Ricardo Andrés Marino Rojas
02e54d0242
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* Implement `OptionExerciseModelPythonWrapper.cs` - Modifiy `Option.cs` to set the automatic exercise model, even if it's a python custom option model exercise model - Add `QuantConnect.Orders.OptionExercise` in `AlgorithmImports.py` - Add regression algorithms in C# and Python showing how to specify a custom option exercise model * Address required changes - Remove unnecessary constructor in ´CustomOptionExerciseModelRegressionAlgorithm.cs´ - Change `.Dispose()` in `OptionExerciseModelPythonWrapper.OptionExercise(9` to ´using´ keyword - Change `Option.SetOptionExerciseModel()` XML docs * Minor tweaks * Update CustomOptionExerciseModelRegressionAlgorithm.cs --------- Co-authored-by: Martin-Molinero <martin@quantconnect.com>
99 lines
3.7 KiB
Python
99 lines
3.7 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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import os
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import sys
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# The runtimeconfig.json is stored alongside start.py, but start.py may be a
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# symlink and the directory start.py is stored in is not necessarily the
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# current working directory. We therefore construct the absolute path to the
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# start.py file, and find the runtimeconfig.json relative to that.
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path = os.path.dirname(os.path.realpath(__file__))
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from clr import AddReference
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AddReference("System")
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#Load assemblies
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for file in os.listdir(path):
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if file.endswith(".dll") and file.startswith("QuantConnect."):
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AddReference(file.replace(".dll", ""))
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from System import *
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from System.Drawing import *
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from QuantConnect import *
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from QuantConnect.Api import *
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from QuantConnect.Util import *
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from QuantConnect.Data import *
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from QuantConnect.Orders import *
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from QuantConnect.Python import *
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from QuantConnect.Storage import *
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from QuantConnect.Research import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Statistics import *
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from QuantConnect.Parameters import *
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from QuantConnect.Benchmarks import *
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from QuantConnect.Brokerages import *
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from QuantConnect.Securities import *
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from QuantConnect.Indicators import *
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from QuantConnect.Interfaces import *
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from QuantConnect.Scheduling import *
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from QuantConnect.DataSource import *
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from QuantConnect.Orders.Fees import *
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from QuantConnect.Data.Custom import *
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from QuantConnect.Data.Market import *
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from QuantConnect.Lean.Engine import *
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from QuantConnect.Orders.Fills import *
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from QuantConnect.Configuration import *
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from QuantConnect.Notifications import *
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from QuantConnect.Data.Auxiliary import *
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from QuantConnect.Data.Shortable import *
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from QuantConnect.Orders.Slippage import *
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from QuantConnect.Securities.Forex import *
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from QuantConnect.Data.Fundamental import *
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from QuantConnect.Securities.Crypto import *
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from QuantConnect.Securities.Option import *
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from QuantConnect.Securities.Equity import *
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from QuantConnect.Securities.Future import *
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from QuantConnect.Data.Consolidators import *
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from QuantConnect.Orders.TimeInForces import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Orders.OptionExercise import *
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from QuantConnect.Securities.Volatility import *
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from QuantConnect.Securities.Interfaces import *
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from QuantConnect.Data.UniverseSelection import *
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from QuantConnect.Data.Custom.IconicTypes import *
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from QuantConnect.Securities.CryptoFuture import *
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from QuantConnect.Data.Custom.AlphaStreams import *
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from QuantConnect.Algorithm.Framework.Risk import *
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from QuantConnect.Algorithm.Framework.Alphas import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Portfolio.SignalExports import *
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from QuantConnect.Algorithm.Framework.Selection import *
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try:
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import numpy as np
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import pandas as pd
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import matplotlib.pyplot as plt
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except:
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pass
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from datetime import date, time, datetime, timedelta
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from typing import *
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import math
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import json
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QCAlgorithmFramework = QCAlgorithm
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QCAlgorithmFrameworkBridge = QCAlgorithm
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