Use a time keeper to get the actual backtest/like date in SIDs generation
Use correct current date to query map file to generate equity SIDs
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Test algorithm to assert we receive option chains for the canonical option symbol.
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/// This algorithm will be used to run a unit test instead of a regression test, and
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/// it will be used to assert the correct underlying SID is generated with the correct date
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/// for the backtest current date.
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/// </summary>
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public class OptionAssignmentMappingTestAlgorithm : OptionAssignmentRegressionAlgorithm
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{
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private bool _chainsChecked;
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private Option _canonicalOption;
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public override void Initialize()
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{
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base.Initialize();
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_canonicalOption = AddOption(Stock.Symbol, Resolution.Minute);
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}
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public override void OnData(Slice slice)
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{
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base.OnData(slice);
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if (slice.OptionChains.TryGetValue(_canonicalOption.Symbol, out var chain) && chain.Count > 0)
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{
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_chainsChecked = true;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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base.OnEndOfAlgorithm();
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if (!_chainsChecked)
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{
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throw new RegressionTestException("No options chains received");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public override bool CanRunLocally { get; } = false;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override List<Language> Languages { get; } = new() { Language.CSharp };
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}
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}
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