wehub-resource-sync
52 lines
1.9 KiB
C#
52 lines
1.9 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 System.Linq;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that the future security cache open interest is set from the chain universe data open interest
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/// </summary>
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public class FutureUniverseOpenInterestRegressionAlgorithm : OptionUniverseOpenInterestRegressionAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2013, 10, 8);
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SetEndDate(2013, 10, 8);
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SetCash(100000);
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var future = AddFuture(Futures.Indices.SP500EMini, Resolution.Minute);
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future.SetFilter(universe => universe.Contracts(contracts => contracts.Where(x => x.OpenInterest != 0)));
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}
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/// <summary>
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/// Gets the chain universe data point stored in the given security cache if any
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/// </summary>
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protected override BaseChainUniverseData GetChainUniverseData(Security security)
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{
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return security.Cache.GetData<FutureUniverse>();
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}
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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 => 8494;
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}
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}
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