wehub-resource-sync
51 lines
2.5 KiB
Python
51 lines
2.5 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 testing history requests for <see cref="FutureUniverse"/> type work as expected
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### and return the same data as the futures chain provider.
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### </summary>
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class OptionUniverseHistoryRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 11)
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self.set_end_date(2013, 10, 11)
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future = self.add_future(Futures.Indices.SP_500_E_MINI).symbol
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historical_futures_data_df = self.history(FutureUniverse, future, 3, flatten=True)
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# Level 0 of the multi-index is the date, we expect 3 dates, 3 future chains
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if historical_futures_data_df.index.levshape[0] != 3:
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raise RegressionTestException(f"Expected 3 futures chains from history request, "
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f"but got {historical_futures_data_df.index.levshape[1]}")
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for date in historical_futures_data_df.index.levels[0]:
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expected_chain = list(self.future_chain_provider.get_future_contract_list(future, date))
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expected_chain_count = len(expected_chain)
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actual_chain = historical_futures_data_df.loc[date]
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actual_chain_count = len(actual_chain)
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if expected_chain_count != actual_chain_count:
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raise RegressionTestException(f"Expected {expected_chain_count} futures in chain on {date}, "
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f"but got {actual_chain_count}")
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for i, symbol in enumerate(actual_chain.index):
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expected_symbol = expected_chain[i]
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if symbol != expected_symbol:
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raise RegressionTestException(f"Expected symbol {expected_symbol} at index "
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f" {i} on {date}, but got {symbol}")
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