Colton Sellers
43a540cbb1
* Filter values that are before subscription start time; also adjust starttime for OpenInterest * Use data EndTime for comparison * Allow Auxiliary data through * Fix OpenInterest DataReader Logic * Add regression * Address review * Ignore open interest for time slice - TimeSliceFactory will directly ignore open interest for determining if the slice has data or not. Open interest will still be available through the Tick collection. Reverting some of the previous commits changes since they are no longer required. - HistoryRequests and SubscriptionRequest will use AlwaysOpen exchange for open interest requests. Adding unit test reproducing issue - Adding `BaseDataRequest` to avoid duplication logic. * Make OpenInterest an internal feed and ignored by default in history - Adding unit tests * Revert SubscriptionFilterEnumerator Start time addition Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
70 lines
3.4 KiB
Python
70 lines
3.4 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")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Data.Market import *
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from datetime import datetime, timedelta
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### <summary>
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### Options Open Interest data regression test.
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### </summary>
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### <meta name="tag" content="options" />
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### <meta name="tag" content="regression test" />
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class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetCash(1000000)
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self.SetStartDate(2014,6,5)
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self.SetEndDate(2014,6,6)
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option = self.AddOption("TWX")
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# set our strike/expiry filter for this option chain
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option.SetFilter(-10, 10, timedelta(0), timedelta(365*2))
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# use the underlying equity as the benchmark
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self.SetBenchmark("TWX")
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def OnData(self, slice):
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if not self.Portfolio.Invested:
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for chain in slice.OptionChains:
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for contract in chain.Value:
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if float(contract.Symbol.ID.StrikePrice) == 72.5 and \
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contract.Symbol.ID.OptionRight == OptionRight.Call and \
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contract.Symbol.ID.Date == datetime(2016, 1, 15):
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history = self.History(OpenInterest, contract.Symbol, timedelta(1))["openinterest"]
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if len(history.index) == 0 or 0 in history.values:
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raise ValueError("Regression test failed: open interest history request is empty")
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security = self.Securities[contract.Symbol]
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openInterestCache = security.Cache.GetData[OpenInterest]()
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if openInterestCache == None:
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raise ValueError("Regression test failed: current open interest isn't in the security cache")
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if slice.Time.date() == datetime(2014, 6, 5).date() and (contract.OpenInterest != 50 or security.OpenInterest != 50):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
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if slice.Time.date() == datetime(2014, 6, 6).date() and (contract.OpenInterest != 70 or security.OpenInterest != 70):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
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if slice.Time.date() == datetime(2014, 6, 6).date():
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self.MarketOrder(contract.Symbol, 1)
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self.MarketOnCloseOrder(contract.Symbol, -1)
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def OnOrderEvent(self, orderEvent):
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self.Log(str(orderEvent)) |