Jhonathan Abreu
9e31261116
* Add open interest data to future chains contracts Even though futures chains and contracts are not created from internal subscriptions data (like OI subscriptions or continuous futures contracts subscriptions), we still want to add OI data to already created contracts given that OI subscriptions are always internal but trade an quote ones are not. * Minor changes
65 lines
3.3 KiB
Python
65 lines
3.3 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Options Open Interest data regression test.
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### </summary>
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### <meta name="tag" content="options" />
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### <meta name="tag" content="regression test" />
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class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_cash(1000000)
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self.set_start_date(2014,6,5)
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self.set_end_date(2014,6,6)
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option = self.add_option("TWX")
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# set our strike/expiry filter for this option chain
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option.set_filter(-10, 10, timedelta(0), timedelta(365*2))
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# use the underlying equity as the benchmark
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self.set_benchmark("TWX")
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def on_data(self, slice):
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if not self.portfolio.invested:
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for chain in slice.option_chains:
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for contract in chain.value:
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if float(contract.symbol.id.strike_price) == 72.5 and \
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contract.symbol.id.option_right == OptionRight.CALL and \
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contract.symbol.id.date == datetime(2016, 1, 15):
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history = self.history(OpenInterest, contract.symbol, timedelta(1))["openinterest"]
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if len(history.index) == 0 or 0 in history.values:
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raise ValueError("Regression test failed: open interest history request is empty")
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security = self.securities[contract.symbol]
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open_interest_cache = security.cache.get_data(OpenInterest)
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if open_interest_cache == None:
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raise ValueError("Regression test failed: current open interest isn't in the security cache")
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if slice.time.date() == datetime(2014, 6, 5).date() and (contract.open_interest != 50 or security.open_interest != 50):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
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if slice.time.date() == datetime(2014, 6, 6).date() and (contract.open_interest != 70 or security.open_interest != 70):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
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if slice.time.date() == datetime(2014, 6, 6).date():
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self.market_order(contract.symbol, 1)
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self.market_on_close_order(contract.symbol, -1)
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if all(contract.open_interest == 0 for contract in chain.value):
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raise ValueError("Regression test failed: open interest is zero for all contracts")
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def on_order_event(self, order_event):
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self.log(str(order_event))
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