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
71 lines
3.0 KiB
Python
71 lines
3.0 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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### <summary>
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### This regression algorithm tests option exercise and assignment functionality
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### We open two positions and go with them into expiration. We expect to see our long position exercised and short position assigned.
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### </summary>
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### <meta name="tag" content="regression test" />
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### <meta name="tag" content="options" />
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class OptionSplitRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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# this test opens position in the first day of trading, lives through stock split (7 for 1),
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# and closes adjusted position on the second day
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self.SetCash(1000000)
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self.SetStartDate(2014,6,6)
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self.SetEndDate(2014,6,9)
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option = self.AddOption("AAPL")
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# set our strike/expiry filter for this option chain
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option.SetFilter(self.UniverseFunc)
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self.SetBenchmark("AAPL")
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self.contract = None
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def OnData(self, slice):
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if not self.Portfolio.Invested:
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if self.Time.hour > 9 and self.Time.minute > 0:
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for kvp in slice.OptionChains:
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chain = kvp.Value
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contracts = filter(lambda x: x.Strike == 650 and x.Right == OptionRight.Call, chain)
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sorted_contracts = sorted(contracts, key = lambda x: x.Expiry)
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if len(sorted_contracts) > 1:
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self.contract = sorted_contracts[1]
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self.Buy(self.contract.Symbol, 1)
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elif self.Time.day > 6 and self.Time.hour > 14 and self.Time.minute > 0:
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self.Liquidate()
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if self.Portfolio.Invested:
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options_hold = [x for x in self.Portfolio.Securities if x.Value.Holdings.AbsoluteQuantity != 0]
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holdings = options_hold[0].Value.Holdings.AbsoluteQuantity
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if self.Time.day == 6 and holdings != 1:
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self.Log("Expected position quantity of 1 but was {0}".format(holdings))
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if self.Time.day == 9 and holdings != 7:
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self.Log("Expected position quantity of 7 but was {0}".format(holdings))
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# set our strike/expiry filter for this option chain
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def UniverseFunc(self, universe):
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return universe.IncludeWeeklys().Strikes(-2, 2).Expiration(timedelta(0), timedelta(365*2))
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent))
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