Martin-Molinero
b9f616b454
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* Set security cache open interest from chain universe data - The option and future security caches now update the open interest cache property from stored chain universe data points (OptionUniverse, FutureUniverse), which the algorithm manager pushes into the security caches - Add index option and future option specific security caches, mapped in the SecurityCacheProvider, which previously fell through to the base SecurityCache - Add regression algorithms asserting the behavior for equity options, index options and futures Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> * Guard against empty data lists when updating open interest StoreData is public API, add an UpdateOpenInterest overload taking the data list which checks the count before accessing the last data point Co-Authored-By: Claude Fable 5 <noreply@anthropic.com> --------- Co-authored-by: Claude Fable 5 <noreply@anthropic.com>
52 lines
1.9 KiB
C#
52 lines
1.9 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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*/
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using System.Linq;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that the future security cache open interest is set from the chain universe data open interest
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/// </summary>
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public class FutureUniverseOpenInterestRegressionAlgorithm : OptionUniverseOpenInterestRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 8);
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SetEndDate(2013, 10, 8);
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SetCash(100000);
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var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute);
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future.SetFilter(universe => universe.Contracts(contracts => contracts.Where(x => x.OpenInterest != 0)));
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}
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/// <summary>
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/// Gets the chain universe data point stored in the given security cache if any
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/// </summary>
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protected override BaseChainUniverseData GetChainUniverseData(Security security)
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{
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return security.Cache.GetData<FutureUniverse>();
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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 => 8494;
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}
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}
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