wehub-resource-sync
29 lines
1.8 KiB
Python
29 lines
1.8 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
from AlgorithmImports import *
|
|
from OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm import OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm
|
|
|
|
### <summary>
|
|
### Regression algorithm exercising an equity covered European style option, using an option price model
|
|
### that supports European style options and asserting that the option price model is used.
|
|
### </summary>
|
|
class OptionPriceModelForSupportedEuropeanOptionTimeSpanWarmupRegressionAlgorithm(OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm):
|
|
def initialize(self):
|
|
OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm.initialize(self)
|
|
|
|
# We want to match the start time of the base algorithm. SPX index options data time zone is chicago, algorithm time zone is new york (default).
|
|
# Base algorithm warmup is 7 bar of daily resolution starts at 23 PM new york time of T-1. So to match the same start time
|
|
# we go back a 9 day + 23 hours, we need to account for a single weekend. This is calculated by 'Time.GET_START_TIME_FOR_TRADE_BARS'
|
|
self.set_warmup(TimeSpan.from_hours(24 * 9 + 23))
|