wehub-resource-sync
68 lines
3.0 KiB
Python
68 lines
3.0 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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### This regression algorithm tests using FutureOptions daily resolution
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### </summary>
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class FutureOptionDailyRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2020, 1, 6)
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self.set_end_date(2020, 1, 8)
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resolution = Resolution.DAILY
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# Add our underlying future contract
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self.es = self.add_future_contract(
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Symbol.create_future(
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Futures.Indices.SP_500_E_MINI,
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Market.CME,
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datetime(2020, 3, 20)
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),
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resolution).symbol
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# Attempt to fetch a specific ITM future option contract
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es_options = [
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self.add_future_option_contract(x, resolution).symbol
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for x in self.option_chain(self.es)
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if x.id.strike_price == 3200 and x.id.option_right == OptionRight.CALL
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]
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self.es_option = es_options[0]
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# Validate it is the expected contract
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expected_contract = Symbol.create_option(self.es, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200, datetime(2020, 3, 20))
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if self.es_option != expected_contract:
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raise AssertionError(f"Contract {self.es_option} was not the expected contract {expected_contract}")
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# On daily resolution the order fills at the daily close, so buy on the first day with available data and
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# liquidate the next day, once the purchase has filled at the previous close
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self.schedule.on(self.date_rules.on(2020, 1, 7), self.time_rules.at(10,0,0), self.schedule_callback_buy)
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self.schedule.on(self.date_rules.on(2020, 1, 8), self.time_rules.at(14,0,0), self.schedule_callback_liquidate)
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def schedule_callback_buy(self):
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self.market_order(self.es_option, 1)
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def on_data(self, slice):
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# Assert we are only getting data at 4PM NY, for ES future market closes at 16pm NY
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if slice.time.hour != 17:
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raise AssertionError(f"Expected data at 5PM each day; instead was {slice.time}")
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def schedule_callback_liquidate(self):
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self.liquidate()
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def on_end_of_algorithm(self):
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if self.portfolio.invested:
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raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
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