wehub-resource-sync
55 lines
2.7 KiB
Python
55 lines
2.7 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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from AlgorithmImports import *
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### <summary>
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### This example demonstrates how to use the OptionUniverseSelectionModel to select options contracts based on specified conditions.
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### The model is updated daily and selects different options based on the current date.
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### The algorithm ensures that only valid option contracts are selected for the universe.
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### </summary>
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class AddOptionUniverseSelectionModelRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2014, 6, 5)
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self.set_end_date(2014, 6, 6)
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self.option_count = 0
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self.universe_settings.resolution = Resolution.MINUTE
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self.set_universe_selection(OptionUniverseSelectionModel(
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timedelta(days=1),
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self.select_option_chain_symbols
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))
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def select_option_chain_symbols(self, utc_time):
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new_york_time = Extensions.convert_from_utc(utc_time, TimeZones.NEW_YORK)
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if new_york_time.date() < datetime(2014, 6, 6).date():
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return [ Symbol.create("TWX", SecurityType.OPTION, Market.USA) ]
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if new_york_time.date() >= datetime(2014, 6, 6).date():
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return [ Symbol.create("AAPL", SecurityType.OPTION, Market.USA) ]
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def on_securities_changed(self, changes):
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if len(changes.added_securities) > 0:
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for security in changes.added_securities:
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symbol = security.symbol.underlying if security.symbol.underlying else security.Symbol
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if symbol.value != "AAPL" and symbol.value != "TWX":
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raise RegressionTestException(f"Unexpected security {security.Symbol}")
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if security.symbol.security_type == SecurityType.OPTION:
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self.option_count += 1
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def on_end_of_algorithm(self):
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if len(self.active_securities) == 0:
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raise RegressionTestException("No active securities found. Expected at least one active security")
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if self.option_count == 0:
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raise RegressionTestException("The option count should be greater than 0") |