Martin Molinero
a78dd04112
- Adjust daily data Time & EndTime to actually reflect the time of the data used, for example US Equity from 9.30 to 4PM. Adding new unit and regression tests
66 lines
2.5 KiB
Python
66 lines
2.5 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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import datetime
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from AlgorithmImports import *
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class BasicTemplateIndexDailyAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2021, 1, 1)
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self.set_end_date(2021, 1, 18)
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self.set_cash(1000000)
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# Use indicator for signal; but it cannot be traded
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self.spx = self.add_index("SPX", Resolution.DAILY).symbol
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# Trade on SPX ITM calls
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self.spx_option = Symbol.create_option(
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self.spx,
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Market.USA,
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OptionStyle.EUROPEAN,
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OptionRight.CALL,
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3200,
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datetime(2021, 1, 15)
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)
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self.add_index_option_contract(self.spx_option, Resolution.DAILY)
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self.ema_slow = self.ema(self.spx, 80)
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self.ema_fast = self.ema(self.spx, 200)
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self.ExpectedBarCount = 10
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self.BarCounter = 0
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def on_data(self, data: Slice):
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if not self.Portfolio.Invested:
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# SPX Index is not tradable, but we can trade an option
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self.MarketOrder(self.spx_option, 1)
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else:
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self.Liquidate()
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# Count how many slices we receive with SPX data in it to assert later
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if data.ContainsKey(self.spx):
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self.BarCounter = self.BarCounter + 1
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def OnEndOfAlgorithm(self):
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if self.BarCounter != self.ExpectedBarCount:
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raise ValueError(f"Bar Count {self.BarCounter} is not expected count of {self.ExpectedBarCount}")
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for symbol in [ self.spx_option, self.spx ]:
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history = self.History(symbol, 10)
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if len(history) != 10:
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raise ValueError(f"Unexpected history count: {history.Count}")
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if any(x for x in history.index.get_level_values('time') if x.time() != time(15, 15, 0)):
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raise ValueError(f"Unexpected history data time")
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