wehub-resource-sync
59 lines
2.8 KiB
Python
59 lines
2.8 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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### <summary>
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### Regression algorithm asserting that a MarketHourAwareConsolidator with an intraday period
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### anchors each bar to the market open and never lets a bar extend past the market close.
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### </summary>
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class MarketHourAwareIntradayConsolidationRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 6)
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self.set_end_date(2013, 10, 11)
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self._period = timedelta(minutes=7)
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self._consolidated_bar_count = 0
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self._future = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, extended_market_hours=True)
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self._hours = self._future.exchange.hours
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consolidator = MarketHourAwareConsolidator(False, self._period, TradeBar, TickType.TRADE, True)
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consolidator.data_consolidated += self._on_seven_minute_bar
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self.subscription_manager.add_consolidator(self._future.symbol, consolidator)
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def _on_seven_minute_bar(self, sender, consolidated):
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bar = consolidated
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market_open = self._hours.get_previous_market_open(bar.time + timedelta(microseconds=1), True)
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market_close = self._hours.get_next_market_close(market_open, True)
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# the bar must be anchored to the market open
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if (bar.time - market_open) % self._period != timedelta(0):
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raise RegressionTestException(f"Bar starting at {bar.time} is not anchored to the market open {market_open}")
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# the bar must not extend past the market close
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if bar.end_time > market_close:
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raise RegressionTestException(f"Bar ending at {bar.end_time} extends past the market close {market_close}")
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# bars span the full period unless the last one is clipped at the market close
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bar_period = bar.end_time - bar.time
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if bar_period != self._period and bar.end_time != market_close:
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raise RegressionTestException(f"Bar from {bar.time} to {bar.end_time} has period {bar_period} instead of {self._period}")
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self._consolidated_bar_count += 1
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def on_end_of_algorithm(self):
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if self._consolidated_bar_count == 0:
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raise RegressionTestException("The consolidator did not produce any bar")
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