Martin-Molinero
eb2dbe2af7
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
- Fix funcSecuritySeeder for python. Adding regression algorithm
53 lines
2.4 KiB
Python
53 lines
2.4 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 *
|
|
|
|
### <summary>
|
|
### Regression algorithm reproducing GH issue #5921. Asserting a security can be warmup correctly on initialize
|
|
### </summary>
|
|
class SecuritySeederRegressionAlgorithm(QCAlgorithm):
|
|
def Initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
self.SetStartDate(2013,10, 8)
|
|
self.SetEndDate(2013,10,10)
|
|
|
|
self.SetSecurityInitializer(BrokerageModelSecurityInitializer(self.BrokerageModel,
|
|
FuncSecuritySeeder(self.GetLastKnownPrices)))
|
|
self.AddEquity("SPY", Resolution.Minute)
|
|
|
|
def OnData(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
if not self.Portfolio.Invested:
|
|
self.SetHoldings("SPY", 1)
|
|
|
|
def OnSecuritiesChanged(self, changes):
|
|
for addedSecurity in changes.AddedSecurities:
|
|
if not addedSecurity.HasData \
|
|
or addedSecurity.AskPrice == 0 \
|
|
or addedSecurity.BidPrice == 0 \
|
|
or addedSecurity.BidSize == 0 \
|
|
or addedSecurity.AskSize == 0 \
|
|
or addedSecurity.Price == 0 \
|
|
or addedSecurity.Volume == 0 \
|
|
or addedSecurity.High == 0 \
|
|
or addedSecurity.Low == 0 \
|
|
or addedSecurity.Open == 0 \
|
|
or addedSecurity.Close == 0:
|
|
raise ValueError(f"Security {addedSecurity.Symbol} was not warmed up!")
|