wehub-resource-sync
73 lines
4.1 KiB
Python
73 lines
4.1 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 asserts that futures have data at extended market hours when this is enabled.
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### </summary>
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class FuturesExtendedMarketHoursRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 6)
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self.set_end_date(2013, 10, 11)
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self._es = self.add_future(Futures.Indices.SP_500_E_MINI, Resolution.HOUR, fill_forward=True, extended_market_hours=True)
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self._es.set_filter(0, 180)
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self._gc = self.add_future(Futures.Metals.GOLD, Resolution.HOUR, fill_forward=True, extended_market_hours=False)
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self._gc.set_filter(0, 180)
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self._es_ran_on_regular_hours = False
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self._es_ran_on_extended_hours = False
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self._gc_ran_on_regular_hours = False
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self._gc_ran_on_extended_hours = False
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def on_data(self, slice):
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slice_symbols = set(slice.keys())
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slice_symbols.update(slice.bars.keys())
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slice_symbols.update(slice.ticks.keys())
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slice_symbols.update(slice.quote_bars.keys())
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slice_symbols.update([x.canonical for x in slice_symbols])
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es_is_in_regular_hours = self._es.exchange.hours.is_open(self.time, False)
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es_is_in_extended_hours = not es_is_in_regular_hours and self._es.exchange.hours.is_open(self.time, True)
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slice_has_e_s_data = self._es.symbol in slice_symbols
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self._es_ran_on_regular_hours |= es_is_in_regular_hours and slice_has_e_s_data
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self._es_ran_on_extended_hours |= es_is_in_extended_hours and slice_has_e_s_data
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gc_is_in_regular_hours = self._gc.exchange.hours.is_open(self.time, False)
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gc_is_in_extended_hours = not gc_is_in_regular_hours and self._gc.exchange.hours.is_open(self.time, True)
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slice_has_g_c_data = self._gc.symbol in slice_symbols
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self._gc_ran_on_regular_hours |= gc_is_in_regular_hours and slice_has_g_c_data
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self._gc_ran_on_extended_hours |= gc_is_in_extended_hours and slice_has_g_c_data
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time_of_day = self.time.time()
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current_time_is_regular_hours = (time_of_day >= time(9, 30, 0) and time_of_day < time(16, 15, 0)) or (time_of_day >= time(16, 30, 0) and time_of_day < time(17, 0, 0))
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current_time_is_extended_hours = not current_time_is_regular_hours and (time_of_day < time(9, 30, 0) or time_of_day >= time(18, 0, 0))
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if es_is_in_regular_hours != current_time_is_regular_hours or es_is_in_extended_hours != current_time_is_extended_hours:
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raise AssertionError("At {Time}, {_es.symbol} is either in regular hours but current time is in extended hours, or viceversa")
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def on_end_of_algorithm(self):
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if not self._es_ran_on_regular_hours:
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raise AssertionError(f"Algorithm should have run on regular hours for {self._es.symbol} future, which enabled extended market hours")
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if not self._es_ran_on_extended_hours:
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raise AssertionError(f"Algorithm should have run on extended hours for {self._es.symbol} future, which enabled extended market hours")
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if not self._gc_ran_on_regular_hours:
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raise AssertionError(f"Algorithm should have run on regular hours for {self._gc.symbol} future, which did not enable extended market hours")
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if self._gc_ran_on_extended_hours:
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raise AssertionError(f"Algorithm should have not run on extended hours for {self._gc.symbol} future, which did not enable extended market hours")
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