Jhonathan Abreu
46 lines
2.0 KiB
Python
46 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 datetime import timedelta
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from AlgorithmImports import *
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### <summary>
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### Regression algorithm asserting that historical data can be requested with tick resolution without requiring
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### a tick resolution subscription
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### </summary>
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class TickHistoryRequestWithoutTickSubscriptionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 8)
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self.SetEndDate(2013, 10, 8)
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# Subscribing SPY and IBM with daily and hour resolution instead of tick resolution
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spy = self.AddEquity("SPY", Resolution.Daily).Symbol
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ibm = self.AddEquity("IBM", Resolution.Hour).Symbol
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# Requesting history for SPY and IBM (separately) with tick resolution
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spyHistory = self.History[Tick](spy, timedelta(days=1), Resolution.Tick)
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if len(list(spyHistory)) == 0:
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raise Exception("SPY tick history is empty")
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ibmHistory = self.History[Tick](ibm, timedelta(days=1), Resolution.Tick)
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if len(list(ibmHistory)) == 0:
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raise Exception("IBM tick history is empty")
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# Requesting history for SPY and IBM (together) with tick resolution
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spyIbmHistory = self.History[Tick]([spy, ibm], timedelta(days=1), Resolution.Tick)
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if len(list(spyIbmHistory)) == 0:
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raise Exception("Compound SPY and IBM tick history is empty")
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self.Quit()
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