Martin-Molinero
7879795207
API Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Default daily precise end times - Enable by default daily precise end times. Updating stats - Minor fix for algorithm manager consolidator updates, adding new regression test asserting behavior and updating others - Minor fix for SubscriptionData creator avoid round down on warmup if not appropiate - Adjust consolidators to emit on daily strict end times if requested daily resolution and setting enabled - Updating regression algorithms * Skip daily data on extended market hours * Some cleanup and self review * Revert unrequired change
56 lines
1.8 KiB
C#
56 lines
1.8 KiB
C#
/*
|
|
* 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.
|
|
*
|
|
*/
|
|
|
|
using System;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Regression algorithm asserting the behavior of option warmup
|
|
/// </summary>
|
|
public class WarmupOptionResolutionRegressionAlgorithm : WarmupOptionRegressionAlgorithm
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
base.Initialize();
|
|
|
|
SetWarmUp(1, Resolution.Daily);
|
|
}
|
|
|
|
public override void OnEndOfAlgorithm()
|
|
{
|
|
var start = new DateTime(2015, 12, 23, 16, 0, 0);
|
|
var end = new DateTime(2015, 12, 24, 0, 0, 0);
|
|
var count = 0;
|
|
do
|
|
{
|
|
if (OptionWarmupTimes[count] != start)
|
|
{
|
|
throw new RegressionTestException($"Unexpected time {OptionWarmupTimes[count]} expected {start}");
|
|
}
|
|
count++;
|
|
start = start.AddDays(1);
|
|
}
|
|
while (start < end);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Data Points count of all timeslices of algorithm
|
|
/// </summary>
|
|
public override long DataPoints => 540255;
|
|
}
|
|
}
|