Improve ObjectStore ergonomics for end-of-run persistence

Algorithm.CSharp/ObjectStoreErgonomicsRegressionAlgorithm.cs

@@ -0,0 +1,162 @@
+/*
+ * 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;
+using System.Collections.Generic;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the ObjectStore ergonomics: unsupported keys are rejected with the
+    /// key rules stated in the error, <see cref="Storage.ObjectStore.SanitizeKey"/> converts arbitrary names
+    /// into supported keys, <see cref="Storage.ObjectStore.SaveText"/> is an alias of Save and reading a
+    /// missing key lists the available keys in the error. The Python version of this algorithm additionally
+    /// covers the tolerant save_json/read_json and save_dataframe helpers
+    /// </summary>
+    public class ObjectStoreErgonomicsRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <summary>
+        /// Initialize 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, 7);
+            SetEndDate(2013, 10, 11);
+
+            SetBenchmark(x => 0);
+
+            AddEquity("SPY", Resolution.Daily);
+        }
+
+        /// <summary>
+        /// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation.
+        /// </summary>
+        public override void OnEndOfAlgorithm()
+        {
+            // an unsupported key, e.g. built from a user-facing name, is rejected stating the rules and the fix
+            const string invalidKey = "trade_log_ai_hardware_&_cloud.csv";
+            var errorMessage = string.Empty;
+            try
+            {
+                ObjectStore.Save(invalidKey, "a,b\n1,2");
+            }
+            catch (ArgumentException exception)
+            {
+                errorMessage = exception.Message;
+            }
+            if (!errorMessage.Contains(Storage.ObjectStore.SupportedKeyRules) || !errorMessage.Contains("SanitizeKey"))
+            {
+                throw new RegressionTestException($"Expected the key rules in the unsupported key error, got: '{errorMessage}'");
+            }
+
+            // SanitizeKey converts the arbitrary name into a supported key
+            var sanitized = Storage.ObjectStore.SanitizeKey(invalidKey);
+            if (sanitized != "trade_log_ai_hardware___cloud.csv")
+            {
+                throw new RegressionTestException($"Unexpected sanitized key: '{sanitized}'");
+            }
+            if (!Storage.ObjectStore.IsSupportedKey(sanitized) || !ObjectStore.Save(sanitized, "a,b\n1,2"))
+            {
+                throw new RegressionTestException("Expected the sanitized key to be storable");
+            }
+
+            // SaveText is an alias of Save
+            if (!ObjectStore.SaveText("ergonomics_report.txt", "The strategy went up") ||
+                ObjectStore.Read("ergonomics_report.txt") != "The strategy went up")
+            {
+                throw new RegressionTestException("Expected the SaveText/Read round trip to succeed");
+            }
+
+            // reading a missing key lists the available keys in the error
+            errorMessage = string.Empty;
+            try
+            {
+                ObjectStore.ReadBytes("ergonomics_missing.json");
+            }
+            catch (KeyNotFoundException exception)
+            {
+                errorMessage = exception.Message;
+            }
+            if (!errorMessage.Contains("Keys: [") || !errorMessage.Contains($"'{sanitized}'"))
+            {
+                throw new RegressionTestException($"Expected the available keys in the missing key error, got: '{errorMessage}'");
+            }
+
+            ObjectStore.Delete(sanitized);
+            ObjectStore.Delete("ergonomics_report.txt");
+        }
+
+        /// <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 => 6;
+
+        /// <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", "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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.Python/ObjectStoreErgonomicsRegressionAlgorithm.py

@@ -0,0 +1,104 @@
+# 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 decimal import Decimal
+
+### <summary>
+### Regression algorithm asserting the ObjectStore ergonomics: unsupported keys are rejected with the
+### key rules stated in the error, sanitize_key converts arbitrary names into supported keys, save_text
+### is an alias of save, reading a missing key lists the available keys in the error, and the tolerant
+### save_json/read_json and save_dataframe helpers handle datetime/date/Decimal/Symbol and data frames
+### out of the box.
+### </summary>
+class ObjectStoreErgonomicsRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2013, 10, 7)
+        self.set_end_date(2013, 10, 11)
+
+        self.set_benchmark(lambda x: 0)
+
+        self.spy = self.add_equity("SPY", Resolution.DAILY).symbol
+
+    def on_end_of_algorithm(self):
+        # an unsupported key, e.g. built from a user-facing name, is rejected stating the rules and the fix.
+        # note: BaseException because AlgorithmImports shadows the builtin Exception with System.Exception
+        invalid_key = "trade_log_ai_hardware_&_cloud.csv"
+        error = None
+        try:
+            self.object_store.save(invalid_key, "a,b\n1,2")
+        except BaseException as e:
+            error = str(e)
+        if error is None or "keys may only contain" not in error or "SanitizeKey" not in error:
+            raise AssertionError(f"Expected the key rules in the unsupported key error, got: '{error}'")
+
+        # sanitize_key converts the arbitrary name into a supported key
+        sanitized = self.object_store.sanitize_key(invalid_key)
+        if sanitized != "trade_log_ai_hardware___cloud.csv":
+            raise AssertionError(f"Unexpected sanitized key: '{sanitized}'")
+        if not self.object_store.save(sanitized, "a,b\n1,2"):
+            raise AssertionError("Expected the sanitized key to be storable")
+
+        # save_json tolerates datetime/date/Decimal/Symbol values and non-string dictionary keys
+        trade_log = {
+            "time": datetime(2013, 10, 11, 16, 0, 0),
+            "date": date(2013, 10, 11),
+            "qty": Decimal("1.5"),
+            "symbol": self.spy,
+            "fills": [{"price": Decimal("167.42"), self.spy: 10}]
+        }
+        if not self.object_store.save_json("ergonomics/trade_log.json", trade_log):
+            raise AssertionError("Expected save_json to succeed")
+        data = self.object_store.read_json("ergonomics/trade_log.json")
+        expected = {
+            "time": "2013-10-11T16:00:00",
+            "date": "2013-10-11",
+            "qty": 1.5,
+            "symbol": "SPY",
+            "fills": [{"price": 167.42, "SPY": 10}]
+        }
+        if data != expected:
+            raise AssertionError(f"Unexpected read_json round trip result: {data}")
+
+        # read_json returns the given default when the key is missing
+        if self.object_store.read_json("ergonomics/missing.json") is not None:
+            raise AssertionError("Expected read_json of a missing key to return None")
+        if self.object_store.read_json("ergonomics/missing.json", {"warmed_up": False}) != {"warmed_up": False}:
+            raise AssertionError("Expected read_json of a missing key to return the given default")
+
+        # save_dataframe stores a pandas DataFrame as CSV
+        frame = pd.DataFrame({"close": [167.42, 168.0]}, index=pd.to_datetime(["2013-10-10", "2013-10-11"]))
+        if not self.object_store.save_dataframe("ergonomics/history.csv", frame):
+            raise AssertionError("Expected save_dataframe to succeed")
+        csv = self.object_store.read("ergonomics/history.csv")
+        if "close" not in csv or "2013-10-10" not in csv:
+            raise AssertionError(f"Unexpected save_dataframe content: {csv}")
+
+        # save_text is an alias of save
+        if not self.object_store.save_text("ergonomics/report.txt", "The strategy went up"):
+            raise AssertionError("Expected save_text to succeed")
+        if self.object_store.read("ergonomics/report.txt") != "The strategy went up":
+            raise AssertionError("Expected the save_text/read round trip to succeed")
+
+        # reading a missing key lists the available keys in the error
+        error = None
+        try:
+            self.object_store.read_bytes("ergonomics/missing.json")
+        except BaseException as e:
+            error = str(e)
+        if error is None or "Keys: [" not in error or f"'{sanitized}'" not in error:
+            raise AssertionError(f"Expected the available keys in the missing key error, got: '{error}'")
+
+        for key in [sanitized, "ergonomics/trade_log.json", "ergonomics/history.csv", "ergonomics/report.txt"]:
+            self.object_store.delete(key)