# 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 clr import AddReference

AddReference("System")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Indicators")

AddReference("QuantConnect.Common")

from System import *

from QuantConnect import *

from QuantConnect.Algorithm import *

from QuantConnect.Indicators import *

from datetime import datetime

### <summary>

### Options Open Interest data regression test.

### </summary>

### <meta name="tag" content="options" />

### <meta name="tag" content="regression test" />

class OptionOpenInterestRegressionAlgorithm(QCAlgorithm):

def Initialize(self):

self.SetCash(1000000)

self.SetStartDate(2014,06,05)

self.SetEndDate(2014,06,06)

equity = self.AddEquity("twx")

option = self.AddOption("twx")

Underlying = equity.Symbol

self.OptionSymbol = option.Symbol

# set our strike/expiry filter for this option chain

option.SetFilter(-10, 10, TimeSpan.Zero, TimeSpan.FromDays(365*2))

# use the underlying equity as the benchmark

self.SetBenchmark(Underlying)

equity.SetDataNormalizationMode(DataNormalizationMode.Raw)

''' Event - v3.0 DATA EVENT HANDLER: (Pattern) Basic template for user to override

for receiving all subscription data in a single event

<param name="slice">The current slice of data keyed by symbol string</param> '''

def OnData(self, slice):

if not self.Portfolio.Invested:

for chain in slice.OptionChains:

for contract in chain.Value:

if float(contract.Symbol.ID.StrikePrice) == 72.5 and \

contract.Symbol.ID.OptionRight == OptionRight.Call and \

contract.Symbol.ID.Date == datetime(2016, 01, 15):

if slice.Time.date() == datetime(2014, 06, 5).date() and contract.OpenInterest != 50:

raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 50")

if slice.Time.date() == datetime(2014, 06, 6).date() and contract.OpenInterest != 70:

raise ValueError("Regression test failed: current open interest was not correctly loaded and is not equal to 70")

if slice.Time.date() == datetime(2014, 06, 6).date():

self.MarketOrder(contract.Symbol, 1)

self.MarketOnCloseOrder(contract.Symbol, -1)

# Order fill event handler. On an order fill update the resulting information is passed to this method.

# </summary>

# <param name="orderEvent">Order event details containing details of the events</param>

def OnOrderEvent(self, orderEvent):

self.Log(str(orderEvent))