wehub-resource-sync
47 lines
2.1 KiB
C#
47 lines
2.1 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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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm exercising an equity covered European style option, using an option price model
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/// that does not support European style options and asserting that the option price model is not used.
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/// </summary>
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public class OptionPriceModelForUnsupportedEuropeanOptionTimeSpanWarmupRegressionAlgorithm : OptionPriceModelForUnsupportedEuropeanOptionRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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// We want to match the start time of the base algorithm. SPX index options data time zone is chicago, algorithm time zone is new york (default).
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// Base algorithm warmup is 7 bar of daily resolution starts at 23 PM new york time of T-1. So to match the same start time
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// we go back a 9 day + 23 hours, we need to account for a single weekend. This is calculated by 'Time.GetStartTimeForTradeBars'
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SetWarmup(TimeSpan.FromHours(24 * 9 + 23));
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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 => 639;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public override AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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}
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}
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