wehub-resource-sync
42 lines
1.9 KiB
Python
42 lines
1.9 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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from SecuritySessionRegressionAlgorithm import SecuritySessionRegressionAlgorithm
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### <summary>
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### Regression algorithm to validate SecurityCache.Session functionality.
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### Verifies that daily session bars (Open, High, Low, Close, Volume) are correctly after resolution change
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### </summary>
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class SecuritySessionWithChangeOfResolutionRegressionAlgorithm(SecuritySessionRegressionAlgorithm):
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def on_securities_changed(self, changes: SecurityChanges):
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if changes.removed_securities:
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self.security = self.add_equity("SPY", Resolution.MINUTE)
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def on_end_of_day(self, symbol: Symbol):
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if self.utc_time.date() == datetime(2013, 10, 7).date():
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session = self.security.session
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# Check before removal
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if (
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session.open != self.open
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or session.high != self.high
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or session.low != self.low
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or session.close != self.close
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or session.volume != self.volume
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):
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raise RegressionTestException("Mismatch in current session bar (OHLCV)")
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self.remove_security(symbol)
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self.security_was_removed = True |