Martin-Molinero
d4e7f584f6
* Daily data Time & EndTime Improvement - Adjust daily data Time & EndTime to actually reflect the time of the data used, for example US Equity from 9.30 to 4PM. Adding new unit and regression tests * Refactor solution to use enumerator - Refactor daily strict end times solution to be through enumerator usage, so it applies for history providers too * Minor fixes * Revert fill forward enumerator change - Revert FillForward enumerator causing stats changing, enhancing unit tests * Some cleanup * Improve handling of live trading FF enumerator - Improve handling of live trading FF enumerator, by adding support for bars to arrive with a delay so we can handle auction close/option prices or data providers which might have some delay making the data available. Adding new unit tests asserting the behavior
68 lines
2.5 KiB
Python
68 lines
2.5 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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import datetime
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from AlgorithmImports import *
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class BasicTemplateIndexDailyAlgorithm(QCAlgorithm):
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def initialize(self) -> None:
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self.set_start_date(2021, 1, 1)
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self.set_end_date(2021, 1, 18)
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self.set_cash(1000000)
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# Use indicator for signal; but it cannot be traded
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self.spx = self.add_index("SPX", Resolution.DAILY).symbol
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# Trade on SPX ITM calls
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self.spx_option = Symbol.create_option(
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self.spx,
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Market.USA,
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OptionStyle.EUROPEAN,
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OptionRight.CALL,
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3200,
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datetime(2021, 1, 15)
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)
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self.add_index_option_contract(self.spx_option, Resolution.DAILY)
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self.ema_slow = self.ema(self.spx, 80)
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self.ema_fast = self.ema(self.spx, 200)
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self.ExpectedBarCount = 10
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self.BarCounter = 0
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self.settings.daily_strict_end_time_enabled = True
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def on_data(self, data: Slice):
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if not self.Portfolio.Invested:
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# SPX Index is not tradable, but we can trade an option
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self.MarketOrder(self.spx_option, 1)
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else:
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self.Liquidate()
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# Count how many slices we receive with SPX data in it to assert later
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if data.ContainsKey(self.spx):
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self.BarCounter = self.BarCounter + 1
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def OnEndOfAlgorithm(self):
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if self.BarCounter != self.ExpectedBarCount:
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raise ValueError(f"Bar Count {self.BarCounter} is not expected count of {self.ExpectedBarCount}")
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for symbol in [ self.spx_option, self.spx ]:
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history = self.History(symbol, 10)
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if len(history) != 10:
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raise ValueError(f"Unexpected history count: {history.Count}")
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if any(x for x in history.index.get_level_values('time') if x.time() != time(15, 15, 0)):
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raise ValueError(f"Unexpected history data time")
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