Ronit Jain
15066ae5e1
* add data count properties * 'add history count property * assert data counts * update missing override * consider override/virtual cases * implement data count * add message handler for regression tests * use regression test message handler * set algorithm manager for regression test message handler * update data count * check if stats are present, check if algo manager is not null * update * add c# algo * make same as c# algo * use new line * logic shifted to RegressionTestMessageHandler * cleanup * auto cleanup * skip non deterministic data count * change data count * use inheritance * improve stats * update couht * add sma indicator to c# and customSMA to python * call base method before executing further * skip test * revert to original * add duplicate sma * skip regression test
96 lines
4.0 KiB
Python
96 lines
4.0 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 that we receive the expected data when
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### we add future option contracts individually using <see cref="AddFutureOptionContract"/>
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### </summary>
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class AddFutureOptionContractDataStreamingRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.onDataReached = False
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self.invested = False
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self.symbolsReceived = []
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self.expectedSymbolsReceived = []
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self.dataReceived = {}
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self.SetStartDate(2020, 1, 4)
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self.SetEndDate(2020, 1, 6)
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self.es20h20 = self.AddFutureContract(
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Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2020, 3, 20)),
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Resolution.Minute).Symbol
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self.es19m20 = self.AddFutureContract(
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Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, datetime(2020, 6, 19)),
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Resolution.Minute).Symbol
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optionChains = self.OptionChainProvider.GetOptionContractList(self.es20h20, self.Time + timedelta(days=1))
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optionChains += self.OptionChainProvider.GetOptionContractList(self.es19m20, self.Time)
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for optionContract in optionChains:
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self.expectedSymbolsReceived.append(self.AddFutureOptionContract(optionContract, Resolution.Minute).Symbol)
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def OnData(self, data: Slice):
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if not data.HasData:
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return
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self.onDataReached = True
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hasOptionQuoteBars = False
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for qb in data.QuoteBars.Values:
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if qb.Symbol.SecurityType != SecurityType.FutureOption:
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continue
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hasOptionQuoteBars = True
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self.symbolsReceived.append(qb.Symbol)
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if qb.Symbol not in self.dataReceived:
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self.dataReceived[qb.Symbol] = []
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self.dataReceived[qb.Symbol].append(qb)
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if self.invested or not hasOptionQuoteBars:
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return
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if data.ContainsKey(self.es20h20) and data.ContainsKey(self.es19m20):
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self.SetHoldings(self.es20h20, 0.2)
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self.SetHoldings(self.es19m20, 0.2)
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self.invested = True
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def OnEndOfAlgorithm(self):
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super().OnEndOfAlgorithm()
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self.symbolsReceived = list(set(self.symbolsReceived))
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self.expectedSymbolsReceived = list(set(self.expectedSymbolsReceived))
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if not self.onDataReached:
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raise AssertionError("OnData() was never called.")
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if len(self.symbolsReceived) != len(self.expectedSymbolsReceived):
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raise AssertionError(f"Expected {len(self.expectedSymbolsReceived)} option contracts Symbols, found {len(self.symbolsReceived)}")
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missingSymbols = [expectedSymbol for expectedSymbol in self.expectedSymbolsReceived if expectedSymbol not in self.symbolsReceived]
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if any(missingSymbols):
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raise AssertionError(f'Symbols: "{", ".join(missingSymbols)}" were not found in OnData')
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for expectedSymbol in self.expectedSymbolsReceived:
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data = self.dataReceived[expectedSymbol]
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for dataPoint in data:
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dataPoint.EndTime = datetime(1970, 1, 1)
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nonDupeDataCount = len(set(data))
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if nonDupeDataCount < 1000:
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raise AssertionError(f"Received too few data points. Expected >=1000, found {nonDupeDataCount} for {expectedSymbol}")
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