Add DeregisterAll and automatic indicator deregistration on security removal

Algorithm.CSharp/AutomaticIndicatorDeregistrationRegressionAlgorithm.cs

@@ -0,0 +1,145 @@
+/*
+ * 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 System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example and regression algorithm asserting the behavior of <see cref="IAlgorithmSettings.AutomaticIndicatorDeregistration"/>:
+    /// when enabled, helper-created indicators are automatically deregistered when their security is removed from the
+    /// algorithm, without any explicit cleanup call
+    /// </summary>
+    public class AutomaticIndicatorDeregistrationRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private Symbol _ibm;
+        private RelativeStrengthIndex _ibmRsi;
+        private SimpleMovingAverage _ibmSma;
+        private bool _removed;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            Settings.AutomaticIndicatorDeregistration = true;
+
+            _spy = AddEquity("SPY").Symbol;
+            _ibm = AddEquity("IBM").Symbol;
+
+            _ibmRsi = RSI(_ibm, 14, resolution: Resolution.Minute);
+            _ibmSma = SMA(_ibm, 10, Resolution.Minute);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!_removed && Time.Day == 9)
+            {
+                _removed = true;
+                RemoveSecurity(_ibm);
+            }
+
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_spy, 0.5m);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_removed)
+            {
+                throw new RegressionTestException("The security should have been removed");
+            }
+            // the indicators were deregistered by the engine when the security was completely removed,
+            // no explicit cleanup call needed
+            if (_ibmRsi.Consolidators.Count != 0 || _ibmSma.Consolidators.Count != 0)
+            {
+                throw new RegressionTestException("The removed security indicators should have been automatically deregistered");
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 5506;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "93.262%"},
+            {"Drawdown", "1.100%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100845.96"},
+            {"Net Profit", "0.846%"},
+            {"Sharpe Ratio", "6.447"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.235%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.268"},
+            {"Beta", "0.496"},
+            {"Annual Standard Deviation", "0.11"},
+            {"Annual Variance", "0.012"},
+            {"Information Ratio", "-11.27"},
+            {"Tracking Error", "0.112"},
+            {"Treynor Ratio", "1.435"},
+            {"Total Fees", "$1.72"},
+            {"Estimated Strategy Capacity", "$87000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "9.96%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "d17dbd01fd291aab1eb04cf714ceba93"}
+        };
+    }
+}

Algorithm.CSharp/DeregisterAllRegressionAlgorithm.cs

@@ -0,0 +1,186 @@
+/*
+ * 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 System.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example and regression algorithm asserting the behavior of <see cref="QCAlgorithm.DeregisterAll(Symbol)"/>:
+    /// on security removal, a single call disposes all the indicators and consolidators created for it through the
+    /// algorithm helper methods, so add/remove churn doesn't leak consolidators, and re-adding the security with
+    /// fresh indicators keeps working
+    /// </summary>
+    public class DeregisterAllRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private Symbol _ibm;
+        private RelativeStrengthIndex _ibmRsi;
+        private SimpleMovingAverage _ibmSma;
+        private SimpleMovingAverage _newIbmSma;
+        private int _ibmConsolidatedCount;
+        private int _ibmConsolidatedCountAtRemoval;
+        private long _ibmRsiSamplesAtRemoval;
+        private bool _removed;
+        private bool _readded;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            _spy = AddEquity("SPY").Symbol;
+            _ibm = AddEquity("IBM").Symbol;
+
+            // per symbol state created through the helper methods, tracked by the engine
+            _ibmRsi = RSI(_ibm, 14, resolution: Resolution.Minute);
+            _ibmSma = SMA(_ibm, 10, Resolution.Minute);
+            Consolidate(_ibm, Resolution.Hour, (TradeBar bar) => _ibmConsolidatedCount++);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!_removed && Time.Day == 8)
+            {
+                _removed = true;
+                RemoveSecurity(_ibm);
+            }
+            else if (_removed && !_readded && Time.Day == 10)
+            {
+                _readded = true;
+                // re-adding the security after cleanup works: the helpers create fresh consolidators
+                AddEquity("IBM");
+                _newIbmSma = SMA(_ibm, 10, Resolution.Minute);
+            }
+
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_spy, 0.5m);
+            }
+        }
+
+        /// <summary>
+        /// Event fired each time the we add/remove securities from the data feed
+        /// </summary>
+        /// <param name="changes">Security additions/removals for this time step</param>
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            foreach (var security in changes.RemovedSecurities)
+            {
+                // single call cleanup of every helper-created indicator and consolidator of the removed security
+                DeregisterAll(security.Symbol);
+
+                if (security.Symbol == _ibm)
+                {
+                    _ibmRsiSamplesAtRemoval = _ibmRsi.Samples;
+                    _ibmConsolidatedCountAtRemoval = _ibmConsolidatedCount;
+
+                    if (_ibmRsi.Consolidators.Count != 0 || _ibmSma.Consolidators.Count != 0)
+                    {
+                        throw new RegressionTestException("The removed security indicators should have no consolidators after DeregisterAll");
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (!_removed || _ibmRsiSamplesAtRemoval == 0)
+            {
+                throw new RegressionTestException("The security should have been removed and its indicators deregistered");
+            }
+            if (_ibmRsi.Samples != _ibmRsiSamplesAtRemoval || _ibmConsolidatedCount != _ibmConsolidatedCountAtRemoval)
+            {
+                throw new RegressionTestException("Deregistered indicators and consolidators should have stopped getting updates");
+            }
+            if (_newIbmSma == null || !_newIbmSma.IsReady)
+            {
+                throw new RegressionTestException("Indicators created after re-adding the security should be getting updates");
+            }
+        }
+
+        /// <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 => 6285;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "93.262%"},
+            {"Drawdown", "1.100%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100845.96"},
+            {"Net Profit", "0.846%"},
+            {"Sharpe Ratio", "6.447"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.235%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.268"},
+            {"Beta", "0.496"},
+            {"Annual Standard Deviation", "0.11"},
+            {"Annual Variance", "0.012"},
+            {"Information Ratio", "-11.27"},
+            {"Tracking Error", "0.112"},
+            {"Treynor Ratio", "1.435"},
+            {"Total Fees", "$1.72"},
+            {"Estimated Strategy Capacity", "$87000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "9.96%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "d17dbd01fd291aab1eb04cf714ceba93"}
+        };
+    }
+}