Jhonathan Abreu
372c197890
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* Send one-time warning about mismatching canonicals/contracts models * Add regression algorithms
33 lines
1.5 KiB
Python
33 lines
1.5 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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from OptionModelsConsistencyRegressionAlgorithm import OptionModelsConsistencyRegressionAlgorithm
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### <summary>
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### Regression algorithm asserting that when setting custom models for canonical index options, a one-time warning is sent
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### informing the user that the contracts models are different (not the custom ones).
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### </summary>
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class IndexOptionModelsConsistencyRegressionAlgorithm(OptionModelsConsistencyRegressionAlgorithm):
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def InitializeAlgorithm(self) -> Security:
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self.SetStartDate(2021, 1, 4)
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self.SetEndDate(2021, 1, 5)
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index = self.AddIndex("SPX", Resolution.Minute)
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option = self.AddIndexOption(index.Symbol, "SPX", Resolution.Minute)
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option.SetFilter(lambda u: u.Strikes(-5, +5).Expiration(0, 360))
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return option
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