wehub-resource-sync
116 lines
5.2 KiB
Python
116 lines
5.2 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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from SecuritySessionRegressionAlgorithm import SecuritySessionRegressionAlgorithm
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### <summary>
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### Regression algorithm to validate SecurityCache.Session with Futures.
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### Ensures OHLCV are consistent with Tick data.
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### </summary>
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class SecuritySessionWithFuturesRegressionAlgorithm(SecuritySessionRegressionAlgorithm):
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def initialize_security(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 8)
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self.security = self.add_future(Futures.Metals.GOLD, Resolution.TICK)
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self.bid_price = 0
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self.ask_price = 0
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self.bid_high = 0
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self.bid_low = float('inf')
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self.ask_low = float('inf')
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self.ask_high = 0
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self.previous_open_interest = 0
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def is_within_market_hours(self, current_date_time):
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return self.security.exchange.hours.is_open(current_date_time, False)
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def accumulate_session_data(self, data):
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symbol = self.security.symbol
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for tick in data.ticks[symbol]:
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if tick.tick_type == TickType.TRADE:
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self.volume += tick.quantity
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if self.current_date.date() == tick.time.date():
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# Same trading day
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if tick.bid_price != 0:
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self.bid_price = tick.bid_price
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self.bid_low = min(self.bid_low, tick.bid_price)
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self.bid_high = max(self.bid_high, tick.bid_price)
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if tick.ask_price != 0:
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self.ask_price = tick.ask_price
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self.ask_low = min(self.ask_low, tick.ask_price)
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self.ask_high = max(self.ask_high, tick.ask_price)
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if self.bid_price != 0 and self.ask_price != 0:
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mid_price = (self.bid_price + self.ask_price) / 2
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if self.open == 0:
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self.open = mid_price
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self.close = mid_price
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if self.bid_high != 0 and self.ask_high != 0:
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self.high = max(self.high, (self.bid_high + self.ask_high) / 2)
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if self.bid_low != float('inf') and self.ask_low != float('inf'):
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self.low = min(self.low, (self.bid_low + self.ask_low) / 2)
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else:
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# New trading day
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if self.previous_session_bar is not None:
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session = self.security.session
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if (self.previous_session_bar['open'] != session[1].open
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or self.previous_session_bar['high'] != session[1].high
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or self.previous_session_bar['low'] != session[1].low
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or self.previous_session_bar['close'] != session[1].close
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or self.previous_session_bar['volume'] != session[1].volume
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or self.previous_session_bar['open_interest'] != session[1].open_interest):
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raise RegressionTestException("Mismatch in previous session bar (OHLCV)")
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# This is the first data point of the new session
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self.open = (self.bid_price + self.ask_price) / 2
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self.low = float('inf')
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self.bid_low = float('inf')
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self.ask_low = float('inf')
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self.volume = 0
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self.current_date = tick.time
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def validate_session_bars(self):
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session = self.security.session
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# At this point the data was consolidated (market close)
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# Save previous session bar
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self.previous_session_bar = {
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'date': self.current_date,
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'open': self.open,
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'high': self.high,
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'low': self.low,
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'close': self.close,
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'volume': self.volume,
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'open_interest': self.security.open_interest
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}
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if self.security_was_removed:
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self.previous_session_bar = None
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self.security_was_removed = False
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return
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# Check current session values
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if (not self._are_equal(session.open, self.open)
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or not self._are_equal(session.high, self.high)
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or not self._are_equal(session.low, self.low)
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or not self._are_equal(session.close, self.close)
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or not self._are_equal(session.volume, self.volume)
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or not self._are_equal(session.open_interest, self.security.open_interest)):
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raise RegressionTestException("Mismatch in current session bar (OHLCV)") |