Security re-addition tidy up

Algorithm.CSharp/SecurityInitializationOnReAdditionForEquityRegressionAlgorithm.cs

@@ -0,0 +1,188 @@
+/*
+ * 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 System.Linq;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
+    /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
+    /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
+    ///
+    /// This specific algorithm tests this behavior for equities.
+    /// </summary>
+    public class SecurityInitializationOnReAdditionForEquityRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Security _security;
+        private Queue<DateTime> _tradableDates;
+        private bool _securityWasRemoved;
+
+        protected virtual DateTime StartTimeToUse => new DateTime(2013, 10, 05);
+
+        protected virtual DateTime EndTimeToUse => new DateTime(2013, 10, 30);
+
+        public override void Initialize()
+        {
+            SetStartDate(StartTimeToUse);
+            SetEndDate(EndTimeToUse);
+
+            _security = AddSecurity();
+
+            _tradableDates = new(QuantConnect.Time.EachTradeableDay(_security.Exchange.Hours, StartDate, EndDate));
+
+            Schedule.On(DateRules.EveryDay(_security.Symbol), TimeRules.Midnight, () =>
+            {
+                var currentTradableDate = _tradableDates.Dequeue();
+                if (currentTradableDate != Time.Date)
+                {
+                    throw new RegressionTestException($"Expected the current tradable date to be {Time.Date}. Got {currentTradableDate}");
+                }
+
+                if (Time == StartDate)
+                {
+                    return;
+                }
+
+                // Remove the security every day
+                Debug($"[{Time}] Removing the security");
+                _securityWasRemoved = RemoveSecurity(_security.Symbol);
+
+                if (!_securityWasRemoved)
+                {
+                    throw new RegressionTestException($"Expected the security to be removed");
+                }
+
+                if (_security.IsTradable)
+                {
+                    throw new RegressionTestException($"Expected the security to be not tradable after removing it");
+                }
+            });
+        }
+
+        protected virtual Security AddSecurity()
+        {
+            return AddEquity("SPY");
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            if (_securityWasRemoved)
+            {
+                if (changes.AddedSecurities.Count > 0)
+                {
+                    throw new RegressionTestException($"Expected no securities to be added. Got {changes.AddedSecurities.Count}");
+                }
+
+                if (!changes.RemovedSecurities.Contains(_security))
+                {
+                    throw new RegressionTestException($"Expected the security to be removed. Got {changes.RemovedSecurities.Count}");
+                }
+
+                _securityWasRemoved = false;
+
+                // Add the security back
+                Debug($"[{Time}] Re-adding the security");
+                var reAddedSecurity = AddSecurity();
+
+                if (!ReferenceEquals(reAddedSecurity, _security))
+                {
+                    throw new RegressionTestException($"Expected the re-added security to be the same as the original security");
+                }
+
+                if (!reAddedSecurity.IsTradable)
+                {
+                    throw new RegressionTestException($"Expected the re-added security to be tradable");
+                }
+            }
+            else if (!changes.AddedSecurities.Contains(_security))
+            {
+                throw new RegressionTestException($"Expected the security to be added back");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_tradableDates.Count > 0)
+            {
+                throw new RegressionTestException($"Expected no more tradable dates. Still have {_tradableDates.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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 4036;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual 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 virtual 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", "-5.028"},
+            {"Tracking Error", "0.11"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm.cs

@@ -0,0 +1,92 @@
+/*
+ * 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.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
+    /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
+    /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
+    ///
+    /// This specific algorithm tests this behavior for manually added option contracts.
+    /// </summary>
+    public class SecurityInitializationOnReAdditionForManuallyAddedOptionRegressionAlgorithm : SecurityInitializationOnReAdditionForEquityRegressionAlgorithm
+    {
+        private static readonly Symbol _optionContractSymbol = QuantConnect.Symbol.CreateOption(
+            QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
+            Market.USA,
+            OptionStyle.American,
+            OptionRight.Call,
+            342.9m,
+            new DateTime(2014, 07, 19));
+
+        protected override DateTime StartTimeToUse => new DateTime(2014, 06, 04);
+
+        protected override DateTime EndTimeToUse => new DateTime(2014, 06, 20);
+
+        protected override Security AddSecurity()
+        {
+            return AddOptionContract(_optionContractSymbol, Resolution.Daily);
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 115;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override 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", "-6.27"},
+            {"Tracking Error", "0.056"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}