Gerardo Salazar
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 clr import AddReference
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AddReference("System.Core")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data import *
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from QuantConnect.Data.Custom.SEC import *
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from datetime import datetime
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### <summary>
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### Regression algorithm ensures that mapping is also applied to the underlying symbol(s) for custom data subscriptions
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### </summary>
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### <meta name="tag" content="using data" />
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### <meta name="tag" content="custom data" />
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### <meta name="tag" content="regression test" />
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### <meta name="tag" content="rename event" />
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### <meta name="tag" content="map" />
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### <meta name="tag" content="mapping" />
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### <meta name="tag" content="map files" />
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class CustomDataUnderlyingOptionSymbolMappingRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 6, 28)
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self.SetEndDate(2013, 7, 02)
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self.SetCash(100000)
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self.initialSymbolChangedEvent = False
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self.optionSymbol = self.AddOption("FOXA", Resolution.Daily).Symbol
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self.customDataOptionSymbol = self.AddData(SECReport10K, self.optionSymbol).Symbol
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def OnData(self, data):
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if len(data.SymbolChangedEvents) != 0 and not self.initialSymbolChangedEvent:
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self.initialSymbolChangedEvent = True
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return
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if len(data.SymbolChangedEvents) != 0:
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if data.SymbolChangedEvents.ContainsKey(self.customDataOptionSymbol) and data.SymbolChangedEvents.ContainsKey(self.optionSymbol):
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expectedUnderlying = "?FOXA"
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underlying = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Base and i == self.customDataOptionSymbol][0].Underlying
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symbol = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Equity and i == self.optionSymbol][0]
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if len([i for i in self.SubscriptionManager.Subscriptions if (i.SecurityType == SecurityType.Base or i.SecurityType == SecurityType.Option or i.SecurityType == SecurityType.Equity) and i.MappedSymbol == expectedUnderlying]) != 3:
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raise Exception(f"Subscription mapped symbols were not updated to {expectedUnderlying}")
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if underlying is None:
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raise Exception("Custom data Symbol has no underlying")
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if underlying.Underlying is None:
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raise Exception("Custom data underlying has no underlying equity symbol")
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if underlying.Underlying != symbol.Underlying:
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raise Exception(f"Custom data underlying->(2) does not match option underlying (equity symbol). Expected {symbol.Underlying.Value} got {underlying.Underlying.Value}")
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if underlying.Underlying.Value != expectedUnderlying:
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raise Exception(f"Custom data symbol value does not match expected value. Expected {expectedUnderlying}, found {underlying.Underlying.Value}")
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self.SetHoldings(underlying.Underlying, 0.5)
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else:
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raise Exception("Received unknown symbol changed event")
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