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Fixes for OpenInterest storing (#4712)

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- Fix Slice.Get OpenInterest type. Adding unit test
- Fix for SecurityCache that wasn't storing OpenInterest types
- Updateing regression tests to covere these usages
This commit is contained in:
Martin-Molinero
2020-09-11 19:28:27 -03:00
committed by GitHub
parent 60b8cf76ba
commit 4a0fb30df5
5 changed files with 122 additions and 44 deletions
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Algorithm.Python/OptionOpenInterestRegressionAlgorithm.py
+12 -2
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@@ -19,6 +19,7 @@ AddReference("QuantConnect.Common")
from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Data.Market import *
from datetime import datetime, timedelta
### <summary>
@@ -48,9 +49,18 @@ class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
if float(contract.Symbol.ID.StrikePrice) == 72.5 and \
contract.Symbol.ID.OptionRight == OptionRight.Call and \
contract.Symbol.ID.Date == datetime(2016, 1, 15):
if slice.Time.date() == datetime(2014, 6, 5).date() and contract.OpenInterest != 50:
history = self.History(contract.Symbol, timedelta(1))["openinterest"]
if len(history.index) == 0 or 0 in history.values:
raise ValueError("Regression test failed: open interest history request is empty")
security = self.Securities[contract.Symbol]
openInterestCache = security.Cache.GetData[OpenInterest]()
if openInterestCache == None:
raise ValueError("Regression test failed: current open interest isn't in the security cache")
if slice.Time.date() == datetime(2014, 6, 5).date() and (contract.OpenInterest != 50 or security.OpenInterest != 50):
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
if slice.Time.date() == datetime(2014, 6, 6).date() and contract.OpenInterest != 70:
if slice.Time.date() == datetime(2014, 6, 6).date() and (contract.OpenInterest != 70 or security.OpenInterest != 70):
raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
if slice.Time.date() == datetime(2014, 6, 6).date():
self.MarketOrder(contract.Symbol, 1)