Add unit tests for AddData for changes

2019-09-06 16:00:51 -07:00
parent 787c8bd149
commit 48e4d3660a
7 changed files with 925 additions and 2 deletions
@@ -0,0 +1,102 @@
+# 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.Core")
+AddReference("QuantConnect.Common")
+AddReference("QuantConnect.Algorithm")
+
+# Store the Exception type so that we can handle all python-related failures with the Exception base class
+Exception = Exception
+
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+from QuantConnect.Data import *
+from QuantConnect.Data.Custom.SEC import *
+from datetime import datetime
+
+### <summary>
+### Regression algorithm ensures that mapping is also applied to the underlying symbol(s) for custom data subscriptions
+### </summary>
+### <meta name="tag" content="using data" />
+### <meta name="tag" content="custom data" />
+### <meta name="tag" content="regression test" />
+### <meta name="tag" content="rename event" />
+### <meta name="tag" content="map" />
+### <meta name="tag" content="mapping" />
+### <meta name="tag" content="map files" />
+class CustomDataUnderlyingSymbolMappingRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2014, 3, 1)
+        self.SetEndDate(2014, 4, 9)
+        self.SetCash(100000)
+
+        self.initialSymbolChangedEvent = False
+
+        QuantConnect.SymbolCache.Clear()
+        self.AddUniverseSelection(CoarseFundamentalUniverseSelectionModel(self.CoarseSelector))
+
+    def CoarseSelector(self, coarse):
+        return [
+            QuantConnect.Symbol.Create("GOOG", SecurityType.Equity, Market.USA),
+            QuantConnect.Symbol.Create("GOOGL", SecurityType.Equity, Market.USA)
+        ]
+
+    def OnData(self, data):
+        if len(data.SymbolChangedEvents) != 0 and not self.initialSymbolChangedEvent:
+            self.initialSymbolChangedEvent = True
+            return
+
+        if len(data.SymbolChangedEvents) != 0:
+            if data.SymbolChangedEvents.ContainsKey(self.customDataSymbol) and data.SymbolChangedEvents.ContainsKey(self.equitySymbol):
+                expectedUnderlying = "GOOGL"
+                underlying = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Base and i == self.customDataSymbol][0].Underlying
+                symbol = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Equity and i == self.equitySymbol][0]
+
+                if len([i for i in self.SubscriptionManager.Subscriptions if (i.SecurityType == SecurityType.Base or i.SecurityType == SecurityType.Equity) and i.MappedSymbol == expectedUnderlying]) != 2:
+                    raise Exception(f"Subscription mapped symbols were not updated to {expectedUnderlying}")
+
+                if underlying is None:
+                    raise Exception("Custom data Symbol for GOOGL has no underlying")
+
+                if underlying != symbol:
+                    raise Exception(f"Underlying custom data Symbol does not match equity Symbol after rename event. Expected {symbol.Value} - got {underlying.Value}")
+
+                if underlying.Value != expectedUnderlying:
+                    raise Exception(f"Underlying equity symbol value from chained custom data does not match expected value. Expected {symbol.Underlying.Value}, found {underlying.Underlying.Value}")
+
+                self.SetHoldings(symbol, 0.5)
+
+            elif data.SymbolChangedEvents.ContainsKey(self.badCustomDataSymbol) and data.SymbolChangedEvents.ContainsKey(self.badEquitySymbol):
+                underlying = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Base and i == self.badCustomDataSymbol][0].Underlying
+                symbol = [i for i in data.SymbolChangedEvents.Keys if i.SecurityType == SecurityType.Equity and i == self.badEquitySymbol][0]
+
+                if underlying is None:
+                    raise Exception("Bad custom data symbol does not have underlying")
+
+                if underlying == symbol:
+                    raise Exception("Underlying custom data Symbol is equal to bad Symbol")
+
+            else:
+                raise Exception("Received unknown symbol changed event")
+
+    def OnSecuritiesChanged(self, changes):
+        for added in [i for i in changes.AddedSecurities if i.Symbol.SecurityType == SecurityType.Equity]:
+            # It is in fact "GOOGL" we're catching here, and we're adding it as "GOOG" with the ticker,
+            # which will resolve to GOOCV in the past if we use the ticker and not the symbol
+            if added.Symbol.ID.Symbol == "GOOG":
+                self.badEquitySymbol = added.Symbol
+                self.badCustomDataSymbol = self.AddData(SECReport10K, "GOOG").Symbol
+
+                self.equitySymbol = added.Symbol
+                self.customDataSymbol = self.AddData(SECReport10K, added.Symbol).Symbol