wehub-resource-sync
35 lines
1.3 KiB
C#
35 lines
1.3 KiB
C#
/*
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* 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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*/
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namespace QuantConnect.Algorithm.CSharp.Benchmarks
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{
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/// <summary>
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/// Benchmark Algorithm that adds SPX option chain but does not trade it.
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/// This is an interesting benchmark because SPX option chains are large
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/// </summary>
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public class EmptySPXOptionChainBenchmark : QCAlgorithm
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{
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public override void Initialize()
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{
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SetStartDate(2018, 1, 1);
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SetEndDate(2020, 6, 1);
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var index = AddIndex("SPX");
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var option = AddOption(index);
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option.SetFilter(x => x.IncludeWeeklys().Strikes(-30, 30).Expiration(0, 7));
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}
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}
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}
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