Jhonathan Abreu
09db45c91d
* Make sure continuous futures universe selection is performed right away on the start of the algorithm. This ensures the Future.Mapped is not null * Minor changes * Minor fixes * Update regression algorithms stats * Add DC futures map file * Update DC futures map file * Update regression algorithms stats * Include ETFs for immediate universe selection * Include Coarse Fundamentals for immediate universe selection * Include Futures Chain Universe for immediate selection * Add Option Chain Universe test * Include custom universes for immediate selection * Minor updates * Include constituents universes for immediate selection * Minor update * Minor changes, docs and stats updates * Minor changes * Minor changes and clean up * Minor regression algorithm stat update
40 lines
1.7 KiB
C#
40 lines
1.7 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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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Continuous Futures History Regression algorithm. Asserting and showcasing the behavior of adding a continuous future
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/// </summary>
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public class ContinuousFutureHistoryTimeSpanWarmupRegressionAlgorithm : ContinuousFutureHistoryRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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// We want to match the start time of the base algorithm. ES futures data time zone is UTC, algorithm time zone is new york (default).
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// Base algorithm warmup is 1 bar of daily resolution starts at 8 PM new york time of T-1. So to match the same start time
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// we go back a 1 day + 4 hours. This is calculated by 'Time.GetStartTimeForTradeBars'
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SetWarmup(TimeSpan.FromHours(24 + 4));
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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 => 15820;
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}
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}
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