Ricardo Andrés Marino Rojas
50f887ca64
The delisting time is handled by the DateChangeTimeKeeper now, so there is no need for the SubscriptionDataReader to do any special logic for it. This was preventing the new tradable date events to be emitted after the delisting date in some cases, like when the day after delisting is not tradable Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
46 lines
1.8 KiB
C#
46 lines
1.8 KiB
C#
/*
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* 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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*
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*/
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that options are automatically exercised on expiry regardless on whether
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/// the day after expiration is tradable or not.
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/// This specific algorithm works with contracts added by selection using the option security filter.
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/// </summary>
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public class OptionExerciseOnExpiryAndNonTradableDateWithOptionSelectionRegressionAlgorithm
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: OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm
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{
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protected override void InitializeOptions(Symbol underlying, Symbol[] options)
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{
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AddIndexOption(underlying, options[0].ID.Symbol)
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.SetFilter(u => u.IncludeWeeklys().Contracts(contracts => options));
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}
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 16649;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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}
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}
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