Martin-Molinero
7540af454c
Build & Test Lean / build (push) Has been cancelled
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Research Regression Tests / build (push) Has been cancelled
* Respect warmup resolution given - The data feed will respect the warmup resolution given and override the resolution used by the algorithm when adding a subscription. Updating regression algorithm to keep previous statistics. Adding new regression algorithm asserting the desired behavior * Testing improvements - Add more unit tests and regresion test - Add missing data for crypto - Fix bug with FFed data crossing after the end time of the warmup request * Add more Warmup resolution regression algorithms - Adding more warmup resolution regression algorithms, using Settings.WarmupResolution and an option selection case * Add more warmup regression tests - Adding more warmup regression tests. - Will no longer skip universe selection subscriptions from warmup resolution enforcement. Updating regression algorithms data points * Fix bug with data rounding - Fix data rounding bug when warmup resolution is set to a different value than the original configuration. Updating regression algorithms to assert the expected behavior * Address reviews - Revert regression algorithms changes to use Resolution during warmup. Updating their stats. - Adding new regression algorithms asserting the behavior warming up using a timespan and no warmup resolution - Fix bug where data used to warmup the 'normal' enumerator will make it through into the warmup time span. Updating tests * Address reviews - Add missing comments, explaning warmup algorithms time span calculations. - Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm` to reduce diff to minimum - Adding new warmup unit tests asseting algorithm warmup start time, for different combinations of bar count, timespan, resolution
40 lines
1.7 KiB
C#
40 lines
1.7 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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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm excersizing an equity covered American style option, using an option price model that does not support American style options and asserting that the option price model is not used.
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/// </summary>
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public class OptionPriceModelForUnsupportedAmericanOptionTimeSpanWarmupRegressionAlgorithm : OptionPriceModelForUnsupportedAmericanOptionRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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// We want to match the start time of the base algorithm: Base algorithm warmup is 2 bar of daily resolution.
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// So to match the same start time we go back 4 days, we need to account for a single weekend. This is calculated by 'Time.GetStartTimeForTradeBars'
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SetWarmup(TimeSpan.FromDays(4));
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}
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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 => 1781481;
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}
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}
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