Jhonathan Abreu
47 lines
2.0 KiB
Python
47 lines
2.0 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 testing history requests for <see cref="OptionUniverse"/> type work as expected
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### and return the same data as the option chain provider.
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### </summary>
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class OptionUniverseHistoryRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2015, 12, 25)
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self.set_end_date(2015, 12, 25)
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option = self.add_option("GOOG").symbol
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historical_options_data_df = self.history(option, 3, Resolution.DAILY)
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if historical_options_data_df.shape[0] != 3:
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raise RegressionTestException(f"Expected 3 option chains from history request, but got {historical_options_data_df.shape[0]}")
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for index, row in historical_options_data_df.iterrows():
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data = row.data
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date = index[4]
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chain = list(self.option_chain_provider.get_option_contract_list(option, date))
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if len(chain) == 0:
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raise RegressionTestException(f"No options in chain on {date}")
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if len(chain) != len(data):
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raise RegressionTestException(f"Expected {len(chain)} options in chain on {date}, but got {len(data)}")
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for i in range(len(chain)):
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if data[i].symbol != chain[i]:
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raise RegressionTestException(f"Missing option contract {chain[i]} on {date}")
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