Jhonathan Abreu
372c197890
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* Send one-time warning about mismatching canonicals/contracts models * Add regression algorithms
34 lines
1.6 KiB
Python
34 lines
1.6 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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from OptionModelsConsistencyRegressionAlgorithm import OptionModelsConsistencyRegressionAlgorithm
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### <summary>
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### Regression algorithm asserting that when setting custom models for canonical future, a one-time warning is sent
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### informing the user that the contracts models are different (not the custom ones).
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### </summary>
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class ContinuousFutureModelsConsistencyRegressionAlgorithm(OptionModelsConsistencyRegressionAlgorithm):
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def InitializeAlgorithm(self) -> Security:
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self.SetStartDate(2013, 7, 1)
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self.SetEndDate(2014, 1, 1)
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continuous_contract = self.AddFuture(Futures.Indices.SP500EMini,
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dataNormalizationMode=DataNormalizationMode.BackwardsPanamaCanal,
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dataMappingMode=DataMappingMode.OpenInterest,
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contractDepthOffset=1)
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return continuous_contract
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