Add OptionUniverse history regression algorithms

2024-07-17 15:28:01 -04:00
parent d3fd0fe73d
commit c482ad63aa
3 changed files with 175 additions and 0 deletions
@@ -0,0 +1,46 @@
+# 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 AlgorithmImports import *
+
+### <summary>
+### Regression algorithm testing history requests for <see cref="OptionUniverse"/> type work as expected
+### and return the same data as the option chain provider.
+### </summary>
+class OptionUniverseHistoryRegressionAlgorithm(QCAlgorithm):
+
+    def initialize(self):
+        self.set_start_date(2015, 12, 25)
+        self.set_end_date(2015, 12, 25)
+
+        option = self.add_option("GOOG").symbol
+
+        #historical_options_data = self.history(OptionUniverse, option, 3, Resolution.DAILY)
+        historical_options_data = list(self.history[OptionUniverse](option, 3, Resolution.DAILY))
+
+        if len(historical_options_data) != 3:
+            raise RegressionTestException(f"Expected 3 option chains from history request, but got {historical_options_data.Count}")
+
+        for history_option_universe in historical_options_data:
+            date = history_option_universe.end_time
+            chain = list(self.option_chain_provider.get_option_contract_list(option, date))
+
+            if len(chain) == 0:
+                raise RegressionTestException(f"No options in chain on {date}")
+
+            if len(chain) != len(history_option_universe.data):
+                raise RegressionTestException(f"Expected {len(chain)} options in chain on {date}, but got {len(history_option_universe.data.data)}")
+
+            for i in range(len(chain)):
+                if history_option_universe.data[i].symbol != chain[i]:
+                    raise RegressionTestException(f"Missing option contract {chain[i]} on {date}")