# 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 *from System.Collections.Generic import Dictionary### <summary>### Demonstration of how to access the statistics results from within an algorithm through the `Statistics` property.### </summary>class StatisticsResultsAlgorithm(QCAlgorithm):most_traded_security_statistic = "Most Traded Security"most_traded_security_trade_count_statistic = "Most Traded Security Trade Count"def initialize(self):self.set_start_date(2013, 10, 7)self.set_end_date(2013, 10, 11)self.set_cash(100000)self.spy = self.add_equity("SPY", Resolution.MINUTE).symbolself.ibm = self.add_equity("IBM", Resolution.MINUTE).symbolself.fast_spy_ema = self.ema(self.spy, 30, Resolution.MINUTE)self.slow_spy_ema = self.ema(self.spy, 60, Resolution.MINUTE)self.fast_ibm_ema = self.ema(self.spy, 10, Resolution.MINUTE)self.slow_ibm_ema = self.ema(self.spy, 30, Resolution.MINUTE)self.trade_counts = {self.spy: 0, self.ibm: 0}def on_data(self, data: Slice):if not self.slow_spy_ema.is_ready: returnif self.fast_spy_ema > self.slow_spy_ema:self.set_holdings(self.spy, 0.5)elif self.securities[self.spy].invested:self.liquidate(self.spy)if self.fast_ibm_ema > self.slow_ibm_ema:self.set_holdings(self.ibm, 0.2)elif self.securities[self.ibm].invested:self.liquidate(self.ibm)def on_order_event(self, order_event):if order_event.status == OrderStatus.FILLED:# We can access the statistics summary at runtimestatistics = self.statistics.summarystatistics_str = "".join([f"{kvp.key}: {kvp.value}" for kvp in statistics])self.debug(f"Statistics after fill:{statistics_str}")# Access a single statisticself.log(f"Total trades so far: {statistics[PerformanceMetrics.TOTAL_ORDERS]}")self.log(f"Sharpe Ratio: {statistics[PerformanceMetrics.SHARPE_RATIO]}")# --------# We can also set custom summary statistics:if all(count == 0 for count in self.trade_counts.values()):if StatisticsResultsAlgorithm.most_traded_security_statistic in statistics:raise AssertionError(f"Statistic {StatisticsResultsAlgorithm.most_traded_security_statistic} should not be set yet")if StatisticsResultsAlgorithm.most_traded_security_trade_count_statistic in statistics:raise AssertionError(f"Statistic {StatisticsResultsAlgorithm.most_traded_security_trade_count_statistic} should not be set yet")else:# The current most traded security should be set in the summarymost_trade_security, most_trade_security_trade_count = self.get_most_trade_security()self.check_most_traded_security_statistic(statistics, most_trade_security, most_trade_security_trade_count)# Update the trade countself.trade_counts[order_event.symbol] += 1# Set the most traded securitymost_trade_security, most_trade_security_trade_count = self.get_most_trade_security()self.set_summary_statistic(StatisticsResultsAlgorithm.most_traded_security_statistic, str(most_trade_security))self.set_summary_statistic(StatisticsResultsAlgorithm.most_traded_security_trade_count_statistic, most_trade_security_trade_count)# Re-calculate statistics:statistics = self.statistics.summary# Let's keep track of our custom summary statistics after the updateself.check_most_traded_security_statistic(statistics, most_trade_security, most_trade_security_trade_count)def on_end_of_algorithm(self):statistics = self.statistics.summaryif StatisticsResultsAlgorithm.most_traded_security_statistic not in statistics:raise AssertionError(f"Statistic {StatisticsResultsAlgorithm.most_traded_security_statistic} should be in the summary statistics")if StatisticsResultsAlgorithm.most_traded_security_trade_count_statistic not in statistics:raise AssertionError(f"Statistic {StatisticsResultsAlgorithm.most_traded_security_trade_count_statistic} should be in the summary statistics")most_trade_security, most_trade_security_trade_count = self.get_most_trade_security()self.check_most_traded_security_statistic(statistics, most_trade_security, most_trade_security_trade_count)def check_most_traded_security_statistic(self, statistics: Dictionary[str, str], most_traded_security: Symbol, trade_count: int):most_traded_security_statistic = statistics[StatisticsResultsAlgorithm.most_traded_security_statistic]most_traded_security_trade_count_statistic = statistics[StatisticsResultsAlgorithm.most_traded_security_trade_count_statistic]self.log(f"Most traded security: {most_traded_security_statistic}")self.log(f"Most traded security trade count: {most_traded_security_trade_count_statistic}")if most_traded_security_statistic != most_traded_security:raise AssertionError(f"Most traded security should be {most_traded_security} but it is {most_traded_security_statistic}")if most_traded_security_trade_count_statistic != str(trade_count):raise AssertionError(f"Most traded security trade count should be {trade_count} but it is {most_traded_security_trade_count_statistic}")def get_most_trade_security(self) -> tuple[Symbol, int]:most_trade_security = max(self.trade_counts, key=lambda symbol: self.trade_counts[symbol])most_trade_security_trade_count = self.trade_counts[most_trade_security]return most_trade_security, most_trade_security_trade_count
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