Daily data time adjustment (#8001)

* Daily data Time & EndTime Improvement - Adjust daily data Time & EndTime to actually reflect the time of the data used, for example US Equity from 9.30 to 4PM. Adding new unit and regression tests * Refactor solution to use enumerator - Refactor daily strict end times solution to be through enumerator usage, so it applies for history providers too * Minor fixes * Revert fill forward enumerator change - Revert FillForward enumerator causing stats changing, enhancing unit tests * Some cleanup * Improve handling of live trading FF enumerator - Improve handling of live trading FF enumerator, by adding support for bars to arrive with a delay so we can handle auction close/option prices or data providers which might have some delay making the data available. Adding new unit tests asserting the behavior
2024-05-20 17:28:03 -03:00
parent c30ea9d293
commit d4e7f584f6
83 changed files with 2205 additions and 486 deletions
@@ -0,0 +1,67 @@
+# 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
+
+import datetime
+from AlgorithmImports import *
+
+class BasicTemplateIndexDailyAlgorithm(QCAlgorithm):
+    
+    def initialize(self) -> None:
+        self.set_start_date(2021, 1, 1)
+        self.set_end_date(2021, 1, 18)
+        self.set_cash(1000000)
+
+        # Use indicator for signal; but it cannot be traded
+        self.spx = self.add_index("SPX", Resolution.DAILY).symbol
+
+        # Trade on SPX ITM calls
+        self.spx_option = Symbol.create_option(
+            self.spx,
+            Market.USA,
+            OptionStyle.EUROPEAN,
+            OptionRight.CALL,
+            3200,
+            datetime(2021, 1, 15)
+        )
+
+        self.add_index_option_contract(self.spx_option, Resolution.DAILY)
+
+        self.ema_slow = self.ema(self.spx, 80)
+        self.ema_fast = self.ema(self.spx, 200)
+
+        self.ExpectedBarCount = 10
+        self.BarCounter = 0
+
+        self.settings.daily_strict_end_time_enabled = True
+
+    def on_data(self, data: Slice):
+        if not self.Portfolio.Invested:
+            # SPX Index is not tradable, but we can trade an option
+            self.MarketOrder(self.spx_option, 1)
+        else:
+            self.Liquidate()
+
+        # Count how many slices we receive with SPX data in it to assert later
+        if data.ContainsKey(self.spx):
+            self.BarCounter = self.BarCounter + 1
+
+    def OnEndOfAlgorithm(self):
+        if self.BarCounter != self.ExpectedBarCount:
+            raise ValueError(f"Bar Count {self.BarCounter} is not expected count of {self.ExpectedBarCount}")
+
+        for symbol in [ self.spx_option, self.spx ]:
+            history = self.History(symbol, 10)
+            if len(history) != 10:
+                raise ValueError(f"Unexpected history count: {history.Count}")
+            if any(x for x in history.index.get_level_values('time') if x.time() != time(15, 15, 0)):
+                raise ValueError(f"Unexpected history data time")