * More fixes * Fixes for universe files * More fixes for daily resolution data * Separate DateChangeTimeKeeper to its own file * Add DateChangeTimeKeeper unit tests * Minor fix * Add more DateChangeTimeKeeper unit tests * Address peer review * Address peer review * Address peer review * Detect mappings using the config NewSymbol event * DateChangeTimeKeeper performance improvement for time zone conversions * Clean up date change time keeper * Cleanup * Minor regression algo update * Cleanup * Cleanup * Fix perform universe selection on sundays for continuous futures with extended market hours * Cleanup * Address peer review * More cleanup * More cleanup
QuantConnect · Oct 21, 2024 · f2100ad · f2100ad
1 parent 159fa5a
commit f2100ad
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Showing 64 changed files with 1,606 additions and 168 deletions.
diff --git a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs
@@ -115,7 +115,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 73;
+        public long DataPoints => 76;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs b/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
@@ -164,7 +164,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 311879;
+        public long DataPoints => 311881;
 
         /// <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 slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 12169;
+        public long DataPoints => 12172;
 
         /// <summary>
         /// Data Points count of the algorithm history

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 => 608377;
+        public long DataPoints => 608380;
 
         /// <summary>
         /// Data Points count of the algorithm history

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 => 713369;
+        public long DataPoints => 713371;
 
         /// <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 => 2217299;
+        public long DataPoints => 2217326;
 
         /// <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 => 1190;
+        public long DataPoints => 1199;
 
         /// <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 => 12452;
+        public virtual long DataPoints => 12453;
 
         /// <summary>
         /// Data Points count of the algorithm history
@@ -134,33 +134,33 @@ select futuresContract
         /// </summary>
         public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "32"},
+            {"Total Orders", "34"},
             {"Average Win", "0.33%"},
             {"Average Loss", "-0.04%"},
-            {"Compounding Annual Return", "0.110%"},
+            {"Compounding Annual Return", "0.106%"},
             {"Drawdown", "0.300%"},
-            {"Expectancy", "0.184"},
+            {"Expectancy", "0.178"},
             {"Start Equity", "1000000"},
-            {"End Equity", "1001108"},
-            {"Net Profit", "0.111%"},
-            {"Sharpe Ratio", "-1.688"},
-            {"Sortino Ratio", "-0.772"},
-            {"Probabilistic Sharpe Ratio", "14.944%"},
+            {"End Equity", "1001066.2"},
+            {"Net Profit", "0.107%"},
+            {"Sharpe Ratio", "-1.695"},
+            {"Sortino Ratio", "-0.804"},
+            {"Probabilistic Sharpe Ratio", "14.797%"},
             {"Loss Rate", "88%"},
             {"Win Rate", "12%"},
-            {"Profit-Loss Ratio", "8.47"},
+            {"Profit-Loss Ratio", "9.01"},
             {"Alpha", "-0.007"},
             {"Beta", "0.002"},
             {"Annual Standard Deviation", "0.004"},
             {"Annual Variance", "0"},
             {"Information Ratio", "-1.353"},
             {"Tracking Error", "0.089"},
-            {"Treynor Ratio", "-4.099"},
-            {"Total Fees", "$72.00"},
+            {"Treynor Ratio", "-4.112"},
+            {"Total Fees", "$76.30"},
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Portfolio Turnover", "0.87%"},
-            {"OrderListHash", "168731c8f3a19f230cc1410818b3b573"}
+            {"Portfolio Turnover", "0.92%"},
+            {"OrderListHash", "7afa589d648c3f24253cd59156a2014e"}
         };
     }
 }
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 => 163415;
+        public override long DataPoints => 163416;
 
         /// <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/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 => 87289;
+        public override long DataPoints => 87290;
 
         /// <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/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 => 14790;
+        public override long DataPoints => 14895;
 
         /// <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 => 228834;
+        public override long DataPoints => 228934;
 
         /// <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/ConsolidateRegressionAlgorithm.cs b/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs
@@ -189,7 +189,7 @@ public override void OnData(Slice slice)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 14227;
+        public long DataPoints => 14228;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
@@ -139,7 +139,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 713371;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs
@@ -155,7 +155,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 723496;
+        public long DataPoints => 723498;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureImmediateUniverseSelectionRegressionAlgorithm.cs
@@ -184,7 +184,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 596356;
+        public long DataPoints => 596358;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm.cs
@@ -78,7 +78,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 19886;
+        public long DataPoints => 19888;
 
         /// <summary>
         /// Data Points count of the algorithm history

diff --git a/Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs b/Algorithm.CSharp/ContinuousFutureRegressionAlgorithm.cs
@@ -169,7 +169,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 713369;
+        public long DataPoints => 713371;
 
         /// <summary>
         /// Data Points count of the algorithm history