# 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 OptionModelsConsistencyRegressionAlgorithm import OptionModelsConsistencyRegressionAlgorithm### <summary>### Algorithm asserting that when setting custom models for canonical index options, a one-time warning is sent### informing the user that the contracts models are different (not the custom ones).### </summary>class IndexOptionModelsConsistencyRegressionAlgorithm(OptionModelsConsistencyRegressionAlgorithm):def initialize_algorithm(self) -> Security:self.set_start_date(2021, 1, 4)self.set_end_date(2021, 1, 5)index = self.add_index("SPX", Resolution.MINUTE)option = self.add_index_option(index.symbol, "SPX", Resolution.MINUTE)option.set_filter(lambda u: u.strikes(-5, +5).expiration(0, 360))return option
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