wehub-resource-sync
88 lines
3.1 KiB
C#
88 lines
3.1 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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*/
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that futures and future option contracts added via universe selection
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/// get automatically seeded by default
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/// </summary>
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public class FuturesAutomaticSeedRegressionAlgorithm : AutomaticSeedBaseRegressionAlgorithm
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{
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private bool _futureContractsAdded;
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private bool _fopsContractsAdded;
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protected override bool ShouldHaveTradeData => true;
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protected override bool ShouldHaveQuoteData => false;
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protected override bool ShouldHaveOpenInterestData => true;
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public override void Initialize()
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{
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SetStartDate(2020, 01, 07);
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SetEndDate(2020, 01, 07);
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SetCash(100000);
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Settings.SeedInitialPrices = true;
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var futures = AddFuture(Futures.Indices.SP500EMini);
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futures.SetFilter(0, 365);
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AddFutureOption(futures.Symbol, universe => universe.Strikes(-5, +5));
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}
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public override void OnSecuritiesChanged(SecurityChanges changes)
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{
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base.OnSecuritiesChanged(changes);
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if (!_futureContractsAdded || !_fopsContractsAdded)
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{
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foreach (var addedSecurity in changes.AddedSecurities)
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{
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// Just making sure we had the data to select and seed futures and future options
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_futureContractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.Future;
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_fopsContractsAdded |= addedSecurity.Symbol.SecurityType == SecurityType.FutureOption;
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}
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}
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}
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public override void OnEndOfAlgorithm()
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{
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if (!_futureContractsAdded)
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{
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throw new RegressionTestException("No option contracts were added");
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}
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if (!_fopsContractsAdded)
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{
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throw new RegressionTestException("No future option contracts were added");
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}
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}
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 448;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 453;
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}
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}
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