Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
64 lines
2.8 KiB
Python
64 lines
2.8 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 AlgorithmImports import *
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### <summary>
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### This regression test tests for the loading of futures options contracts with a contract month of 2020-03 can live
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### and be loaded from the same ZIP file that the 2020-04 contract month Future Option contract lives in.
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### </summary>
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class FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.expectedSymbols = {
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self._createOption(datetime(2020, 3, 26), OptionRight.Call, 1650.0): False,
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self._createOption(datetime(2020, 3, 26), OptionRight.Put, 1540.0): False,
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self._createOption(datetime(2020, 2, 25), OptionRight.Call, 1600.0): False,
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self._createOption(datetime(2020, 2, 25), OptionRight.Put, 1545.0): False
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}
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self.SetStartDate(2020, 1, 5)
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self.SetEndDate(2020, 1, 6)
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goldFutures = self.AddFuture("GC", Resolution.Minute, Market.COMEX)
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goldFutures.SetFilter(0, 365)
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self.AddFutureOption(goldFutures.Symbol)
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def OnData(self, data: Slice):
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for symbol in data.QuoteBars.Keys:
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if symbol in self.expectedSymbols:
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invested = self.expectedSymbols[symbol]
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if not invested:
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self.MarketOrder(symbol, 1)
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self.expectedSymbols[symbol] = True
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def OnEndOfAlgorithm(self):
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notEncountered = [str(k) for k,v in self.expectedSymbols.items() if not v]
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if any(notEncountered):
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raise AggregateException(f"Expected all Symbols encountered and invested in, but the following were not found: {', '.join(notEncountered)}")
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if not self.Portfolio.Invested:
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raise AggregateException("Expected holdings at the end of algorithm, but none were found.")
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def _createOption(self, expiry: datetime, optionRight: OptionRight, strikePrice: float) -> Symbol:
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return Symbol.CreateOption(
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Symbol.CreateFuture("GC", Market.COMEX, datetime(2020, 4, 28)),
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Market.COMEX,
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OptionStyle.American,
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optionRight,
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strikePrice,
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expiry
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)
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