wehub-resource-sync
72 lines
3.4 KiB
Python
72 lines
3.4 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect
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# 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
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# 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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class OnEndOfDayRegressionAlgorithm(QCAlgorithm):
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'''Test algorithm verifying OnEndOfDay callbacks are called as expected. See GH issue 2865.'''
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def initialize(self):
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'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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self.set_start_date(2013,10, 7)
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self.set_end_date(2013,10,11)
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self.set_cash(100000)
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self._spy_symbol = Symbol.create("SPY", SecurityType.EQUITY, Market.USA)
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self._bac_symbol = Symbol.create("BAC", SecurityType.EQUITY, Market.USA)
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self._ibm_symbol = Symbol.create("IBM", SecurityType.EQUITY, Market.USA)
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self._on_end_of_day_spy_call_count = 0
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self._on_end_of_day_bac_call_count = 0
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self._on_end_of_day_ibm_call_count = 0
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self.add_universe('my_universe_name', self.selection)
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def selection(self, time):
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if time.day == 8:
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return [self._spy_symbol.value, self._ibm_symbol.value]
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return [self._spy_symbol.value]
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def on_end_of_day(self, symbol):
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'''We expect it to be called on each day after the first selection process
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happens and the algorithm has a security in it
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'''
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if symbol == self._spy_symbol:
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if self._on_end_of_day_spy_call_count == 0:
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# just the first time
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self.set_holdings(self._spy_symbol, 0.5)
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self.add_equity("BAC")
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self._on_end_of_day_spy_call_count += 1
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if symbol == self._bac_symbol:
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if self._on_end_of_day_bac_call_count == 0:
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# just the first time
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self.set_holdings(self._bac_symbol, 0.5)
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self._on_end_of_day_bac_call_count += 1
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if symbol == self._ibm_symbol:
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self._on_end_of_day_ibm_call_count += 1
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self.log("OnEndOfDay() called: " + str(self.utc_time)
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+ ". SPY count " + str(self._on_end_of_day_spy_call_count)
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+ ". BAC count " + str(self._on_end_of_day_bac_call_count)
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+ ". IBM count " + str(self._on_end_of_day_ibm_call_count))
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def on_end_of_algorithm(self):
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'''Assert expected behavior'''
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if self._on_end_of_day_spy_call_count != 5:
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raise ValueError("OnEndOfDay(SPY) unexpected count call " + str(self._on_end_of_day_spy_call_count))
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if self._on_end_of_day_bac_call_count != 4:
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raise ValueError("OnEndOfDay(BAC) unexpected count call " + str(self._on_end_of_day_bac_call_count))
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if self._on_end_of_day_ibm_call_count != 1:
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raise ValueError("OnEndOfDay(IBM) unexpected count call " + str(self._on_end_of_day_ibm_call_count))
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