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
69 lines
3.7 KiB
Python
69 lines
3.7 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 QuantConnect.Data.Custom.SEC import *
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from QuantConnect.Data.Custom.USTreasury import *
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### <summary>
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### Regression algorithm checks that adding data via AddData
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### works as expected
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### </summary>
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class CustomDataAddDataRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 11)
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self.SetCash(100000)
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twxEquity = self.AddEquity("TWX", Resolution.Daily).Symbol
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customTwxSymbol = self.AddData(SECReport8K, twxEquity, Resolution.Daily).Symbol
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self.googlEquity = self.AddEquity("GOOGL", Resolution.Daily).Symbol
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customGooglSymbol = self.AddData(SECReport10K, "GOOGL", Resolution.Daily).Symbol
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usTreasury = self.AddData(USTreasuryYieldCurveRate, "GOOGL", Resolution.Daily).Symbol
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usTreasuryUnderlyingEquity = Symbol.Create("MSFT", SecurityType.Equity, Market.USA)
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usTreasuryUnderlying = self.AddData(USTreasuryYieldCurveRate, usTreasuryUnderlyingEquity, Resolution.Daily).Symbol
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optionSymbol = self.AddOption("TWX", Resolution.Minute).Symbol
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customOptionSymbol = self.AddData(SECReport10K, optionSymbol, Resolution.Daily).Symbol
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if customTwxSymbol.Underlying != twxEquity:
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raise Exception(f"Underlying symbol for {customTwxSymbol} is not equal to TWX equity. Expected {twxEquity} got {customTwxSymbol.Underlying}")
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if customGooglSymbol.Underlying != self.googlEquity:
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raise Exception(f"Underlying symbol for {customGooglSymbol} is not equal to GOOGL equity. Expected {self.googlEquity} got {customGooglSymbol.Underlying}")
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if usTreasury.HasUnderlying:
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raise Exception(f"US Treasury yield curve (no underlying) has underlying when it shouldn't. Found {usTreasury.Underlying}")
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if not usTreasuryUnderlying.HasUnderlying:
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raise Exception("US Treasury yield curve (with underlying) has no underlying Symbol even though we added with Symbol")
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if usTreasuryUnderlying.Underlying != usTreasuryUnderlyingEquity:
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raise Exception(f"US Treasury yield curve underlying does not equal equity Symbol added. Expected {usTreasuryUnderlyingEquity} got {usTreasuryUnderlying.Underlying}")
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if customOptionSymbol.Underlying != optionSymbol:
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raise Exception("Option symbol not equal to custom underlying symbol. Expected {optionSymbol} got {customOptionSymbol.Underlying}")
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try:
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customDataNoCache = self.AddData(SECReport10Q, "AAPL", Resolution.Daily)
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raise Exception("AAPL was found in the SymbolCache, though it should be missing")
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except InvalidOperationException as e:
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return
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def OnData(self, data):
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'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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Arguments:
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data: Slice object keyed by symbol containing the stock data
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'''
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if not self.Portfolio.Invested and len(self.Transactions.GetOpenOrders()) == 0:
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self.SetHoldings(self.googlEquity, 0.5)
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