Martin-Molinero
e2ee42a0e2
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- Always respect the minimum time in universe even if we haven't gotten any data point yet. This is specially useful for live trading options which are illiquid
56 lines
1.8 KiB
C#
56 lines
1.8 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;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting the behavior of option warmup
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/// </summary>
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public class WarmupOptionResolutionRegressionAlgorithm : WarmupOptionRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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SetWarmUp(1, Resolution.Daily);
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}
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public override void OnEndOfAlgorithm()
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{
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var start = new DateTime(2015, 12, 24, 0, 0, 0);
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var end = new DateTime(2015, 12, 24, 0, 0, 0);
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var count = 0;
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do
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{
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if (OptionWarmupTimes[count] != start)
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{
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throw new Exception($"Unexpected time {OptionWarmupTimes[count]} expected {start}");
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}
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count++;
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start = start.AddDays(1);
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}
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while (start < end);
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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 => 558446;
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}
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}
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