Add regression tests

Algorithm.CSharp/ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm.cs

@@ -0,0 +1,138 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm that asserts Stochastic indicator, registered with a different resolution consolidator,
+    /// is warmed up properly by calling QCAlgorithm.WarmUpIndicator
+    /// </summary>
+    public class ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private RelativeStrengthIndex _rsi;
+        private RelativeStrengthIndex _rsiTimeDelta;
+        private Dictionary<DateTime, decimal> _values = new();
+        private int _count;
+
+        public override void Initialize()
+        {
+            SetStartDate(2020, 5, 1);
+            SetEndDate(2020, 6, 5);
+
+            _spy = AddEquity("SPY", Resolution.Hour).Symbol;
+            _rsi = new RelativeStrengthIndex("FIRST", 15, MovingAverageType.Wilders);
+            RegisterIndicator(_spy, _rsi, Resolution.Daily);
+
+            _rsiTimeDelta = new RelativeStrengthIndex("SECOND" ,15, MovingAverageType.Wilders);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (IsWarmingUp) return;
+
+            if (slice.ContainsKey(_spy) && slice[_spy] != null)
+            {
+                if (Time.Month == EndDate.Month)
+                {
+                    var history = History(_spy, _count, Resolution.Daily);
+                    foreach (var bar in history)
+                    {
+                        _rsiTimeDelta.Update(bar.EndTime, bar.Close);
+                        var time = bar.EndTime.Date;
+                        if (_rsiTimeDelta.Current.Value != _values[time])
+                        {
+                            throw new Exception($"Both {_rsi.Name} and {_rsiTimeDelta.Name} should have the same values, but they differ. {_rsi.Name}: {_values[time]} | {_rsiTimeDelta.Name}: {_rsiTimeDelta.Current.Value}");
+                        }
+                    }
+                    Quit();
+                }
+                else
+                {
+                    _values[Time.Date] = _rsi.Current.Value;
+                    if (Time.Hour == 16)
+                    {
+                        _count++;
+                    }
+                }
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 290;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 20;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"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", "-5.215"},
+            {"Tracking Error", "0.159"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.Python/ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm.py

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+# 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.
+
+from AlgorithmImports import *
+
+class ConsolidateHourBarsIntoDailyBarsRegressionAlgorithm(QCAlgorithm):
+    def initialize(self):
+        # change the start date between runs to check that warm up shows the correct value
+        self.set_start_date(2020, 5, 1)
+        self.set_end_date(2020, 6, 5)
+        self.set_cash(100000)
+
+        self.spy = self.add_equity("SPY", Resolution.HOUR).symbol
+
+        # Resolution.DAILY indicators
+        self._rsi = RelativeStrengthIndex("First", 15, MovingAverageType.WILDERS)
+        self.register_indicator(self.spy, self._rsi, Resolution.DAILY)
+
+        # Resolution.DAILY indicators
+        self._rsi_timedelta = RelativeStrengthIndex("Second", 15, MovingAverageType.WILDERS)
+        self._values = {}
+        self.count = 0;
+
+    def on_data(self, data: Slice):
+        if self.is_warming_up:
+            return
+
+        if data.contains_key(self.spy) and data[self.spy] != None:
+            if self.time.month == self.end_date.month:
+                history = self.history[TradeBar](self.spy, self.count, Resolution.DAILY)
+                for bar in history:
+                    time = bar.end_time.strftime('%Y-%m-%d')
+                    self._rsi_timedelta.update(bar.end_time, bar.close)
+                    if self._rsi_timedelta.current.value != self._values[time]:
+                        raise Exception(f"Both {self._rsi.name} and {self._rsi_timedelta.name} should have the same values, but they differ. {self._rsi.name}: {self._values[time]} | {self._rsi_timedelta.name}: {self._rsi_timedelta.current.value}")
+                self.quit()
+            else:
+                time = self.time.strftime('%Y-%m-%d')
+                self._values[time] = self._rsi.current.value
+                if self.time.hour == 16:
+                    self.count += 1