wehub-resource-sync
54 lines
2.4 KiB
Python
54 lines
2.4 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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from collections import deque
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### <summary>
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### Regression algorithm show casing and asserting the behavior of creating a consolidator specifying the start time
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### </summary>
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class ConsolidatorStartTimeRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 4)
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self.set_end_date(2013, 10, 4)
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self.add_equity("SPY", Resolution.MINUTE)
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consolidator = TradeBarConsolidator(timedelta(hours=1), start_time=timedelta(hours=9, minutes=30))
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consolidator.data_consolidated += self.bar_handler
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self.subscription_manager.add_consolidator("SPY", consolidator)
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self._expectedConsolidationTime = deque()
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self._expectedConsolidationTime.append(time(14, 30))
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self._expectedConsolidationTime.append(time(13, 30))
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self._expectedConsolidationTime.append(time(12, 30))
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self._expectedConsolidationTime.append(time(11, 30))
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self._expectedConsolidationTime.append(time(10, 30))
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self._expectedConsolidationTime.append(time(9, 30))
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def bar_handler(self, _, bar):
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if self.time != bar.end_time:
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raise RegressionTestException(f"Unexpected consolidation time {bar.Time} != {Time}!")
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self.debug(f"{self.time} - Consolidation")
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expected = self._expectedConsolidationTime.pop()
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if bar.time.time() != expected:
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raise RegressionTestException(f"Unexpected consolidation time {bar.time.time()} != {expected}!")
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if bar.period != timedelta(hours=1):
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raise RegressionTestException(f"Unexpected consolidation period {bar.period}!")
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def on_end_of_algorithm(self):
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if len(self._expectedConsolidationTime) > 0:
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raise RegressionTestException("Unexpected consolidation times!")
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