Jhonathan Abreu
f1076020af
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* Add fillForward parameters to every History method * Remove conflicting Python history method * Undo removing conflicting Python history method * Minor changes * Minor changes * Minor changes * Add fillForward and extendedMarket parameters to history request factory * Minor changes * Minor changes * Minor changes * Minor changes * Minor unit tests changes * Rename fillForward parameter in History API New name if fillDataForward as in the Add*Security API to standarize parameters naming * Rename fillForward parameter Using the shorter fillForward in every API
72 lines
3.8 KiB
Python
72 lines
3.8 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 asserts that futures have data at extended market hours when this is enabled.
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### </summary>
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class FuturesExtendedMarketHoursRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 6)
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self.SetEndDate(2013, 10, 11)
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self._es = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Hour, fillForward=True, extendedMarketHours=True)
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self._es.SetFilter(0, 180)
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self._gc = self.AddFuture(Futures.Metals.Gold, Resolution.Hour, fillForward=True, extendedMarketHours=False)
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self._gc.SetFilter(0, 180)
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self._esRanOnRegularHours = False
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self._esRanOnExtendedHours = False
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self._gcRanOnRegularHours = False
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self._gcRanOnExtendedHours = False
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def OnData(self, slice):
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sliceSymbols = set(slice.Keys)
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sliceSymbols.update(slice.Bars.Keys)
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sliceSymbols.update(slice.Ticks.Keys)
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sliceSymbols.update(slice.QuoteBars.Keys)
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sliceSymbols.update([x.Canonical for x in sliceSymbols])
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esIsInRegularHours = self._es.Exchange.Hours.IsOpen(self.Time, False)
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esIsInExtendedHours = not esIsInRegularHours and self._es.Exchange.Hours.IsOpen(self.Time, True)
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sliceHasESData = self._es.Symbol in sliceSymbols
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self._esRanOnRegularHours |= esIsInRegularHours and sliceHasESData
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self._esRanOnExtendedHours |= esIsInExtendedHours and sliceHasESData
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gcIsInRegularHours = self._gc.Exchange.Hours.IsOpen(self.Time, False)
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gcIsInExtendedHours = not gcIsInRegularHours and self._gc.Exchange.Hours.IsOpen(self.Time, True)
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sliceHasGCData = self._gc.Symbol in sliceSymbols
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self._gcRanOnRegularHours |= gcIsInRegularHours and sliceHasGCData
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self._gcRanOnExtendedHours |= gcIsInExtendedHours and sliceHasGCData
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timeOfDay = self.Time.time()
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currentTimeIsRegularHours = (timeOfDay >= time(9, 30, 0) and timeOfDay < time(16, 15, 0)) or (timeOfDay >= time(16, 30, 0) and timeOfDay < time(17, 0, 0))
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currentTimeIsExtendedHours = not currentTimeIsRegularHours and (timeOfDay < time(9, 30, 0) or timeOfDay >= time(18, 0, 0))
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if esIsInRegularHours != currentTimeIsRegularHours or esIsInExtendedHours != currentTimeIsExtendedHours:
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raise Exception("At {Time}, {_es.Symbol} is either in regular hours but current time is in extended hours, or viceversa")
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def OnEndOfAlgorithm(self):
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if not self._esRanOnRegularHours:
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raise Exception(f"Algorithm should have run on regular hours for {self._es.Symbol} future, which enabled extended market hours")
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if not self._esRanOnExtendedHours:
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raise Exception(f"Algorithm should have run on extended hours for {self._es.Symbol} future, which enabled extended market hours")
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if not self._gcRanOnRegularHours:
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raise Exception(f"Algorithm should have run on regular hours for {self._gc.Symbol} future, which did not enable extended market hours")
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if self._gcRanOnExtendedHours:
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raise Exception(f"Algorithm should have not run on extended hours for {self._gc.Symbol} future, which did not enable extended market hours")
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