Add regression algorithms for this bug fix

2018-05-25 21:42:12 +02:00
parent 50ab5178e2
commit ae427a14d0
4 changed files with 88 additions and 2 deletions
@@ -0,0 +1,41 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from clr import AddReference
+AddReference("System")
+AddReference("QuantConnect.Algorithm")
+AddReference("QuantConnect.Common")
+
+from System import *
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from datetime import timedelta
+
+### <summary>
+### This algorithm is a regression test for issue #2018 and PR #2038.
+### </summary>
+class OptionDataNullReferenceRegressionAlgorithm(QCAlgorithm):
+
+    def Initialize(self):
+        self.SetStartDate(2016, 12, 1)
+        self.SetEndDate(2017, 1, 1)
+        self.SetCash(500000)
+
+        self.AddEquity("DUST")
+
+        option = self.AddOption("DUST")
+
+        option.SetFilter(self.UniverseFunc)
+
+    def UniverseFunc(self, universe):
+        return universe.IncludeWeeklys().Strikes(-1, +1).Expiration(timedelta(25), timedelta(100))