AlexCatarino
d5c64dee54
Adds Lean Symbol object decoder. Given a string with ticker + security ID, returns some of the security properties (market, security type, etc) Closes #2909 Some users have the Symbol string object but don't know what the ID means. This python class can be used to translate the ID. Added unit test.
64 lines
3.0 KiB
Python
64 lines
3.0 KiB
Python
# 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.
|
|
|
|
import pytest
|
|
from datetime import datetime
|
|
from quantconnect.symbol import Symbol
|
|
|
|
# noinspection PyPep8
|
|
spot_price_securities_cases = (
|
|
( 'security_id', 'ticker', 'security_type', 'market', 'date_arg'),
|
|
[('SPY R735QTJ8XC9X', 'SPY', 'Equity', 'USA', [1998, 1, 2]),
|
|
('AAPL R735QTJ8XC9X', 'AAPL', 'Equity', 'USA', [1998, 1, 2]),
|
|
('EURUSD 5O', 'EURUSD', 'Forex', 'FXCM', None),
|
|
('USDJPY 8G', 'USDJPY', 'Forex', 'Oanda', None),
|
|
('WTICOUSD 8I', 'WTICOUSD', 'Cfd', 'Oanda', None),
|
|
('BTCUSD XJ', 'BTCUSD', 'Crypto', 'GDAX', None),
|
|
('ED XKDEAL18BYP5', 'ED', 'Future', 'USA', [2020, 12, 15]),
|
|
])
|
|
|
|
option_security_cases = (
|
|
( 'security_id', 'ticker', 'security_type', 'market', 'date_arg', 'underlying_id', 'option_right', 'option_style', 'strike_price'),
|
|
[('SPY 3033WWUF8MUH2|SPY R735QTJ8XC9X', 'SPY', 'Option', 'USA', [2015, 9, 18], 'SPY R735QTJ8XC9X', 'Put', 'European', 195.5)])
|
|
|
|
|
|
@pytest.mark.parametrize(*spot_price_securities_cases)
|
|
def test_spot_price_securities(security_id, ticker, security_type, market, date_arg):
|
|
symbol = Symbol(security_id)
|
|
assert symbol.ID == security_id
|
|
assert symbol.Symbol == ticker
|
|
assert symbol.SecurityType == security_type
|
|
assert symbol.Market == market
|
|
if symbol.SecurityType == 'Equity' or symbol.SecurityType == 'Future':
|
|
assert symbol.Date == datetime(*date_arg)
|
|
else:
|
|
assert symbol.Date == None
|
|
|
|
@pytest.mark.parametrize(*option_security_cases)
|
|
def test_option_securities(security_id, ticker, security_type, market, date_arg, underlying_id,
|
|
option_right, option_style, strike_price):
|
|
symbol = Symbol(security_id)
|
|
assert symbol.ID == security_id
|
|
assert symbol.Symbol == ticker
|
|
assert symbol.SecurityType == security_type
|
|
assert symbol.Market == market
|
|
assert symbol.Date == datetime(*date_arg)
|
|
assert symbol.Underlying == Symbol(underlying_id)
|
|
assert symbol.OptionRight == option_right
|
|
assert symbol.StrikePrice == strike_price
|
|
assert symbol.OptionStyle == option_style
|
|
|
|
|
|
def test_equal_symbols_are_equal():
|
|
assert Symbol('SPY R735QTJ8XC9X') == Symbol('SPY R735QTJ8XC9X')
|