Jhonathan Abreu
f2100adb46
* Test * Fix price shift on continuous future rollover * Keep track of both data and exchange time in subscription data reader * Fix for daily and hourly resolutions. Add daily and hour algorithms * Fixes for emitting new exchange dates at the beginning and end when data is not available * Cleanup * Minor fix * Minor fix: detect mapping in data reader after advancing time keeper * Minor fix * More fixes * More fixes * Fixes for universe files * More fixes for daily resolution data * Separate DateChangeTimeKeeper to its own file * Add DateChangeTimeKeeper unit tests * Minor fix * Add more DateChangeTimeKeeper unit tests * Address peer review * Address peer review * Address peer review * Detect mappings using the config NewSymbol event * DateChangeTimeKeeper performance improvement for time zone conversions * Clean up date change time keeper * Cleanup * Minor regression algo update * Cleanup * Cleanup * Fix perform universe selection on sundays for continuous futures with extended market hours * Cleanup * Address peer review * More cleanup * More cleanup
39 lines
1.5 KiB
C#
39 lines
1.5 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 NodaTime;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Base class for regression algorithms testing that when a continuous future rollover happens,
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/// the continuous contract is updated correctly with the new contract data.
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/// The algorithms asserts the behavior for the case when the exchange time zone is behind of the data time zone.
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/// </summary>
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public class ContinuousFutureRolloverHourExchangeTimeZoneBehindOfDataRegressionAlgorithm
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: ContinuousFutureRolloverBaseRegressionAlgorithm
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{
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protected override Resolution Resolution => Resolution.Hour;
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protected override Offset ExchangeToDataTimeZoneOffset => Offset.FromHours(-2);
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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 => 18844;
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}
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}
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