wehub-resource-sync
65 lines
3.3 KiB
Python
65 lines
3.3 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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### Options Open Interest data regression test.
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### </summary>
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### <meta name="tag" content="options" />
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### <meta name="tag" content="regression test" />
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class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_cash(1000000)
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self.set_start_date(2014,6,5)
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self.set_end_date(2014,6,6)
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option = self.add_option("TWX")
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# set our strike/expiry filter for this option chain
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option.set_filter(-10, 10, timedelta(0), timedelta(365*2))
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# use the underlying equity as the benchmark
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self.set_benchmark("TWX")
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def on_data(self, slice):
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if not self.portfolio.invested:
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for chain in slice.option_chains:
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for contract in chain.value:
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if float(contract.symbol.id.strike_price) == 72.5 and \
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contract.symbol.id.option_right == OptionRight.CALL and \
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contract.symbol.id.date == datetime(2016, 1, 15):
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history = self.history(OpenInterest, contract.symbol, timedelta(1))["openinterest"]
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if len(history.index) == 0 or 0 in history.values:
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raise ValueError("Regression test failed: open interest history request is empty")
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security = self.securities[contract.symbol]
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open_interest_cache = security.cache.get_data(OpenInterest)
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if open_interest_cache == None:
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raise ValueError("Regression test failed: current open interest isn't in the security cache")
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if slice.time.date() == datetime(2014, 6, 5).date() and (contract.open_interest != 50 or security.open_interest != 50):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")
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if slice.time.date() == datetime(2014, 6, 6).date() and (contract.open_interest != 70 or security.open_interest != 70):
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raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")
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if slice.time.date() == datetime(2014, 6, 6).date():
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self.market_order(contract.symbol, 1)
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self.market_on_close_order(contract.symbol, -1)
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if all(contract.open_interest == 0 for contract in chain.value):
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raise ValueError("Regression test failed: open interest is zero for all contracts")
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def on_order_event(self, order_event):
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self.log(str(order_event))
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