Martin-Molinero
227ade63ed
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- Refactor automatic option assignment to allow overriding behavior. Adding & updating existing tests
31 lines
1.3 KiB
Python
31 lines
1.3 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.Algorithm.CSharp import *
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### <summary>
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### Regression algorithm assering we can disable automatic option assignment
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### </summary>
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class NullOptionAssignmentRegressionAlgorithm(OptionAssignmentRegressionAlgorithm):
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def Initialize(self):
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self.SetSecurityInitializer(self.CustomSecurityInitializer)
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super().Initialize()
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def OnData(self, data):
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super().OnData(data)
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def CustomSecurityInitializer(self, security):
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if Extensions.IsOption(security.Symbol.SecurityType):
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security.SetOptionAssignmentModel(NullOptionAssignmentModel())
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