Martin-Molinero
6fd1a002fe
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* Fix index option data timezone - Fix index option data timezone which was 1 hour late than expected * Update existing index option tests - Update existing index option tests. - Disable index option daily resolution support
86 lines
3.0 KiB
C#
86 lines
3.0 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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*/
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using System.Linq;
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using QuantConnect.Data;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression for running an IndexOptions algorithm with Daily data
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/// </summary>
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public class BasicTemplateIndexOptionsDailyAlgorithm : BasicTemplateIndexOptionsAlgorithm
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{
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protected override Resolution Resolution => Resolution.Daily;
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protected override int StartDay => 1;
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/// <summary>
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/// Index EMA Cross trading index options of the index.
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/// </summary>
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public override void OnData(Slice slice)
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{
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foreach (var chain in slice.OptionChains.Values)
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{
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// Select the contract with the lowest AskPrice
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var contract = chain.Contracts.OrderBy(x => x.Value.AskPrice).FirstOrDefault().Value;
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if (contract == null)
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{
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return;
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}
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if (Portfolio.Invested)
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{
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Liquidate();
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}
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else
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{
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MarketOrder(contract.Symbol, 1);
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}
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public override bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override Language[] Languages { get; } = { Language.CSharp };
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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 => 0;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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};
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}
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}
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