Colton Sellers
1358bd8115
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Fixes for FutureOptions support in LeanData * Add CreateCanonicalOption() utility function for Symbol.cs * Add aggregated Futures/FuturesOptions data to Lean * Add FutureOptions regressions for daily/hourly data * Allow Futures to be added with low resolution * Add Future regressions using hour/daily data * Nit - Python Class names * Add reviews * Add alias into CreateCanonicalOption
69 lines
3.0 KiB
Python
69 lines
3.0 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 AlgorithmImports import *
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### <summary>
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### This regression algorithm tests using FutureOptions daily resolution
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### </summary>
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class FutureOptionHourlyRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2012, 1, 3)
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self.SetEndDate(2012, 1, 4)
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resolution = Resolution.Hour
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# Add our underlying future contract
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self.dc = self.AddFutureContract(
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Symbol.CreateFuture(
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Futures.Dairy.ClassIIIMilk,
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Market.CME,
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datetime(2012, 4, 1)
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),
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resolution).Symbol
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# Attempt to fetch a specific ITM future option contract
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dcOptions = [
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self.AddFutureOptionContract(x, resolution).Symbol for x in (self.OptionChainProvider.GetOptionContractList(self.dc, self.Time)) if x.ID.StrikePrice == 17 and x.ID.OptionRight == OptionRight.Call
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]
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self.dcOption = dcOptions[0]
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# Validate it is the expected contract
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expectedContract = Symbol.CreateOption(self.dc, Market.CME, OptionStyle.American, OptionRight.Call, 17, datetime(2012, 4, 1))
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if self.dcOption != expectedContract:
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raise AssertionError(f"Contract {self.dcOption} was not the expected contract {expectedContract}")
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# Schedule a purchase of this contract at noon
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self.Schedule.On(self.DateRules.Today, self.TimeRules.Noon, self.ScheduleCallbackBuy)
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# Schedule liquidation at 6pm
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self.Schedule.On(self.DateRules.Today, self.TimeRules.At(18,0,0), self.ScheduleCallbackLiquidate)
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def ScheduleCallbackBuy(self):
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self.ticket = self.MarketOrder(self.dcOption, 1)
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def OnData(self, slice):
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# Assert we are only getting data at 7PM (12AM UTC)
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if slice.Time.minute != 0:
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raise AssertionError(f"Expected data only on hourly intervals; instead was {slice.Time}")
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def ScheduleCallbackLiquidate(self):
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self.Liquidate()
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def OnEndOfAlgorithm(self):
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if self.Portfolio.Invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.ID) for i in self.Portfolio.Keys])}")
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if self.ticket.Status != OrderStatus.Filled:
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raise AssertionError("Future option order failed to fill correctly")
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