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Martin-MolineroMartin-Molinero
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Improve implicit conversion failure message
- Improve string to Symbol implicit conversion exceptions message
1 parent 0b3ecea commit fa81912

6 files changed

Lines changed: 172 additions & 3 deletions

‎Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj‎

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<Compile Include="PortfolioRebalanceOnSecurityChangesRegressionAlgorithm.cs" />
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<Compile Include="ResolutionSwitchingAlgorithm.cs" />
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<Compile Include="SetHoldingsFutureRegressionAlgorithm.cs" />
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<Compile Include="StringToSymbolImplicitConversionRegressionAlgorithm.cs" />
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<Compile Include="TimeRulesDefaultTimeZoneRegressionAlgorithm.cs" />
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<Compile Include="SetHoldingsMultipleTargetsRegressionAlgorithm.cs" />
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<Compile Include="SetHoldingsMarketOnOpenRegressionAlgorithm.cs" />

‎Algorithm.CSharp/StringToSymbolImplicitConversionRegressionAlgorithm.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 System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Related to GH issue 4275, reproduces a failed string to symbol implicit conversion asserting the exception
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/// thrown contains the used ticker
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/// </summary>
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public class StringToSymbolImplicitConversionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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/// <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, 07);
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SetEndDate(2013, 10, 08);
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AddEquity("SPY", Resolution.Minute);
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice data)
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{
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try
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{
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MarketOrder("PEPE", 1);
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}
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catch (Exception exception)
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{
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if (exception.Message.Contains("This asset symbol (PEPE 0) was not found in your security list") && !Portfolio.Invested)
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{
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SetHoldings("SPY", 1);
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}
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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 Language[] Languages { get; } = { Language.CSharp, Language.Python };
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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 Trades", "1"},
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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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{"Net Profit", "0%"},
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{"Sharpe 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", "$3.26"},
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{"Fitness Score", "0.995"},
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{"Kelly Criterion Estimate", "0"},
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{"Kelly Criterion Probability Value", "0"},
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{"Sortino Ratio", "79228162514264337593543950335"},
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{"Return Over Maximum Drawdown", "79228162514264337593543950335"},
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{"Portfolio Turnover", "0.995"},
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{"Total Insights Generated", "0"},
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{"Total Insights Closed", "0"},
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{"Total Insights Analysis Completed", "0"},
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{"Long Insight Count", "0"},
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{"Short Insight Count", "0"},
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{"Long/Short Ratio", "100%"},
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{"Estimated Monthly Alpha Value", "$0"},
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{"Total Accumulated Estimated Alpha Value", "$0"},
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{"Mean Population Estimated Insight Value", "$0"},
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{"Mean Population Direction", "0%"},
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{"Mean Population Magnitude", "0%"},
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{"Rolling Averaged Population Direction", "0%"},
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{"Rolling Averaged Population Magnitude", "0%"},
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{"OrderListHash", "491919591"}
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};
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}
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}

‎Algorithm.Python/QuantConnect.Algorithm.Python.csproj‎

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<Content Include="RegisterIndicatorRegressionAlgorithm.py" />
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<Content Include="SectorWeightingFrameworkAlgorithm.py" />
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<Content Include="SetHoldingsMultipleTargetsRegressionAlgorithm.py" />
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<Content Include="StringToSymbolImplicitConversionRegressionAlgorithm.py" />
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<Content Include="TradingEconomicsCalendarIndicatorAlgorithm.py" />
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<Content Include="OnEndOfDayRegressionAlgorithm.py" />
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<Content Include="SECReportDataAlgorithm.py" />

‎Algorithm.Python/StringToSymbolImplicitConversionRegressionAlgorithm.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");
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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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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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### <summary>
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### Related to GH issue 4275, reproduces a failed string to symbol implicit conversion asserting the exception
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### thrown contains the used ticker
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### </summary>
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class StringToSymbolImplicitConversionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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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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self.SetStartDate(2013,10, 7)
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self.SetEndDate(2013,10, 8)
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self.AddEquity("SPY", Resolution.Minute)
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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try:
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self.MarketOrder("PEPE", 1)
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except Exception as exception:
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if "This asset symbol (PEPE 0) was not found in your security list" in str(exception) and not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)

‎Common/Symbol.cs‎

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@@ -515,7 +515,7 @@ public static implicit operator Symbol(string ticker)
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return new Symbol(sid, sid.Symbol);
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}
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return Empty;
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return new Symbol(new SecurityIdentifier(ticker, 0), ticker);
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}
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#endregion

‎Tests/Common/SymbolTests.cs‎

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string stringEurusd = eurusd;
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Assert.AreEqual(eurusd.ID.ToString(), stringEurusd);
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Symbol notASymbol = "this will not resolve to a proper Symbol instance";
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Assert.AreEqual(Symbol.Empty, notASymbol);
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Assert.Throws<ArgumentException>(() =>
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{
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Symbol symbol = "this will not resolve to a proper Symbol instance";
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});
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Symbol notASymbol = "NotASymbol";
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Assert.AreNotEqual(Symbol.Empty, notASymbol);
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Assert.IsTrue(notASymbol.ToString().Contains("NotASymbol"));
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#pragma warning restore 0618
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}
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