public void Setup()
{
var algo = new QCAlgorithm();
var settings = new UniverseSettings(Resolution.Second, 1, true, false, TimeSpan.Zero);
var timeKeeper = new TimeKeeper(new DateTime(2015, 12, 07));
var subscriptionManager = new SubscriptionManager(timeKeeper);
var securityInitializer = SecurityInitializer.Null;
_canonicalSecurity = algo.AddOption("SPY");
_optionsChainUniverse = new OptionChainUniverse(_canonicalSecurity, settings, subscriptionManager, securityInitializer);
}
public Option AddChineseOption(string underlying, Resolution resolution = Resolution.Minute, string market = null, bool fillDataForward = true, decimal leverage = 0m)
{
if (market == null)
{
if (!BrokerageModel.DefaultMarkets.TryGetValue(SecurityType.Option, out market))
{
throw new Exception("No default market set for security type: " + SecurityType.Option);
}
}
Symbol canonicalSymbol;
var alias = "?" + underlying;
if (!SymbolCache.TryGetSymbol(alias, out canonicalSymbol))
{
//canonicalSymbol = QuantConnect.Symbol.Create(underlying, SecurityType.Option, market, alias);
canonicalSymbol = QuantConnect.Symbol.CreateOption(underlying, market, OptionStyle.European, default(OptionRight), 0, SecurityIdentifier.DefaultDate, alias);
}
var marketHoursEntry = MarketHoursDatabase.FromDataFolder().GetEntry(market, underlying, SecurityType.Option);
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder().GetSymbolProperties(market, underlying, SecurityType.Option, CashBook.AccountCurrency);
var canonicalSecurity = (Option)SecurityManager.CreateSecurity(new List <Type>()
{
typeof(ZipEntryName)
}, Portfolio, SubscriptionManager,
marketHoursEntry.ExchangeHours, marketHoursEntry.DataTimeZone, symbolProperties, SecurityInitializer, canonicalSymbol, resolution,
fillDataForward, leverage, false, false, false, LiveMode, true, false);
canonicalSecurity.IsTradable = false;
Securities.Add(canonicalSecurity);
// add this security to the user defined universe
Universe universe;
if (!UniverseManager.TryGetValue(canonicalSymbol, out universe))
{
var settings = new UniverseSettings(resolution, leverage, true, false, TimeSpan.Zero);
universe = new OptionChainUniverse(canonicalSecurity, settings, SubscriptionManager, SecurityInitializer);
UniverseManager.Add(canonicalSymbol, universe);
}
return(canonicalSecurity);
}
public void RefreshesOptionChainUniverseOnDateChange()
{
var startTime = new DateTime(2018, 10, 19, 10, 0, 0);
var timeProvider = new ManualTimeProvider(startTime);
var canonicalSymbol = Symbol.Create("SPY", SecurityType.Option, Market.USA, "?SPY");
var quoteCurrency = new Cash(Currencies.USD, 0, 1);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, canonicalSymbol, SecurityType.Option);
var config = new SubscriptionDataConfig(
typeof(ZipEntryName),
canonicalSymbol,
Resolution.Minute,
TimeZones.Utc,
TimeZones.NewYork,
true,
false,
false,
false,
TickType.Quote,
false,
DataNormalizationMode.Raw
);
var option = new Option(
canonicalSymbol,
exchangeHours,
quoteCurrency,
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance
);
var fillForwardResolution = Ref.CreateReadOnly(() => Resolution.Minute.ToTimeSpan());
var symbolUniverse = new TestDataQueueUniverseProvider(timeProvider);
TradeBarBuilderEnumerator underlyingEnumerator = null;
Func <SubscriptionRequest, IEnumerator <BaseData>, IEnumerator <BaseData> > underlyingEnumeratorFunc =
(req, input) =>
{
underlyingEnumerator = (TradeBarBuilderEnumerator)input;
return(new LiveFillForwardEnumerator(
timeProvider,
input,
option.Exchange,
fillForwardResolution,
false,
Time.EndOfTime,
Resolution.Minute.ToTimeSpan(),
TimeZones.Utc));
};
var factory = new OptionChainUniverseSubscriptionEnumeratorFactory(underlyingEnumeratorFunc, symbolUniverse, timeProvider);
var universeSettings = new UniverseSettings(Resolution.Minute, 0, true, false, TimeSpan.Zero);
var universe = new OptionChainUniverse(option, universeSettings, true);
var request = new SubscriptionRequest(true, universe, option, config, startTime, Time.EndOfTime);
var enumerator = (DataQueueOptionChainUniverseDataCollectionEnumerator)factory.CreateEnumerator(request, new DefaultDataProvider());
// 2018-10-19 10:00 AM UTC
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
// no underlying data available yet
Assert.IsNull(enumerator.Current);
Assert.AreEqual(0, symbolUniverse.TotalLookupCalls);
// 2018-10-19 10:01 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
var data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-19 10:02 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-19 10:03 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-20 10:03 AM UTC
timeProvider.Advance(Time.OneDay);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(2, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(2, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-20 10:04 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(2, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(2, data.Data.Count);
Assert.IsNotNull(data.Underlying);
}