Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
62 lines
3.1 KiB
Python
62 lines
3.1 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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### Options Open Interest data regression test.
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### </summary>
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### <meta name="tag" content="options" />
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### <meta name="tag" content="regression test" />
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class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(1000000)
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self.SetStartDate(2014,6,5)
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self.SetEndDate(2014,6,6)
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option = self.AddOption("TWX")
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# set our strike/expiry filter for this option chain
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option.SetFilter(-10, 10, timedelta(0), timedelta(365*2))
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# use the underlying equity as the benchmark
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self.SetBenchmark("TWX")
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def OnData(self, slice):
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if not self.Portfolio.Invested:
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for chain in slice.OptionChains:
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for contract in chain.Value:
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if float(contract.Symbol.ID.StrikePrice) == 72.5 and \
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contract.Symbol.ID.OptionRight == OptionRight.Call and \
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contract.Symbol.ID.Date == datetime(2016, 1, 15):
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history = self.History(OpenInterest, contract.Symbol, timedelta(1))["openinterest"]
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if len(history.index) == 0 or 0 in history.values:
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raise ValueError("Regression test failed: open interest history request is empty")
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security = self.Securities[contract.Symbol]
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openInterestCache = security.Cache.GetData[OpenInterest]()
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if openInterestCache == None:
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raise ValueError("Regression test failed: current open interest isn't in the security cache")
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if slice.Time.date() == datetime(2014, 6, 5).date() and (contract.OpenInterest != 50 or security.OpenInterest != 50):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
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if slice.Time.date() == datetime(2014, 6, 6).date() and (contract.OpenInterest != 70 or security.OpenInterest != 70):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
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if slice.Time.date() == datetime(2014, 6, 6).date():
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self.MarketOrder(contract.Symbol, 1)
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self.MarketOnCloseOrder(contract.Symbol, -1)
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent))
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