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Martin-MolineroMartin-Molinero
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Add Consolidator Optional Start time (#9034)
- Add consolidators optional start time. Adding tests
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10 files changed

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-17
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‎Algorithm.CSharp/ConsolidatorStartTimeRegressionAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Data.Consolidators;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm show casing and asserting the behavior of creating a consolidator specifying the start time
27+
/// </summary>
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public class ConsolidatorStartTimeRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
29+
{
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private readonly Queue<TimeSpan> _expectedConsolidationTime = new([
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new TimeSpan(9, 30, 0),
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new TimeSpan(10, 30, 0),
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new TimeSpan(11, 30, 0),
34+
new TimeSpan(12, 30, 0),
35+
new TimeSpan(13, 30, 0),
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new TimeSpan(14, 30, 0)
37+
]);
38+
private TradeBarConsolidator consolidator;
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40+
/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2013, 10, 04);
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SetEndDate(2013, 10, 04);
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48+
AddEquity("SPY", Resolution.Minute);
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consolidator = new TradeBarConsolidator(TimeSpan.FromHours(1), startTime: new TimeSpan(9, 30, 0));
51+
consolidator.DataConsolidated += BarHandler;
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53+
SubscriptionManager.AddConsolidator("SPY", consolidator);
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}
55+
56+
private void BarHandler(object _, TradeBar bar)
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{
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if (Time != bar.EndTime)
59+
{
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throw new RegressionTestException($"Unexpected consolidation time {bar.Time} != {Time}!");
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}
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var expected = _expectedConsolidationTime.Dequeue();
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if (bar.Time.TimeOfDay != expected)
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{
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throw new RegressionTestException($"Unexpected consolidation time {bar.Time.TimeOfDay} != {expected}!");
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}
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69+
if (bar.Period != TimeSpan.FromHours(1))
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{
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throw new RegressionTestException($"Unexpected consolidation period {bar.Period}!");
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (_expectedConsolidationTime.Count > 0)
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{
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throw new RegressionTestException("Unexpected consolidation times!");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 795;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}

‎Algorithm.Python/ConsolidatorStartTimeRegressionAlgorithm.py‎

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# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
5+
# you may not use this file except in compliance with the License.
6+
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
7+
#
8+
# Unless required by applicable law or agreed to in writing, software
9+
# distributed under the License is distributed on an "AS IS" BASIS,
10+
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
11+
# See the License for the specific language governing permissions and
12+
# limitations under the License.
13+
14+
from AlgorithmImports import *
15+
from collections import deque
16+
17+
### <summary>
18+
### Regression algorithm show casing and asserting the behavior of creating a consolidator specifying the start time
19+
### </summary>
20+
class ConsolidatorStartTimeRegressionAlgorithm(QCAlgorithm):
21+
def initialize(self):
22+
self.set_start_date(2013, 10, 4)
23+
self.set_end_date(2013, 10, 4)
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25+
self.add_equity("SPY", Resolution.MINUTE)
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27+
consolidator = TradeBarConsolidator(timedelta(hours=1), start_time=timedelta(hours=9, minutes=30))
28+
consolidator.data_consolidated += self.bar_handler
29+
self.subscription_manager.add_consolidator("SPY", consolidator)
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31+
self._expectedConsolidationTime = deque()
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self._expectedConsolidationTime.append(time(14, 30))
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self._expectedConsolidationTime.append(time(13, 30))
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self._expectedConsolidationTime.append(time(12, 30))
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self._expectedConsolidationTime.append(time(11, 30))
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self._expectedConsolidationTime.append(time(10, 30))
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self._expectedConsolidationTime.append(time(9, 30))
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def bar_handler(self, _, bar):
40+
if self.time != bar.end_time:
41+
raise RegressionTestException(f"Unexpected consolidation time {bar.Time} != {Time}!")
42+
43+
self.debug(f"{self.Time} - Consolidation")
44+
expected = self._expectedConsolidationTime.pop()
45+
if bar.time.time() != expected:
46+
raise RegressionTestException(f"Unexpected consolidation time {bar.time.time()} != {expected}!")
47+
48+
if bar.period != timedelta(hours=1):
49+
raise RegressionTestException(f"Unexpected consolidation period {bar.period}!")
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51+
def on_end_of_algorithm(self):
52+
if len(self._expectedConsolidationTime) > 0:
53+
raise RegressionTestException("Unexpected consolidation times!")

‎Common/Data/Consolidators/OpenInterestConsolidator.cs‎

Lines changed: 3 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -42,8 +42,9 @@ public static OpenInterestConsolidator FromResolution(Resolution resolution)
4242
/// Creates a consolidator to produce a new 'OpenInterest' representing the period
4343
/// </summary>
4444
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
45-
public OpenInterestConsolidator(TimeSpan period)
46-
: base(period)
45+
/// <param name="startTime">Optionally the bar start time anchor to use</param>
46+
public OpenInterestConsolidator(TimeSpan period, TimeSpan? startTime = null)
47+
: base(period, startTime)
4748
{
4849
_hourOrDailyConsolidation = period >= Time.OneHour;
4950
}

‎Common/Data/Consolidators/PeriodCountConsolidatorBase.cs‎

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@@ -15,9 +15,10 @@
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*/
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1717
using System;
18-
using System.Runtime.CompilerServices;
19-
using QuantConnect.Data.Market;
2018
using Python.Runtime;
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using QuantConnect.Util;
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using QuantConnect.Data.Market;
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using System.Runtime.CompilerServices;
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2223
namespace QuantConnect.Data.Consolidators
2324
{
@@ -58,8 +59,9 @@ private PeriodCountConsolidatorBase(IPeriodSpecification periodSpecification)
5859
/// Creates a consolidator to produce a new <typeparamref name="TConsolidated"/> instance representing the period
5960
/// </summary>
6061
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
61-
protected PeriodCountConsolidatorBase(TimeSpan period)
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: this(new TimeSpanPeriodSpecification(period))
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/// <param name="startTime">Optionally the bar start time anchor to use</param>
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protected PeriodCountConsolidatorBase(TimeSpan period, TimeSpan? startTime = null)
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: this(new TimeSpanPeriodSpecification(period, startTime))
6365
{
6466
_period = _periodSpecification.Period;
6567
}
@@ -420,17 +422,25 @@ public MixedModePeriodSpecification(TimeSpan period)
420422
/// </summary>
421423
private class TimeSpanPeriodSpecification : IPeriodSpecification
422424
{
425+
public TimeSpan? StartTime { get; }
423426
public TimeSpan? Period { get; }
424427

425-
public TimeSpanPeriodSpecification(TimeSpan period)
428+
public TimeSpanPeriodSpecification(TimeSpan period, TimeSpan? startTime = null)
426429
{
427430
Period = period;
431+
StartTime = startTime;
428432
}
429433

430-
public DateTime GetRoundedBarTime(DateTime time) =>
431-
Period.Value > Time.OneDay
434+
public DateTime GetRoundedBarTime(DateTime time)
435+
{
436+
if (StartTime.HasValue)
437+
{
438+
return LeanData.GetConsolidatorStartTime(Period.Value, StartTime.Value, time);
439+
}
440+
return Period.Value > Time.OneDay
432441
? time // #4915 For periods larger than a day, don't use a rounding schedule.
433442
: time.RoundDown(Period.Value);
443+
}
434444
}
435445

436446
/// <summary>

‎Common/Data/Consolidators/QuoteBarConsolidator.cs‎

Lines changed: 3 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -29,8 +29,9 @@ public class QuoteBarConsolidator : PeriodCountConsolidatorBase<QuoteBar, QuoteB
2929
/// Initializes a new instance of the <see cref="QuoteBarConsolidator"/> class
3030
/// </summary>
3131
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
32-
public QuoteBarConsolidator(TimeSpan period)
33-
: base(period)
32+
/// <param name="startTime">Optionally the bar start time anchor to use</param>
33+
public QuoteBarConsolidator(TimeSpan period, TimeSpan? startTime = null)
34+
: base(period, startTime)
3435
{
3536
}
3637

‎Common/Data/Consolidators/TickQuoteBarConsolidator.cs‎

Lines changed: 3 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -29,8 +29,9 @@ public class TickQuoteBarConsolidator : PeriodCountConsolidatorBase<Tick, QuoteB
2929
/// Initializes a new instance of the <see cref="TickQuoteBarConsolidator"/> class
3030
/// </summary>
3131
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
32-
public TickQuoteBarConsolidator(TimeSpan period)
33-
: base(period)
32+
/// <param name="startTime">Optionally the bar start time anchor to use</param>
33+
public TickQuoteBarConsolidator(TimeSpan period, TimeSpan? startTime = null)
34+
: base(period, startTime)
3435
{
3536
}
3637

‎Common/Data/Consolidators/TradeBarConsolidator.cs‎

Lines changed: 3 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -43,8 +43,9 @@ public static TradeBarConsolidator FromResolution(Resolution resolution)
4343
/// Creates a consolidator to produce a new 'TradeBar' representing the period
4444
/// </summary>
4545
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
46-
public TradeBarConsolidator(TimeSpan period)
47-
: base(period)
46+
/// <param name="startTime">Optionally the bar start time anchor to use</param>
47+
public TradeBarConsolidator(TimeSpan period, TimeSpan? startTime = null)
48+
: base(period, startTime)
4849
{
4950
}
5051

‎Common/Data/Consolidators/TradeBarConsolidatorBase.cs‎

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Original file line numberDiff line numberDiff line change
@@ -33,8 +33,9 @@ public abstract class TradeBarConsolidatorBase<T> : PeriodCountConsolidatorBase<
3333
/// Creates a consolidator to produce a new 'TradeBar' representing the period
3434
/// </summary>
3535
/// <param name="period">The minimum span of time before emitting a consolidated bar</param>
36-
protected TradeBarConsolidatorBase(TimeSpan period)
37-
: base(period)
36+
/// <param name="startTime">Optionally the bar start time anchor to use</param>
37+
protected TradeBarConsolidatorBase(TimeSpan period, TimeSpan? startTime = null)
38+
: base(period, startTime)
3839
{
3940
}
4041

‎Common/Util/LeanData.cs‎

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Original file line numberDiff line numberDiff line change
@@ -1440,6 +1440,24 @@ public static IEnumerable<TradeBar> AggregateTicksToTradeBars(IEnumerable<Tick>
14401440
return Aggregate(new TickConsolidator(resolution), ticks, symbol);
14411441
}
14421442

1443+
/// <summary>
1444+
/// Helper method to calculate the start time of a consolidator bar given a period, and anchor start time and the current data time
1445+
/// </summary>
1446+
public static DateTime GetConsolidatorStartTime(TimeSpan period, TimeSpan startTime, DateTime time)
1447+
{
1448+
var referenceStart = time.Date + startTime;
1449+
if (period >= TimeSpan.FromDays(7))
1450+
{
1451+
// anchor to start of the month
1452+
referenceStart = new DateTime(time.Year, time.Month, 1) + startTime;
1453+
}
1454+
1455+
var difference = time - referenceStart;
1456+
1457+
var intervalsPassed = Math.Floor(difference.TotalSeconds / period.TotalSeconds);
1458+
return referenceStart + TimeSpan.FromSeconds(intervalsPassed * period.TotalSeconds);
1459+
}
1460+
14431461
/// <summary>
14441462
/// Helper method to return the start time and period of a bar the given point time should be part of
14451463
/// </summary>

‎Tests/Common/Util/LeanDataTests.cs‎

Lines changed: 21 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -46,6 +46,27 @@ public void TearDown()
4646
SymbolCache.Clear();
4747
}
4848

49+
[TestCase("0.00:04:00", "0.09:30:00", "20251013 09:29:01", "20251013 09:26:00")]
50+
[TestCase("0.00:04:00", "0.09:30:00", "20251013 09:30:01", "20251013 09:30:00")]
51+
[TestCase("0.00:04:00", "0.09:30:00", "20251013 09:35:00", "20251013 09:34:00")]
52+
[TestCase("0.00:05:00", "0.09:00:00", "20251013 09:35:00", "20251013 09:35:00")]
53+
54+
[TestCase("0.02:00:00", "0.09:30:00", "20251013 11:30:01", "20251013 11:30:00")]
55+
[TestCase("0.02:00:00", "0.09:30:00", "20251013 09:30:01", "20251013 09:30:00")]
56+
[TestCase("0.02:00:00", "0.09:30:00", "20251013 08:30:01", "20251013 07:30:00")]
57+
58+
[TestCase("10.00:00:00", "0.00:00:00", "20251013 11:30:01", "20251011 00:00:00")]
59+
[TestCase("10.00:00:00", "0.00:00:00", "20251007 11:30:01", "20251001 00:00:00")]
60+
public void ConsolidatorStarTime(string periodStr, string startTimeStr, string timeStr, string expected)
61+
{
62+
var result = LeanData.GetConsolidatorStartTime(
63+
TimeSpan.ParseExact(periodStr, "d\\.hh\\:mm\\:ss", CultureInfo.InvariantCulture),
64+
TimeSpan.ParseExact(startTimeStr, "d\\.hh\\:mm\\:ss", CultureInfo.InvariantCulture),
65+
DateTime.ParseExact(timeStr, "yyyyMMdd HH\\:mm\\:ss", CultureInfo.InvariantCulture));
66+
67+
Assert.AreEqual(DateTime.ParseExact(expected, "yyyyMMdd HH\\:mm\\:ss", CultureInfo.InvariantCulture), result);
68+
}
69+
4970
[TestCase(16, false, "20240506 09:30", "06:30", false)]
5071
[TestCase(10, false, "20240506 09:30", "06:30", false)]
5172
[TestCase(10, true, "20240506 04:00", "16:00", false)]

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