github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity

Fix 0DTE index options selection (#8418)
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled

Browse Source 
* Revert parts of GH PR 8395 to fix 0DTE index options

* Add regression algorithms

* Cleanup

* Cleanup
This commit is contained in:
Jhonathan Abreu
2024-11-20 09:18:11 -04:00
committed by GitHub
parent fa1ef4f763
commit 760071a2f7
18 changed files with 453 additions and 50 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Algorithm.Python/OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.py
+1 -1
View File
@@ -27,6 +27,6 @@ class OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm(OptionPriceM
# BlackScholes model supports European style options
option.price_model = OptionPriceModels.black_scholes()
self.set_warmup(8, Resolution.DAILY)
self.set_warmup(7, Resolution.DAILY)
self.init(option, option_style_is_supported=True)