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Fix 0DTE index options selection (#8418)
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* 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
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Algorithm.Python/OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm.py
+1 -1
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@@ -27,6 +27,6 @@ class OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm(OptionPric
# BaroneAdesiWhaley model does not support European style options
option.price_model = OptionPriceModels.barone_adesi_whaley()
self.set_warmup(8, Resolution.DAILY)
self.set_warmup(7, Resolution.DAILY)
self.init(option, option_style_is_supported=False)