Jhonathan Abreu
9a062e4b5d
* Include both quotes and trades in Tick history request * Regression algorithm * Housekeeping * Housekeeping
34 lines
1.4 KiB
Python
34 lines
1.4 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 AlgorithmImports import *
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### <summary>
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### Regression algorithm asserting that tick history request includes both trade and quote data
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### </summary>
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class HistoryTickRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 11)
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self.SetEndDate(2013, 10, 11)
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self._symbol = self.AddEquity("SPY", Resolution.Tick).Symbol
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def OnEndOfAlgorithm(self):
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history = list(self.History[Tick](self._symbol, timedelta(days=1), Resolution.Tick))
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quotes = [x for x in history if x.TickType == TickType.Quote]
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trades = [x for x in history if x.TickType == TickType.Trade]
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if not quotes or not trades:
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raise Exception("Expected to find at least one tick of each type (quote and trade)")
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