Colton Sellers
d2d99b1f10
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Implement scheduled event sampling solution * Use UTC time, only update daily portfolio value once a day * For daily resolutions sample chart always * Cleanup * Drop resample daily all together * Force final sample * Regression updates * FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event * Name the daily sampling event * Address review pt 1 * Drop force and use reference wrapper * Adjust tests * Fix warning for Benchmark Timezone Misalignment and also add test * Fix for daily resolution orders and test adjustments * Also warn on universe settings with daily resolution * Update missed regression * Fix reference wrapper use * Update regression after rebase * Add values back in for Daylight Algo * Have statistics builder skip day 1 performance * Regression adjustments * Test adjustments * Update regression unit test * Adjust some regressions starts to show performance values * Add hourly algorithm for beta comparison * Address missing Python regression changes * Remove null comment
64 lines
2.8 KiB
Python
64 lines
2.8 KiB
Python
### QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
### Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
###
|
|
### Licensed under the Apache License, Version 2.0 (the "License");
|
|
### you may not use this file except in compliance with the License.
|
|
### You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
###
|
|
### Unless required by applicable law or agreed to in writing, software
|
|
### distributed under the License is distributed on an "AS IS" BASIS,
|
|
### WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
### See the License for the specific language governing permissions and
|
|
### limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This regression test tests for the loading of futures options contracts with a contract month of 2020-03 can live
|
|
### and be loaded from the same ZIP file that the 2020-04 contract month Future Option contract lives in.
|
|
### </summary>
|
|
class FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
self.expectedSymbols = {
|
|
self._createOption(datetime(2020, 3, 26), OptionRight.Call, 1650.0): False,
|
|
self._createOption(datetime(2020, 3, 26), OptionRight.Put, 1540.0): False,
|
|
self._createOption(datetime(2020, 2, 25), OptionRight.Call, 1600.0): False,
|
|
self._createOption(datetime(2020, 2, 25), OptionRight.Put, 1545.0): False
|
|
}
|
|
|
|
self.SetStartDate(2020, 1, 4)
|
|
self.SetEndDate(2020, 1, 6)
|
|
|
|
goldFutures = self.AddFuture("GC", Resolution.Minute, Market.COMEX)
|
|
goldFutures.SetFilter(0, 365)
|
|
|
|
self.AddFutureOption(goldFutures.Symbol)
|
|
|
|
def OnData(self, data: Slice):
|
|
for symbol in data.QuoteBars.Keys:
|
|
if symbol in self.expectedSymbols:
|
|
invested = self.expectedSymbols[symbol]
|
|
if not invested:
|
|
self.MarketOrder(symbol, 1)
|
|
|
|
self.expectedSymbols[symbol] = True
|
|
|
|
def OnEndOfAlgorithm(self):
|
|
notEncountered = [str(k) for k,v in self.expectedSymbols.items() if not v]
|
|
if any(notEncountered):
|
|
raise AggregateException(f"Expected all Symbols encountered and invested in, but the following were not found: {', '.join(notEncountered)}")
|
|
|
|
if not self.Portfolio.Invested:
|
|
raise AggregateException("Expected holdings at the end of algorithm, but none were found.")
|
|
|
|
|
|
def _createOption(self, expiry: datetime, optionRight: OptionRight, strikePrice: float) -> Symbol:
|
|
return Symbol.CreateOption(
|
|
Symbol.CreateFuture("GC", Market.COMEX, datetime(2020, 4, 28)),
|
|
Market.COMEX,
|
|
OptionStyle.American,
|
|
optionRight,
|
|
strikePrice,
|
|
expiry
|
|
)
|