wehub-resource-sync
134 lines
5.4 KiB
Python
134 lines
5.4 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 to validate SecurityCache.Session functionality.
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### Verifies that daily session bars (Open, High, Low, Close, Volume) are correctly
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### </summary>
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class SecuritySessionRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.add_security_initializer(self.initialize_session_tracking)
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self.initialize_security()
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# Check initial session values
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session = self.security.session
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if session is None:
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raise RegressionTestException("Security.Session is none")
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if (session.open != 0
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or session.high != 0
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or session.low != 0
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or session.close != 0
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or session.volume != 0
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or session.open_interest != 0):
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raise RegressionTestException("Session should start with all zero values.")
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self.security_was_removed = False
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self.open = self.close = self.high = self.volume = 0
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self.low = float('inf')
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self.current_date = self.start_date
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self.previous_session_bar = None
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self.schedule.on(
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self.date_rules.every_day(),
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self.time_rules.after_market_close(self.security.symbol, 1),
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self.validate_session_bars
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)
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def initialize_security(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.security = self.add_equity("SPY", Resolution.HOUR)
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def initialize_session_tracking(self, security):
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# activate session tracking
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security.session.size = 3
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def _are_equal(self, value1, value2):
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tolerance = 1e-10
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return abs(value1 - value2) <= tolerance
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def validate_session_bars(self):
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session = self.security.session
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# At this point the data was consolidated (market close)
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# Save previous session bar
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self.previous_session_bar = {
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'date': self.current_date,
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'open': self.open,
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'high': self.high,
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'low': self.low,
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'close': self.close,
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'volume': self.volume
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}
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if self.security_was_removed:
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self.previous_session_bar = None
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self.security_was_removed = False
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return
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# Check current session values
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if (not self._are_equal(session.open, self.open)
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or not self._are_equal(session.high, self.high)
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or not self._are_equal(session.low, self.low)
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or not self._are_equal(session.close, self.close)
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or not self._are_equal(session.volume, self.volume)):
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raise RegressionTestException("Mismatch in current session bar (OHLCV)")
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def is_within_market_hours(self, current_date_time):
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market_open = self.security.exchange.hours.get_next_market_open(current_date_time.date(), False).time()
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market_close = self.security.exchange.hours.get_next_market_close(current_date_time.date(), False).time()
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current_time = current_date_time.time()
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return market_open < current_time <= market_close
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def on_data(self, data):
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if not self.is_within_market_hours(data.time):
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# Skip data outside market hours
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return
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# Accumulate data within regular market hours
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# to later compare against the Session values
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self.accumulate_session_data(data)
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def accumulate_session_data(self, data):
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symbol = self.security.symbol
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if self.current_date.date() == data.time.date():
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# Same trading day
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if self.open == 0:
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self.open = data[symbol].open
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self.high = max(self.high, data[symbol].high)
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self.low = min(self.low, data[symbol].low)
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self.close = data[symbol].close
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self.volume += data[symbol].volume
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else:
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# New trading day
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if self.previous_session_bar is not None:
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session = self.security.session
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if (self.previous_session_bar['open'] != session[1].open
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or self.previous_session_bar['high'] != session[1].high
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or self.previous_session_bar['low'] != session[1].low
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or self.previous_session_bar['close'] != session[1].close
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or self.previous_session_bar['volume'] != session[1].volume):
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raise RegressionTestException("Mismatch in previous session bar (OHLCV)")
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# This is the first data point of the new session
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self.open = data[symbol].open
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self.close = data[symbol].close
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self.high = data[symbol].high
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self.low = data[symbol].low
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self.volume = data[symbol].volume
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self.current_date = data.time
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