OptionDataNullReferenceRegressionAlgorithm.py

# 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.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from datetime import timedelta

### <summary>
### This algorithm is a regression test for issue #2018 and PR #2038.
### </summary>
class OptionDataNullReferenceRegressionAlgorithm(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2016, 12, 1)
        self.SetEndDate(2017, 1, 1)
        self.SetCash(500000)

        self.AddEquity("DUST")

        option = self.AddOption("DUST")

        option.SetFilter(self.UniverseFunc)

    def UniverseFunc(self, universe):
        return universe.IncludeWeeklys().Strikes(-1, +1).Expiration(timedelta(25), timedelta(100))