wehub-resource-sync
43 lines
1.7 KiB
Python
43 lines
1.7 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 asserting that tick history request includes both trade and quote data
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### </summary>
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class HistoryTickRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 12)
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self.set_end_date(2013, 10, 13)
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self._symbol = self.add_equity("SPY", Resolution.TICK).symbol
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trades_count = 0
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quotes_count = 0
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for point in self.history[Tick](self._symbol, timedelta(days=1), Resolution.TICK):
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if point.tick_type == TickType.TRADE:
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trades_count += 1
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elif point.tick_type == TickType.QUOTE:
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quotes_count += 1
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if trades_count > 0 and quotes_count > 0:
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# We already found at least one tick of each type, we can exit the loop
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break
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if trades_count == 0 or quotes_count == 0:
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raise AssertionError("Expected to find at least one tick of each type (quote and trade)")
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self.quit()
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