# 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 Licensefrom AlgorithmImports import *### <summary>### This regression algorithm tests using FutureOptions daily resolution### </summary>class FutureOptionDailyRegressionAlgorithm(QCAlgorithm):def initialize(self):self.set_start_date(2020, 1, 7)self.set_end_date(2020, 1, 8)resolution = Resolution.DAILY# Add our underlying future contractself.es = self.add_future_contract(Symbol.create_future(Futures.Indices.SP_500_E_MINI,Market.CME,datetime(2020, 3, 20)),resolution).symbol# Attempt to fetch a specific ITM future option contractes_options = [self.add_future_option_contract(x, resolution).symbolfor x in self.option_chain(self.es)if x.id.strike_price == 3200 and x.id.option_right == OptionRight.CALL]self.es_option = es_options[0]# Validate it is the expected contractexpected_contract = Symbol.create_option(self.es, Market.CME, OptionStyle.AMERICAN, OptionRight.CALL, 3200, datetime(2020, 3, 20))if self.es_option != expected_contract:raise AssertionError(f"Contract {self.es_option} was not the expected contract {expected_contract}")# Schedule a purchase of this contract tomorrow at 10AM when the market is openself.schedule.on(self.date_rules.tomorrow, self.time_rules.at(10,0,0), self.schedule_callback_buy)# Schedule liquidation at 2pm tomorrow when the market is openself.schedule.on(self.date_rules.tomorrow, self.time_rules.at(14,0,0), self.schedule_callback_liquidate)def schedule_callback_buy(self):self.market_order(self.es_option, 1)def on_data(self, slice):# Assert we are only getting data at 4PM NY, for ES future market closes at 16pm NYif slice.time.hour != 17:raise AssertionError(f"Expected data at 5PM each day; instead was {slice.time}")def schedule_callback_liquidate(self):self.liquidate()def on_end_of_algorithm(self):if self.portfolio.invested:raise AssertionError(f"Expected no holdings at end of algorithm, but are invested in: {', '.join([str(i.id) for i in self.portfolio.keys()])}")
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