wehub-resource-sync
46 lines
1.8 KiB
C#
46 lines
1.8 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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*/
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting that options are automatically exercised on expiry regardless on whether
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/// the day after expiration is tradable or not.
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/// This specific algorithm works with contracts added by selection using the option security filter.
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/// </summary>
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public class OptionExerciseOnExpiryAndNonTradableDateWithOptionSelectionRegressionAlgorithm
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: OptionExerciseOnExpiryAndNonTradableDateRegressionAlgorithm
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{
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protected override void InitializeOptions(Symbol underlying, Symbol[] options)
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{
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AddIndexOption(underlying, options[0].ID.Symbol)
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.SetFilter(u => u.IncludeWeeklys().Contracts(contracts => options));
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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 => 16649;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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}
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}
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