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Jhonathan Abreu e29bb2c5e0
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File-based options universe (#8212)
* Initial options universe with greeks implementation

* Options universe improvements

* Address peer review

* File based options universe fixes and improvements.

- Adjust OptionUniverse start-end times and period.
- Adapt unit tests and some algorithms to pass with new options universe selection.

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Updated options regression algorithms stats for new universe data

* Option chain provider with new options universe

* Allow canonical option history requests

* Address peer review

* Address peer review

* Fix symbols parsing in OptionUniverse

* Fix universe selection subscriptions start time to not include extended market hours

* Minor changes

* Minor changes

* Peer recommended changes and fixes

* Update regression algorithm stats

* Update regression algorithms stats and minor fixes

* Fix option chain provider history request

* Round option indicators values

* Added option universe csv header property

* Update regression algorithms stats

* Update regression algorithms stats

* Data fixes and regression algos stats update

* Unit test fixes

* Minor changes

* Option chain handling in live trading data feed

* Minor changes

* Added processed data provider

* Fix thread-safety violation in Slice class

* Minor change

* Update options filter universe API to use OptionUniverse data

Add new filter methods for greeks, IV and open interest

* Option filter universe api updates

* Add OptionUniverse history regression algorithms

* Add regression algorithms for new options filter universe api methods

* Added options greeks data and updated regression algorithms

* Address peer review

* Address peer review

* Add more assertions to new options filter api regression algorithms

* Minor performance improvement.

Reduce greeks binomial model steps to 140

* Minor tests updates

* Greeks numerical models performance improvements

* Greeks numerical models performance improvements

* Revert array pool change for option pricing numerical models

* Update default dividend yield provider depending on option type

* [TEST]

* Add helper method con calculate time till expiration

* Use double in price option numerical models

* Implied volatility calculation improvements

- Adjust root finding method accuracy as a factor of the option price
- Use BSM to get a first guess

* Cleanup

* Some regression algorithms and unit tests cleanup

* Regression tests updates after rebasing from master

* Add universe files

* Self review and cleanup

* Minor regression tests updates after rebase

* Fix: set data time zone to same as exchange tz for options universes

* Minor change

* Minor change

* Fix for live trading options universe selection

* Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator

* Update index options regression algorithms stats

* Minor change

* Address peer review

* Memory usage improvements

* Minor build fix

* Minor changes and test fixes

* Cache symbols in OptionUniverse

* Cleanup

* Fix index option creation in OptionUniverse

* Use cached underlying SID when parsing from string

* Abstract symbols cache to BaseDataCollection

* Return actual underlying symbol when mapping decomposing ICO ticker

* Address peer review

* Minor performance improvements reduce garbage

* Limit Symbols and SIDs cache size to help with memory usage

* Minor fix in symbols and sid cache cleanup

* Build fix

* Lazily parse greeks on individual access

* Cleanup and tests

* Address peer review

* Minor greeks fix

---------

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
2024-09-09 12:39:31 -03:00

75 lines
2.6 KiB
C#

/*
* 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 NUnit.Framework;
using QuantConnect.Configuration;
using QuantConnect.Lean.Engine.DataFeeds;
using System.IO;
namespace QuantConnect.Tests.Engine.DataProviders
{
[TestFixture]
public class ProcessedDataProviderTests
{
private ProcessedDataProvider _processedDataProvider;
private string _originalProcessedDataDirectory;
[OneTimeSetUp]
public void Setup()
{
// Set up the processed data provider
_originalProcessedDataDirectory = Config.Get("processed-data-directory");
Config.Set("processed-data-directory", "TestData");
_processedDataProvider = new ProcessedDataProvider();
}
[OneTimeTearDown]
public void TearDown()
{
_processedDataProvider.Dispose();
// Revert the configuration
Config.Set("processed-data-directory", _originalProcessedDataDirectory);
}
private static TestCaseData[] ExistingDataTestCases => new[]
{
// Exists in the processed data directory
new TestCaseData(Path.Combine(Globals.DataFolder, "spy_10_min.txt"), true),
// Does not exist in the processed data directory but exists in the main data folder
new TestCaseData(Path.Combine(Globals.DataFolder, "equity/usa/minute/aapl/20140606_trade.zip"), true),
// Neither the processed data directory nor in the main data folder
new TestCaseData(Path.Combine(Globals.DataFolder, "equity/usa/minute/somestock/19980606_trade.zip"), false)
};
[TestCaseSource(nameof(ExistingDataTestCases))]
public void ProcessedDataProvider_CanReadDataThatExists(string path, bool exists)
{
var stream = _processedDataProvider.Fetch(path);
if (exists)
{
Assert.IsNotNull(stream);
}
else
{
Assert.IsNull(stream);
}
}
}
}