# 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 * ### ### This regression algorithm tests that we can use selectors in the indicators ### that need quote data ### class IndicatorSelectorWorksWithDifferentOptions(QCAlgorithm): def initialize(self): self.set_start_date(2013, 6, 7) self.set_end_date(2013, 11, 8) self.equity = self.add_equity("SPY", Resolution.MINUTE).symbol self.option = self.add_option("NWSA", Resolution.MINUTE).symbol self.aapl = self.add_equity("AAPL", Resolution.DAILY).symbol self.aapl_points = [] self.aapl_last_date = datetime(1,1,1) self.eurusd = self.add_forex("EURUSD", Resolution.DAILY).symbol self.eurusd_points = [] self.eurusd_last_date = datetime(1,1,1) future = self.add_future("GC", Resolution.DAILY, Market.COMEX) self.future = future.symbol self.future_contract = None self.future_points = [] future.set_filter(0, 120) self.option = Symbol.create_option("NWSA", Market.USA, OptionStyle.AMERICAN, OptionRight.PUT, 33, datetime(2013, 7, 20)) self.add_option_contract(self.option, Resolution.MINUTE) self.option_indicator = self.identity(self.option, Resolution.MINUTE, Field.VOLUME, "Volume.") self.bid_close_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_CLOSE, "Bid.Close.") self.bid_open_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_OPEN, "Bid.Open.") self.bid_low_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_LOW, "Bid.Low.") self.bid_high_indicator = self.identity(self.equity, Resolution.MINUTE, Field.BID_HIGH, "Bid.High.") self.ask_close_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_CLOSE, "Ask.Close.") self.ask_open_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_OPEN, "Ask.Open.") self.ask_low_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_LOW, "Ask.Low.") self.ask_high_indicator = self.identity(self.equity, Resolution.MINUTE, Field.ASK_HIGH, "Ask.High.") self.quotebars_found = False self.tradebars_found = False self.tradebar_history_indicator = self.identity(self.aapl, Resolution.DAILY) self.quotebar_history_indicator = self.identity(self.eurusd, Resolution.DAILY) def on_data(self, slice): if self.aapl_last_date != self.time.date: bars = slice.get(TradeBar) if self.aapl in bars.keys(): datapoint = bars[self.aapl] if datapoint and datapoint.volume != 0: self.aapl_last_date = self.time.date self.aapl_points.append(datapoint.volume) if self.eurusd_last_date != self.time.date and (self.eurusd in slice.quote_bars.keys()): self.eurusd_last_date = self.time.date self.eurusd_points.append(slice.quote_bars[self.eurusd].bid.close) if self.equity in slice.quote_bars.keys(): self.quotebars_found = True if slice.quote_bars["SPY"].bid.close != self.bid_close_indicator.current.value: close_value = slice.quote_bars["SPY"].bid.close raise AssertionError(f"{self.bid_close_indicator.__name__} should have been {close_value}, but was {self.bid_close_indicator.current.value}") if slice.quote_bars["SPY"].bid.open != self.bid_open_indicator.current.value: open_value = slice.quote_bars["SPY"].bid.open raise AssertionError(f"{self.bid_open_indicator.__name__} should have been {open_value}, but was {self.bid_open_indicator.current.value}") if slice.quote_bars["SPY"].bid.low != self.bid_low_indicator.current.value: low_value = slice.quote_bars["SPY"].bid.low raise AssertionError(f"{self.bid_low_indicator.__name__} should have been {low_value}, but was {self.bid_low_indicator.current.value}") if slice.quote_bars["SPY"].bid.high != self.bid_high_indicator.current.value: high_value = slice.quote_bars["SPY"].bid.high raise AssertionError(f"{self.bid_high_indicator.__name__} should have been {high_value}, but was {self.bid_high_indicator.current.value}") if slice.quote_bars["SPY"].ask.close != self.ask_close_indicator.current.value: close_value = slice.quote_bars["SPY"].ask.close raise AssertionError(f"{self.ask_close_indicator.__name__} should have been {close_value}, but was {self.ask_close_indicator.current.value}") if slice.quote_bars["SPY"].ask.open != self.ask_open_indicator.current.value: open_value = slice.quote_bars["SPY"].bid.open raise AssertionError(f"{self.ask_open_indicator.__name__} should have been {open_value}, but was {self.ask_open_indicator.current.value}") if slice.quote_bars["SPY"].ask.low != self.ask_low_indicator.current.value: low_value = slice.quote_bars["SPY"].bid.low raise AssertionError(f"{self.ask_low_indicator.__name__} should have been {low_value}, but was {self.ask_low_indicator.current.value}") if slice.quote_bars["SPY"].ask.high != self.ask_high_indicator.current.value: high_value = slice.quote_bars["SPY"].bid.high raise AssertionError(f"{self.ask_high_indicator.__name__} should have been {high_value}, but was {self.ask_high_indicator.current.value}") if (self.option.canonical in slice.option_chains.keys()) and (self.option in slice.option_chains[self.option.canonical].trade_bars.keys()): self.tradebars_found = True if self.option_indicator.current.value != slice.option_chains[self.option.canonical].trade_bars[self.option].volume: volume = slice.option_chains[self.option.canonical].trade_bars[self.option].volume raise AssertionError(f"{self.option_indicator.__name__} should have been {volume}, but was {self.option_indicator.current.value}") if (self.future in slice.futures_chains.keys()): if self.future_contract == None: self.future_contract = slice.future_chains[self.future].trade_bars.values()[0].symbol if self.future_contract in slice.future_chains[self.future].trade_bars: value = slice.future_chains[self.future].trade_bars[self.future_contract] if value.volume != 0: self.future_points.append(value.volume) def on_end_of_algorithm(self): if not self.quotebars_found: raise AssertionError("At least one quote bar should have been found, but none was found") if not self.tradebars_found: raise AssertionError("At least one trade bar should have been found, but none was found") future_indicator = Identity("") backtest_days = (self.end_date - self.start_date).days future_volume_history = self.indicator_history(future_indicator, self.future_contract, backtest_days, Resolution.DAILY, Field.VOLUME).current future_volume_history_values = list(map(lambda x: x.value, future_volume_history)) future_volume_history_values = list(filter(lambda x: x != 0, future_volume_history_values)) if abs(sum(future_volume_history_values)/len(future_volume_history_values) - sum(self.future_points)/len(self.future_points)) > 0.001: raise AssertionError(f"No history indicator future data point was found using Field.Volume selector! {self.future_points}") volume_history = self.indicator_history(self.tradebar_history_indicator, self.aapl, 109, Resolution.DAILY, Field.VOLUME).current volume_history_values = list(map(lambda x: x.value, volume_history)) if abs(sum(volume_history_values)/len(volume_history_values) - sum(self.aapl_points)/len(self.aapl_points)) > 0.001: raise AssertionError("No history indicator data point was found using Field.Volume selector!") bid_close_history = self.indicator_history(self.quotebar_history_indicator, self.eurusd, 132, Resolution.DAILY, Field.BID_CLOSE).current bid_close_history_values = list(map(lambda x: x.value, bid_close_history)) if abs(sum(bid_close_history_values)/len(bid_close_history_values) - sum(self.eurusd_points)/len(self.eurusd_points)) > 0.001: raise AssertionError("No history indicator data point was found using Field.BidClose selector!")