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OptionChainApisConsistencyRegressionAlgorithm.py 2.49 KB
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# 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 datetime import datetime
from AlgorithmImports import *
### <summary>
### Regression algorithm asserting that the option chain APIs return consistent values.
### See QCAlgorithm.OptionChain(Symbol) and QCAlgorithm.OptionChainProvider
### </summary>
class OptionChainApisConsistencyRegressionAlgorithm(QCAlgorithm):
def initialize(self) -> None:
test_date = self.get_test_date()
self.set_start_date(test_date)
self.set_end_date(test_date)
option = self.get_option()
option_chain_from_algorithm_api = self.option_chain(option.symbol).contracts.keys()
exchange_time = Extensions.convert_from_utc(self.utc_time, option.exchange.time_zone)
option_chain_from_provider_api = list(sorted(self.option_chain_provider.get_option_contract_list(option.symbol, exchange_time)))
if len(option_chain_from_algorithm_api) == 0:
raise AssertionError("No options in chain from algorithm API")
if len(option_chain_from_provider_api) == 0:
raise AssertionError("No options in chain from provider API")
if len(option_chain_from_algorithm_api) != len(option_chain_from_provider_api):
raise AssertionError(f"Expected {len(option_chain_from_provider_api)} options in chain from provider API, "
f"but got {len(option_chain_from_algorithm_api)}")
for i in range(len(option_chain_from_algorithm_api)):
symbol1 = option_chain_from_algorithm_api[i]
symbol2 = option_chain_from_provider_api[i]
if symbol1 != symbol2:
raise AssertionError(f"Expected {symbol2} in chain from provider API, but got {symbol1}")
def get_test_date(self) -> datetime:
return datetime(2015, 12, 25)
def get_option(self) -> Option:
return self.add_option("GOOG")
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