Jhonathan Abreu
d12772d8eb
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
33 lines
1.5 KiB
Python
33 lines
1.5 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
from OptionModelsConsistencyRegressionAlgorithm import OptionModelsConsistencyRegressionAlgorithm
|
|
|
|
### <summary>
|
|
### Algorithm asserting that when setting custom models for canonical index options, a one-time warning is sent
|
|
### informing the user that the contracts models are different (not the custom ones).
|
|
### </summary>
|
|
class IndexOptionModelsConsistencyRegressionAlgorithm(OptionModelsConsistencyRegressionAlgorithm):
|
|
|
|
def InitializeAlgorithm(self) -> Security:
|
|
self.SetStartDate(2021, 1, 4)
|
|
self.SetEndDate(2021, 1, 5)
|
|
|
|
index = self.AddIndex("SPX", Resolution.Minute)
|
|
option = self.AddIndexOption(index.Symbol, "SPX", Resolution.Minute)
|
|
option.SetFilter(lambda u: u.Strikes(-5, +5).Expiration(0, 360))
|
|
|
|
return option
|