wehub-resource-sync
71 lines
3.3 KiB
Python
71 lines
3.3 KiB
Python
### QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
### Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
###
|
|
### Licensed under the Apache License, Version 2.0 (the "License");
|
|
### you may not use this file except in compliance with the License.
|
|
### You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
###
|
|
### Unless required by applicable law or agreed to in writing, software
|
|
### distributed under the License is distributed on an "AS IS" BASIS,
|
|
### WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
### See the License for the specific language governing permissions and
|
|
### limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### This regression test tests for the loading of futures options contracts with a contract month of 2020-03 can live
|
|
### and be loaded from the same ZIP file that the 2020-04 contract month Future Option contract lives in.
|
|
### </summary>
|
|
class FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self):
|
|
self.expected_symbols = {
|
|
self._create_option(datetime(2020, 3, 26), OptionRight.CALL, 1650.0): False,
|
|
self._create_option(datetime(2020, 3, 26), OptionRight.PUT, 1540.0): False,
|
|
self._create_option(datetime(2020, 2, 25), OptionRight.CALL, 1600.0): False,
|
|
self._create_option(datetime(2020, 2, 25), OptionRight.PUT, 1545.0): False
|
|
}
|
|
|
|
# Required for FOPs to use extended hours, until GH #6491 is addressed
|
|
self.universe_settings.extended_market_hours = True
|
|
|
|
self.set_start_date(2020, 1, 4)
|
|
self.set_end_date(2020, 1, 6)
|
|
|
|
gold_futures = self.add_future("GC", Resolution.MINUTE, Market.COMEX, extended_market_hours=True)
|
|
gold_futures.set_filter(0, 365)
|
|
|
|
self.add_future_option(gold_futures.symbol)
|
|
|
|
def on_data(self, data: Slice):
|
|
for symbol in data.quote_bars.keys():
|
|
# Check that we are in regular hours, we can place a market order (on extended hours, limit orders should be used)
|
|
if symbol in self.expected_symbols and self.is_in_regular_hours(symbol):
|
|
invested = self.expected_symbols[symbol]
|
|
if not invested:
|
|
self.market_order(symbol, 1)
|
|
|
|
self.expected_symbols[symbol] = True
|
|
|
|
def on_end_of_algorithm(self):
|
|
not_encountered = [str(k) for k,v in self.expected_symbols.items() if not v]
|
|
if any(not_encountered):
|
|
raise AssertionError(f"Expected all Symbols encountered and invested in, but the following were not found: {', '.join(not_encountered)}")
|
|
|
|
if not self.portfolio.invested:
|
|
raise AssertionError("Expected holdings at the end of algorithm, but none were found.")
|
|
|
|
def is_in_regular_hours(self, symbol):
|
|
return self.securities[symbol].exchange.exchange_open
|
|
|
|
def _create_option(self, expiry: datetime, option_right: OptionRight, strike_price: float) -> Symbol:
|
|
return Symbol.create_option(
|
|
Symbol.create_future("GC", Market.COMEX, datetime(2020, 4, 28)),
|
|
Market.COMEX,
|
|
OptionStyle.AMERICAN,
|
|
option_right,
|
|
strike_price,
|
|
expiry
|
|
)
|