Jhonathan Abreu
16c4259342
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* Add new QCAlgorithm.OptionChain method to get full data option chain * Add extension method to get canonical symbol * Support future options in new OptionChain method * Replace option chain provider with OptionChain method in some regression algorithms * Add new regression algorithms for OptionChain method * Replace option chain provider with OptionChain method in some regression algorithms * Minor * Cleanup * Minor changes in regression algorithms * Minor adjustments
68 lines
2.9 KiB
Python
68 lines
2.9 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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### This regression algorithm tests using FutureOptions daily resolution
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### </summary>
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class FutureOptionDailyRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2012, 1, 3)
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self.set_end_date(2012, 1, 4)
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resolution = Resolution.DAILY
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# Add our underlying future contract
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self.dc = self.add_future_contract(
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Symbol.create_future(
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Futures.Dairy.CLASS_III_MILK,
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Market.CME,
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datetime(2012, 4, 1)
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),
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resolution).symbol
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# Attempt to fetch a specific ITM future option contract
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dc_options = [
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self.add_future_option_contract(x, resolution).symbol
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for x in self.option_chain(self.dc)
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if x.id.strike_price == 17 and x.id.option_right == OptionRight.CALL
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]
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self.dc_option = dc_options[0]
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# Validate it is the expected contract
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expected_contract = Symbol.create_option(self.dc, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 17, datetime(2012, 4, 1))
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if self.dc_option != expected_contract:
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raise AssertionError(f"Contract {self.dc_option} was not the expected contract {expected_contract}")
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# Schedule a purchase of this contract tomorrow at 10AM when the market is open
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self.schedule.on(self.date_rules.tomorrow, self.time_rules.at(10,0,0), self.schedule_callback_buy)
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# Schedule liquidation at 2pm tomorrow when the market is open
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self.schedule.on(self.date_rules.tomorrow, self.time_rules.at(14,0,0), self.schedule_callback_liquidate)
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def schedule_callback_buy(self):
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self.market_order(self.dc_option, 1)
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def on_data(self, slice):
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# Assert we are only getting data at 5PM NY, for DC future market closes at 16pm chicago
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if slice.time.hour != 17:
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raise AssertionError(f"Expected data at 7PM each day; instead was {slice.time}")
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def schedule_callback_liquidate(self):
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self.liquidate()
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def on_end_of_algorithm(self):
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if self.portfolio.invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
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