Make FOPs selection universe file-based for backtesting

2024-12-10 16:52:43 -04:00
parent be4a34c7e4
commit 2ba70daca3
25 changed files with 1275 additions and 49 deletions
@@ -46,9 +46,7 @@ class AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorith
        if expiry is None or symbol is None:
            raise AssertionError("Expected a single Option contract in the chain, found 0 contracts")

-        enumerator = option_contracts.get_enumerator()
-        while enumerator.move_next():
-            self.expected_symbols_received.append(enumerator.current.symbol)
+        self.expected_symbols_received.extend([x.symbol for x in option_contracts])

        return option_contracts

@@ -74,7 +72,7 @@ class AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorith
        if self.invested or not has_option_quote_bars:
            return

-        for chain in data.option_chains.values():
+        for chain in sorted(data.option_chains.values(), key=lambda chain: chain.symbol.underlying.id.date):
            future_invested = False
            option_invested = False