Jhonathan Abreu
e9409bf207
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* Add contract depth offset parameter to big History() methods - Added unit tests - Added little more ED daily data * Add C# regression algorithm * Add Python regression algorithm * Update regression algorithms stats * Address changes request
43 lines
2.1 KiB
Python
43 lines
2.1 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 illustrating how to request history data for continuous contracts with different depth offsets.
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### </summary>
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class HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 6)
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self.SetEndDate(2014, 1, 1)
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self._continuousContractSymbol = self.AddFuture(Futures.Indices.SP500EMini, Resolution.Daily).Symbol
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def OnEndOfAlgorithm(self):
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contractDepthOffsets = range(3)
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historyResults = [
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self.History([self._continuousContractSymbol], self.StartDate, self.EndDate, Resolution.Daily, contractDepthOffset=contractDepthOffset)
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.droplevel(0, axis=0)
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.loc[self._continuousContractSymbol]
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.close
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for contractDepthOffset in contractDepthOffsets
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]
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if any(x.size == 0 or x.size != historyResults[0].size for x in historyResults):
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raise Exception("History results are empty or bar counts did not match")
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# Check that prices at each time are different for different contract depth offsets
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for j in range(historyResults[0].size):
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closePrices = set(historyResults[i][j] for i in range(len(historyResults)))
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if len(closePrices) != len(contractDepthOffsets):
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raise Exception("History results close prices should have been different for each data mapping mode at each time")
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