wehub-resource-sync
46 lines
1.9 KiB
Python
46 lines
1.9 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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### Verifies that weekly option contracts are included when no standard contracts are available.
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### </summary>
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class OptionChainIncludeWeeklysByDefaultRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2015, 12, 24)
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self.set_end_date(2015, 12, 24)
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self.option = self.add_option("GOOG")
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self.option_symbol = self.option.Symbol
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self.option.set_filter(lambda u: u.strikes(-8, 8).expiration(0, 0))
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self.weekly_count = 0
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self.total_count = 0
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def on_data(self, data):
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chain = data.option_chains.get(self.option_symbol)
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if chain:
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self.total_count += len(chain.contracts)
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for contract in chain.contracts.values():
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if not OptionSymbol.is_standard(contract.symbol):
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self.weekly_count += 1
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def on_end_of_algorithm(self):
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if self.weekly_count == 0:
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raise RegressionTestException("No weekly contracts found")
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if self.total_count != self.weekly_count:
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raise RegressionTestException("When no standard option expirations are available, the option chain must fall back to weekly contracts only") |