Jhonathan Abreu
c81f5d7d1a
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add SeedInitialPrices algorithm setting This is true by default and indicates that the engine will seed initial prices right after the security is added or selected * Update regression algorithms * Update regression algorithms * Update regression algorithms * Refactor default securities seeding * Minor fix * Minro fixes * Cleanup * Updated and add regression algorithms * Address peer review * Centralize logic to get last known data for multiple securities * Some cleanup * Minor build fix * Minor fixes * More logic centralization * Some more cleanup * Cleanup * Update regression algorithms and minor fixes * Update regression algorithms * Minor fix * More minor fixes * Update regression algorithms * Cleanup * Minor test fix * Address peer review * Minor fix and performance improvement * Fix to seed open interest data * Minor test fixes * Address peer review * Minor change * Minor revert * Minor fixes and improvements * Disable initial seeding by default * Minor fixes * Cleanup * Cleanup * Minor fix
102 lines
3.4 KiB
C#
102 lines
3.4 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*
|
|
*/
|
|
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm asserting that option contracts added via universe selection get automatically seeded by default
|
|
/// </summary>
|
|
public class OptionsAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm
|
|
{
|
|
private bool _contractsAdded;
|
|
|
|
protected override bool ShouldHaveTradeData => true;
|
|
protected override bool ShouldHaveQuoteData => true;
|
|
protected override bool ShouldHaveOpenInterestData => true;
|
|
|
|
public override void Initialize()
|
|
{
|
|
SetStartDate(2015, 12, 28);
|
|
SetEndDate(2015, 12, 28);
|
|
SetCash(100000);
|
|
|
|
Settings.SeedInitialPrices = true;
|
|
UniverseSettings.Resolution = Resolution.Minute;
|
|
|
|
var equity = AddEquity("GOOG");
|
|
|
|
// This security should haven been seeded right away
|
|
if (!equity.HasData || equity.Price == 0)
|
|
{
|
|
throw new RegressionTestException("Equity security was not seeded");
|
|
}
|
|
|
|
var option = AddOption(equity.Symbol);
|
|
|
|
option.SetFilter(u => u.Strikes(-2, +2).Expiration(0, 180));
|
|
}
|
|
|
|
public override void OnData(Slice slice)
|
|
{
|
|
if (Time.TimeOfDay.Hours > 12)
|
|
{
|
|
var anotherEquity = AddEquity("SPY", Resolution.Daily);
|
|
|
|
// This security should haven been seeded right away
|
|
if (!anotherEquity.HasData || anotherEquity.Price == 0)
|
|
{
|
|
throw new RegressionTestException("Equity security was not seeded");
|
|
}
|
|
}
|
|
}
|
|
|
|
public override void OnSecuritiesChanged(SecurityChanges changes)
|
|
{
|
|
base.OnSecuritiesChanged(changes);
|
|
|
|
if (!_contractsAdded)
|
|
{
|
|
foreach (var addedSecurity in changes.AddedSecurities)
|
|
{
|
|
// Just making sure we had the data to select and seed options
|
|
_contractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.Option;
|
|
}
|
|
}
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
if (!_contractsAdded)
|
|
{
|
|
throw new RegressionTestException("No option contracts were added");
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 4044;
|
|
|
|
/// <summary>
|
|
/// Data Points count of the algorithm history
|
|
/// </summary>
|
|
public override int AlgorithmHistoryDataPoints => 218;
|
|
}
|
|
}
|