wehub-resource-sync
56 lines
2.4 KiB
Python
56 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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### <summary>
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### Regression algorithm that validates that when using a continuous future (without a filter)
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### the option chains are correctly populated using the mapped symbol.
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### </summary>
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class FutureOptionContinuousFutureRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 1, 4)
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self.set_end_date(2020, 1, 8)
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self.future = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.MINUTE, Market.CME)
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self.set_filter()
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self.add_future_option(self.future.symbol, lambda universe: universe.strikes(-1, 1))
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self._has_any_option_chain_for_mapped_symbol = False
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def set_filter(self):
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"""Set future filter - override in derived classes for filtered version"""
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pass
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def on_data(self, slice: Slice):
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if len(slice.option_chains) == 0:
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return
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self.validate_option_chains(slice)
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# OptionChain for mapped symbol
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chain = slice.option_chains[self.future.mapped]
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if chain is None or not any(chain):
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raise RegressionTestException("No option chain found for mapped symbol during algorithm execution")
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# Mark that we successfully received a non-empty OptionChain for mapped symbol
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self._has_any_option_chain_for_mapped_symbol = True
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def validate_option_chains(self, slice: Slice):
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if len(slice.option_chains) != 1:
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raise RegressionTestException("Expected only one option chain for the mapped symbol")
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def on_end_of_algorithm(self):
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if not self._has_any_option_chain_for_mapped_symbol:
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raise RegressionTestException("No non-empty option chain found for mapped symbol during algorithm execution") |