wehub-resource-sync
58 lines
2.5 KiB
Python
58 lines
2.5 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from datetime import datetime
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Regression algorithm asserting that the option chain APIs return consistent values.
|
|
### See QCAlgorithm.OptionChain(Symbol) and QCAlgorithm.OptionChainProvider
|
|
### </summary>
|
|
class OptionChainApisConsistencyRegressionAlgorithm(QCAlgorithm):
|
|
|
|
def initialize(self) -> None:
|
|
test_date = self.get_test_date()
|
|
|
|
self.set_start_date(test_date)
|
|
self.set_end_date(test_date)
|
|
|
|
option = self.get_option()
|
|
|
|
option_chain_from_algorithm_api = self.option_chain(option.symbol).contracts.keys()
|
|
|
|
exchange_time = Extensions.convert_from_utc(self.utc_time, option.exchange.time_zone)
|
|
option_chain_from_provider_api = list(sorted(self.option_chain_provider.get_option_contract_list(option.symbol, exchange_time)))
|
|
|
|
if len(option_chain_from_algorithm_api) == 0:
|
|
raise AssertionError("No options in chain from algorithm API")
|
|
|
|
if len(option_chain_from_provider_api) == 0:
|
|
raise AssertionError("No options in chain from provider API")
|
|
|
|
if len(option_chain_from_algorithm_api) != len(option_chain_from_provider_api):
|
|
raise AssertionError(f"Expected {len(option_chain_from_provider_api)} options in chain from provider API, "
|
|
f"but got {len(option_chain_from_algorithm_api)}")
|
|
|
|
for i in range(len(option_chain_from_algorithm_api)):
|
|
symbol1 = option_chain_from_algorithm_api[i]
|
|
symbol2 = option_chain_from_provider_api[i]
|
|
|
|
if symbol1 != symbol2:
|
|
raise AssertionError(f"Expected {symbol2} in chain from provider API, but got {symbol1}")
|
|
|
|
def get_test_date(self) -> datetime:
|
|
return datetime(2015, 12, 25)
|
|
|
|
def get_option(self) -> Option:
|
|
return self.add_option("GOOG")
|