wehub-resource-sync
53 lines
2.4 KiB
Python
53 lines
2.4 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 *
|
|
|
|
### <summary>
|
|
### Regression algorithm reproducing GH issue #5921. Asserting a security can be warmup correctly on initialize
|
|
### </summary>
|
|
class SecuritySeederRegressionAlgorithm(QCAlgorithm):
|
|
def initialize(self):
|
|
'''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
|
|
self.set_start_date(2013,10, 8)
|
|
self.set_end_date(2013,10,10)
|
|
|
|
self.set_security_initializer(BrokerageModelSecurityInitializer(self.brokerage_model,
|
|
FuncSecuritySeeder(self.get_last_known_prices)))
|
|
self.add_equity("SPY", Resolution.MINUTE)
|
|
|
|
def on_data(self, data):
|
|
'''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
|
|
|
|
Arguments:
|
|
data: Slice object keyed by symbol containing the stock data
|
|
'''
|
|
if not self.portfolio.invested:
|
|
self.set_holdings("SPY", 1)
|
|
|
|
def on_securities_changed(self, changes):
|
|
for added_security in changes.added_securities:
|
|
if not added_security.has_data \
|
|
or added_security.ask_price == 0 \
|
|
or added_security.bid_price == 0 \
|
|
or added_security.bid_size == 0 \
|
|
or added_security.ask_size == 0 \
|
|
or added_security.price == 0 \
|
|
or added_security.volume == 0 \
|
|
or added_security.high == 0 \
|
|
or added_security.low == 0 \
|
|
or added_security.open == 0 \
|
|
or added_security.close == 0:
|
|
raise ValueError(f"Security {added_security.symbol} was not warmed up!")
|