/* * 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. * */ using System.Linq; using QuantConnect.Data; using System.Collections.Generic; namespace QuantConnect.Algorithm.CSharp { /// /// Regression for running an IndexOptions algorithm with Daily data /// public class BasicTemplateIndexOptionsDailyAlgorithm : BasicTemplateIndexOptionsAlgorithm { protected override Resolution Resolution => Resolution.Daily; protected override int StartDay => 1; /// /// Index EMA Cross trading index options of the index. /// public override void OnData(Slice slice) { foreach (var chain in slice.OptionChains.Values) { // Select the contract with the lowest AskPrice var contract = chain.Contracts.OrderBy(x => x.Value.AskPrice).FirstOrDefault().Value; if (contract == null) { return; } if (Portfolio.Invested) { Liquidate(); } else { MarketOrder(contract.Symbol, 1); } } } /// /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm. /// public override bool CanRunLocally { get; } = true; /// /// This is used by the regression test system to indicate which languages this algorithm is written in. /// public override Language[] Languages { get; } = { Language.CSharp }; /// /// Data Points count of all timeslices of algorithm /// public override long DataPoints => 0; /// /// Data Points count of the algorithm history /// public override int AlgorithmHistoryDataPoints => 0; /// /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm /// public override Dictionary ExpectedStatistics => new Dictionary { {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"} }; } }