wehub-resource-sync
44 lines
2.2 KiB
Python
44 lines
2.2 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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### Regression algorithm illustrating how to request history data for continuous contracts with different depth offsets.
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### </summary>
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class HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 6)
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self.set_end_date(2014, 1, 1)
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self._continuous_contract_symbol = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.DAILY).symbol
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def on_end_of_algorithm(self):
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contract_depth_offsets = range(3)
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history_results = [
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self.history([self._continuous_contract_symbol], self.start_date, self.end_date, Resolution.DAILY, contract_depth_offset=contract_depth_offset)
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.droplevel(0, axis=0)
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.loc[self._continuous_contract_symbol]
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.close
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for contract_depth_offset in contract_depth_offsets
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]
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if any(x.size == 0 or x.size != history_results[0].size for x in history_results):
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raise AssertionError("History results are empty or bar counts did not match")
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# Check that prices at each time are different for different contract depth offsets
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for j in range(history_results[0].size):
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close_prices = set(history_results[i][j] for i in range(len(history_results)))
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if len(close_prices) != len(contract_depth_offsets):
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raise AssertionError("History results close prices should have been different for each data mapping mode at each time")
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