Stefano Raggi
846 lines
36 KiB
C#
846 lines
36 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.IO;
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using System.Linq;
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using System.Threading;
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using System.Web;
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using NUnit.Framework;
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using QuantConnect.Api;
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using QuantConnect.API;
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using QuantConnect.Brokerages;
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using QuantConnect.Configuration;
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namespace QuantConnect.Tests.API
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{
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[TestFixture, Ignore("These tests require configured and active accounts to Tradier, FXCM and Oanda")]
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class RestApiTests
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{
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private int _testAccount = 1;
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private string _testToken = "ec87b337ac970da4cbea648f24f1c851";
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private string _dataFolder = Config.Get("data-folder");
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private Api.Api _api;
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private const bool stopLiveAlgos = true;
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/// <summary>
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/// Run before every test
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/// </summary>
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[SetUp]
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public void Setup()
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{
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_api = new Api.Api();
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_api.Initialize(_testAccount, _testToken, _dataFolder);
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}
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/// <summary>
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/// Test creating and deleting projects with the Api
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/// </summary>
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[Test]
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public void Projects_CanBeCreatedAndDeleted_Successfully()
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{
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var name = "Test Project " + DateTime.Now;
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//Test create a new project successfully
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var project = _api.CreateProject(name, Language.CSharp);
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Assert.IsTrue(project.Success);
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Assert.IsTrue(project.Projects.First().ProjectId > 0);
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Assert.IsTrue(project.Projects.First().Name == name);
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// Delete the project
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var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
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Assert.IsTrue(deleteProject.Success);
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// Make sure the project is really deleted
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var projectList = _api.ListProjects();
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Assert.IsFalse(projectList.Projects.Any(p => p.ProjectId == project.Projects.First().ProjectId));
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}
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/// <summary>
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/// Test successfully authenticating with the ApiConnection using valid credentials.
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/// </summary>
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[Test]
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public void ApiConnectionWillAuthenticate_ValidCredentials_Successfully()
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{
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var connection = new ApiConnection(_testAccount, _testToken);
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Assert.IsTrue(connection.Connected);
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}
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/// <summary>
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/// Test successfully authenticating with the API using valid credentials.
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/// </summary>
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[Test]
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public void ApiWillAuthenticate_ValidCredentials_Successfully()
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{
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var api = new Api.Api();
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api.Initialize(_testAccount, _testToken, _dataFolder);
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Assert.IsTrue(api.Connected);
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}
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/// <summary>
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/// Test that the ApiConnection will reject invalid credentials
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/// </summary>
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[Test]
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public void ApiConnectionWillAuthenticate_InvalidCredentials_Unsuccessfully()
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{
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var connection = new ApiConnection(_testAccount, "");
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Assert.IsFalse(connection.Connected);
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}
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/// <summary>
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/// Test that the Api will reject invalid credentials
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/// </summary>
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[Test]
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public void ApiWillAuthenticate_InvalidCredentials_Unsuccessfully()
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{
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var api = new Api.Api();
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api.Initialize(_testAccount, "", _dataFolder);
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Assert.IsFalse(api.Connected);
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}
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/// <summary>
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/// Test updating the files associated with a project
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/// </summary>
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[Test]
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public void CRUD_ProjectFiles_Successfully()
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{
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var fakeFile = new ProjectFile
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{
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Name = "Hello.cs",
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Code = HttpUtility.HtmlEncode("Hello, world!")
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};
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var realFile = new ProjectFile
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{
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Name = "main.cs",
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Code = HttpUtility.HtmlEncode(File.ReadAllText("../../../Algorithm.CSharp/BasicTemplateAlgorithm.cs"))
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};
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var secondRealFile = new ProjectFile()
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{
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Name = "lol.cs",
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Code = HttpUtility.HtmlEncode(File.ReadAllText("../../../Algorithm.CSharp/BubbleAlgorithm.cs"))
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};
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// Create a new project and make sure there are no files
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var project = _api.CreateProject("Test project - " + DateTime.Now, Language.CSharp);
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Assert.IsTrue(project.Success);
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Assert.IsTrue(project.Projects.First().ProjectId > 0);
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// Add random file
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var randomAdd = _api.AddProjectFile(project.Projects.First().ProjectId, fakeFile.Name, fakeFile.Code);
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Assert.IsTrue(randomAdd.Success);
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Assert.IsTrue(randomAdd.Files.First().Code == fakeFile.Code);
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Assert.IsTrue(randomAdd.Files.First().Name == fakeFile.Name);
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// Update names of file
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var updatedName = _api.UpdateProjectFileName(project.Projects.First().ProjectId, randomAdd.Files.First().Name, realFile.Name);
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Assert.IsTrue(updatedName.Success);
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// Replace content of file
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var updateContents = _api.UpdateProjectFileContent(project.Projects.First().ProjectId, realFile.Name, realFile.Code);
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Assert.IsTrue(updateContents.Success);
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// Read single file
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var readFile = _api.ReadProjectFile(project.Projects.First().ProjectId, realFile.Name);
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Assert.IsTrue(readFile.Success);
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Assert.IsTrue(readFile.Files.First().Code == realFile.Code);
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Assert.IsTrue(readFile.Files.First().Name == realFile.Name);
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// Add a second file
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var secondFile = _api.AddProjectFile(project.Projects.First().ProjectId, secondRealFile.Name, secondRealFile.Code);
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Assert.IsTrue(secondFile.Success);
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Assert.IsTrue(secondFile.Files.First().Code == secondRealFile.Code);
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Assert.IsTrue(secondFile.Files.First().Name == secondRealFile.Name);
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// Read multiple files
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var readFiles = _api.ReadProjectFiles(project.Projects.First().ProjectId);
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Assert.IsTrue(readFiles.Success);
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Assert.IsTrue(readFiles.Files.Count == 2);
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// Delete the second file
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var deleteFile = _api.DeleteProjectFile(project.Projects.First().ProjectId, secondRealFile.Name);
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Assert.IsTrue(deleteFile.Success);
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// Read files
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var readFilesAgain = _api.ReadProjectFiles(project.Projects.First().ProjectId);
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Assert.IsTrue(readFilesAgain.Success);
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Assert.IsTrue(readFilesAgain.Files.Count == 1);
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Assert.IsTrue(readFilesAgain.Files.First().Name == realFile.Name);
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// Delete the project
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var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
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Assert.IsTrue(deleteProject.Success);
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}
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/// <summary>
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/// Test creating the settings object that provide the necessary parameters for each broker
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/// </summary>
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[Test]
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public void LiveAlgorithmSettings_CanBeCreated_Successfully()
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{
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string user = "";
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string password = "";
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BrokerageEnvironment environment = BrokerageEnvironment.Paper;
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string account = "";
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// Oanda Custom Variables
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string accessToken = "";
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var dateIssuedString = "20160920";
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// Tradier Custom Variables
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string dateIssued = "";
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string refreshToken = "";
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string lifetime = "";
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// Create and test settings for each brokerage
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foreach (BrokerageName brokerageName in Enum.GetValues(typeof(BrokerageName)))
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{
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BaseLiveAlgorithmSettings settings = null;
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switch (brokerageName)
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{
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case BrokerageName.Default:
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user = Config.Get("default-username");
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password = Config.Get("default-password");
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settings = new DefaultLiveAlgorithmSettings(user, password, environment, account);
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Assert.IsTrue(settings.Id == BrokerageName.Default.ToString());
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break;
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case BrokerageName.FxcmBrokerage:
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user = Config.Get("fxcm-user-name");
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password = Config.Get("fxcm-password");
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settings = new FXCMLiveAlgorithmSettings(user, password, environment, account);
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Assert.IsTrue(settings.Id == BrokerageName.FxcmBrokerage.ToString());
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break;
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case BrokerageName.InteractiveBrokersBrokerage:
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user = Config.Get("ib-user-name");
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password = Config.Get("ib-password");
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account = Config.Get("ib-account");
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settings = new InteractiveBrokersLiveAlgorithmSettings(user, password, account);
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Assert.IsTrue(settings.Id == BrokerageName.InteractiveBrokersBrokerage.ToString());
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break;
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case BrokerageName.OandaBrokerage:
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accessToken = Config.Get("oanda-access-token");
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account = Config.Get("oanda-account-id");
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settings = new OandaLiveAlgorithmSettings(accessToken, environment, account);
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Assert.IsTrue(settings.Id == BrokerageName.OandaBrokerage.ToString());
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break;
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case BrokerageName.TradierBrokerage:
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dateIssued = Config.Get("tradier-issued-at");
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refreshToken = Config.Get("tradier-refresh-token");
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account = Config.Get("tradier-account-id");
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settings = new TradierLiveAlgorithmSettings(refreshToken, dateIssued, refreshToken, account);
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break;
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default:
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throw new Exception("Settings have not been implemented for this brokerage: " + brokerageName.ToString());
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}
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// Tests common to all brokerage configuration classes
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Assert.IsTrue(settings != null);
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Assert.IsTrue(settings.Password == password);
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Assert.IsTrue(settings.User == user);
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// tradier brokerage is always live, the rest are variable
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if (brokerageName != BrokerageName.TradierBrokerage)
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Assert.IsTrue(settings.Environment == environment);
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// Oanda specific settings
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if (brokerageName == BrokerageName.OandaBrokerage)
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{
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var oandaSetting = settings as OandaLiveAlgorithmSettings;
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Assert.IsTrue(oandaSetting.AccessToken == accessToken);
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}
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// Tradier specific settings
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if (brokerageName == BrokerageName.TradierBrokerage)
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{
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var tradierLiveAlogrithmSettings = settings as TradierLiveAlgorithmSettings;
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Assert.IsTrue(tradierLiveAlogrithmSettings.DateIssued == dateIssued);
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Assert.IsTrue(tradierLiveAlogrithmSettings.RefreshToken == refreshToken);
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Assert.IsTrue(settings.Environment == BrokerageEnvironment.Live);
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}
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// reset variables
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user = "";
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password = "";
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environment = BrokerageEnvironment.Paper;
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account = "";
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}
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}
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/// <summary>
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/// Reading live algorithm tests
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/// - Get a list of live algorithms
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/// - Get logs for the first algorithm returned
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/// Will there always be a live algorithm for the test user?
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/// </summary>
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[Test]
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public void LiveAlgorithmsAndLiveLogs_CanBeRead_Successfully()
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{
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// Read all currently running algorithms
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var liveAlgorithms = _api.ListLiveAlgorithms(AlgorithmStatus.Running);
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Assert.IsTrue(liveAlgorithms.Success);
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// There has to be at least one running algorithm
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Assert.IsTrue(liveAlgorithms.Algorithms.Any());
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// Read the logs of the first live algorithm
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var firstLiveAlgo = liveAlgorithms.Algorithms[0];
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var liveLogs = _api.ReadLiveLogs(firstLiveAlgo.ProjectId, firstLiveAlgo.DeployId);
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Assert.IsTrue(liveLogs.Success);
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Assert.IsTrue(liveLogs.Logs.Any());
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}
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/// <summary>
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/// Paper trading FXCM
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/// </summary>
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[Test]
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public void LiveForexAlgorithms_CanBeUsedWithFXCM_Successfully()
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{
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var user = Config.Get("fxcm-user-name");
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var password = Config.Get("fxcm-password");
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var account = Config.Get("fxcm-account-id");
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var file = new ProjectFile
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{
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Name = "main.cs",
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Code = File.ReadAllText("../../../Algorithm.CSharp/BasicTemplateForexAlgorithm.cs")
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};
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// Create a new project
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var project = _api.CreateProject("Test project - " + DateTime.Now, Language.CSharp);
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Assert.IsTrue(project.Success);
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// Add Project Files
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var addProjectFile = _api.AddProjectFile(project.Projects.First().ProjectId, file.Name, file.Code);
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Assert.IsTrue(addProjectFile.Success);
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// Create compile
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var compile = _api.CreateCompile(project.Projects.First().ProjectId);
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Assert.IsTrue(compile.Success);
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// Create default algorithm settings
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var settings = new FXCMLiveAlgorithmSettings(user,
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password,
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BrokerageEnvironment.Paper,
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account);
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// Wait for project to compile
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Thread.Sleep(10000);
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// Create live default algorithm
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var createLiveAlgorithm = _api.CreateLiveAlgorithm(project.Projects.First().ProjectId, compile.CompileId, "server512", settings);
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Assert.IsTrue(createLiveAlgorithm.Success);
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if (stopLiveAlgos)
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{
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// Liquidate live algorithm
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var liquidateLive = _api.LiquidateLiveAlgorithm(project.Projects.First().ProjectId);
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Assert.IsTrue(liquidateLive.Success);
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// Stop live algorithm
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var stopLive = _api.StopLiveAlgorithm(project.Projects.First().ProjectId);
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Assert.IsTrue(stopLive.Success);
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// Delete the project
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var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
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Assert.IsTrue(deleteProject.Success);
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}
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}
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/// <summary>
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/// Live paper trading via IB.
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/// </summary>
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[Test]
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public void LiveEquityAlgorithms_CanBeUsedWithInteractiveBrokers_Successfully()
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{
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var user = Config.Get("ib-user-name");
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var password = Config.Get("ib-password");
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var account = Config.Get("ib-account");
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var file = new ProjectFile
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{
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Name = "main.cs",
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Code = File.ReadAllText("../../../Algorithm.CSharp/BasicTemplateAlgorithm.cs")
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};
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// Create a new project
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var project = _api.CreateProject("Test project - " + DateTime.Now, Language.CSharp);
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// Add Project Files
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var addProjectFile = _api.AddProjectFile(project.Projects.First().ProjectId, file.Name, file.Code);
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Assert.IsTrue(addProjectFile.Success);
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// Create compile
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var compile = _api.CreateCompile(project.Projects.First().ProjectId);
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Assert.IsTrue(compile.Success);
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// Create default algorithm settings
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var settings = new InteractiveBrokersLiveAlgorithmSettings(user,
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password,
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account);
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// Wait for project to compile
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Thread.Sleep(10000);
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// Create live default algorithm
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var createLiveAlgorithm = _api.CreateLiveAlgorithm(project.Projects.First().ProjectId, compile.CompileId, "server512", settings);
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Assert.IsTrue(createLiveAlgorithm.Success);
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if (stopLiveAlgos)
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{
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// Liquidate live algorithm
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var liquidateLive = _api.LiquidateLiveAlgorithm(project.Projects.First().ProjectId);
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Assert.IsTrue(liquidateLive.Success);
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// Stop live algorithm
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var stopLive = _api.StopLiveAlgorithm(project.Projects.First().ProjectId);
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Assert.IsTrue(stopLive.Success);
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// Delete the project
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var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
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Assert.IsTrue(deleteProject.Success);
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}
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}
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/// <summary>
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/// Live paper trading via Oanda
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/// </summary>
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[Test]
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public void LiveForexAlgorithms_CanBeUsedWithOanda_Successfully()
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{
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var token = Config.Get("oanda-access-token");
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var account = Config.Get("oanda-account-id");
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var file = new ProjectFile
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{
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Name = "main.cs",
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Code = File.ReadAllText("../../../Algorithm.CSharp/BasicTemplateForexAlgorithm.cs")
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};
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// Create a new project
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var project = _api.CreateProject("Test project - " + DateTime.Now, Language.CSharp);
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// Add Project Files
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var addProjectFile = _api.AddProjectFile(project.Projects.First().ProjectId, file.Name, file.Code);
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Assert.IsTrue(addProjectFile.Success);
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// Create compile
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var compile = _api.CreateCompile(project.Projects.First().ProjectId);
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Assert.IsTrue(compile.Success);
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// Create default algorithm settings
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var settings = new OandaLiveAlgorithmSettings(token,
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BrokerageEnvironment.Paper,
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account);
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// Wait for project to compile
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Thread.Sleep(10000);
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// Create live default algorithm
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var createLiveAlgorithm = _api.CreateLiveAlgorithm(project.Projects.First().ProjectId, compile.CompileId, "server512", settings);
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Assert.IsTrue(createLiveAlgorithm.Success);
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if (stopLiveAlgos)
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{
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// Liquidate live algorithm
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var liquidateLive = _api.LiquidateLiveAlgorithm(project.Projects.First().ProjectId);
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Assert.IsTrue(liquidateLive.Success);
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// Stop live algorithm
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var stopLive = _api.StopLiveAlgorithm(project.Projects.First().ProjectId);
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Assert.IsTrue(stopLive.Success);
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// Delete the project
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var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
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Assert.IsTrue(deleteProject.Success);
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}
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}
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/// <summary>
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/// Live paper trading via Tradier
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/// </summary>
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[Test]
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public void LiveEquityAlgorithms_CanBeUsedWithTradier_Successfully()
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{
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var refreshToken = Config.Get("tradier-refresh-token");
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var account = Config.Get("tradier-account-id");
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var accessToken = Config.Get("tradier-access-token");
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var dateIssued = Config.Get("tradier-issued-at");
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var file = new ProjectFile
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{
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Name = "main.cs",
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Code = File.ReadAllText("../../../Algorithm.CSharp/BasicTemplateAlgorithm.cs")
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};
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// Create a new project
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var project = _api.CreateProject("Test project - " + DateTime.Now, Language.CSharp);
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// Add Project Files
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var addProjectFile = _api.AddProjectFile(project.Projects.First().ProjectId, file.Name, file.Code);
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Assert.IsTrue(addProjectFile.Success);
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var readProject = _api.ReadProject(project.Projects.First().ProjectId);
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Assert.IsTrue(readProject.Success);
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// Create compile
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var compile = _api.CreateCompile(project.Projects.First().ProjectId);
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Assert.IsTrue(compile.Success);
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// Create default algorithm settings
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var settings = new TradierLiveAlgorithmSettings(accessToken,
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dateIssued,
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refreshToken,
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account);
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// Wait for project to compile
|
|
Thread.Sleep(10000);
|
|
|
|
// Create live default algorithm
|
|
var createLiveAlgorithm = _api.CreateLiveAlgorithm(project.Projects.First().ProjectId, compile.CompileId, "server512", settings);
|
|
Assert.IsTrue(createLiveAlgorithm.Success);
|
|
|
|
if (stopLiveAlgos)
|
|
{
|
|
// Liquidate live algorithm
|
|
var liquidateLive = _api.LiquidateLiveAlgorithm(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(liquidateLive.Success);
|
|
|
|
// Stop live algorithm
|
|
var stopLive = _api.StopLiveAlgorithm(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(stopLive.Success);
|
|
|
|
// Delete the project
|
|
var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(deleteProject.Success);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test getting links to forex data for FXCM
|
|
/// </summary>
|
|
[Test]
|
|
public void FXCMDataLinks_CanBeRetrieved_Successfully()
|
|
{
|
|
var minuteDataLink = _api.ReadDataLink(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.FXCM), "EURUSD"),
|
|
Resolution.Minute, new DateTime(2013, 10, 07));
|
|
var dailyDataLink = _api.ReadDataLink(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.FXCM), "EURUSD"),
|
|
Resolution.Daily, new DateTime(2013, 10, 07));
|
|
|
|
Assert.IsTrue(minuteDataLink.Success);
|
|
Assert.IsTrue(dailyDataLink.Success);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test getting links to forex data for Oanda
|
|
/// </summary>
|
|
[Test]
|
|
public void OandaDataLinks_CanBeRetrieved_Successfully()
|
|
{
|
|
var minuteDataLink = _api.ReadDataLink(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.Oanda), "EURUSD"),
|
|
Resolution.Minute, new DateTime(2013, 10, 07));
|
|
var dailyDataLink = _api.ReadDataLink(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.Oanda), "EURUSD"),
|
|
Resolution.Daily, new DateTime(2013, 10, 07));
|
|
|
|
Assert.IsTrue(minuteDataLink.Success);
|
|
Assert.IsTrue(dailyDataLink.Success);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test downloading data that does not come with the repo (Oanda)
|
|
/// </summary>
|
|
[Test]
|
|
public void BacktestingData_CanBeDownloadedAndSaved_Successfully()
|
|
{
|
|
var minutePath = Path.Combine(_dataFolder, "forex/oanda/minute/eurusd/20131011_quote.zip");
|
|
var dailyPath = Path.Combine(_dataFolder, "forex/oanda/daily/eurusd.zip");
|
|
|
|
if (File.Exists(dailyPath))
|
|
File.Delete(dailyPath);
|
|
|
|
if (File.Exists(minutePath))
|
|
File.Delete(minutePath);
|
|
|
|
var downloadedMinuteData = _api.DownloadData(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.Oanda), "EURUSD"),
|
|
Resolution.Minute, new DateTime(2013, 10, 11));
|
|
var downloadedDailyData = _api.DownloadData(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.Oanda), "EURUSD"),
|
|
Resolution.Daily, new DateTime(2013, 10, 07));
|
|
|
|
Assert.IsTrue(downloadedMinuteData);
|
|
Assert.IsTrue(downloadedDailyData);
|
|
|
|
Assert.IsTrue(File.Exists(dailyPath));
|
|
Assert.IsTrue(File.Exists(minutePath));
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test read price API for given symbol
|
|
/// </summary>
|
|
[Test]
|
|
public void ReadPriceWorksCorrectlyFor1Symbol()
|
|
{
|
|
var spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
var pricesList = _api.ReadPrices(new [] { spy });
|
|
|
|
Assert.IsTrue(pricesList.Success);
|
|
Assert.AreEqual(pricesList.Prices.Count, 1);
|
|
|
|
var price = pricesList.Prices.First();
|
|
Assert.AreEqual(price.Symbol, spy);
|
|
Assert.AreNotEqual(price.Price, 0);
|
|
var updated = price.Updated;
|
|
var reference = DateTime.UtcNow.Subtract(TimeSpan.FromDays(3));
|
|
Assert.IsTrue(updated > reference);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test read price API for multiple symbols
|
|
/// </summary>
|
|
[Test]
|
|
public void ReadPriceWorksCorrectlyForMultipleSymbols()
|
|
{
|
|
var spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
var aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
|
|
var pricesList = _api.ReadPrices(new[] { spy, aapl });
|
|
|
|
Assert.IsTrue(pricesList.Success);
|
|
Assert.AreEqual(pricesList.Prices.Count, 2);
|
|
|
|
Assert.IsTrue(pricesList.Prices.All(x => x.Price != 0));
|
|
Assert.AreEqual(pricesList.Prices.Count(x => x.Symbol == aapl), 1);
|
|
Assert.AreEqual(pricesList.Prices.Count(x => x.Symbol == spy), 1);
|
|
|
|
var reference = DateTime.UtcNow.Subtract(TimeSpan.FromDays(3));
|
|
Assert.IsTrue(pricesList.Prices.All(x => x.Updated > reference));
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test downloading non existent data
|
|
/// </summary>
|
|
[Test]
|
|
public void NonExistantData_WillBeDownloaded_Unsuccessfully()
|
|
{
|
|
var nonExistentData = _api.DownloadData(new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.Oanda), "EURUSD"),
|
|
Resolution.Minute, new DateTime(1989, 10, 11));
|
|
|
|
Assert.IsFalse(nonExistentData);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test creating, compiling and backtesting a C# project via the Api
|
|
/// </summary>
|
|
[Test]
|
|
public void CSharpProject_CreatedCompiledAndBacktested_Successully()
|
|
{
|
|
var language = Language.CSharp;
|
|
var code = File.ReadAllText("../../../Algorithm.CSharp/BasicTemplateAlgorithm.cs");
|
|
var algorithmName = "main.cs";
|
|
var projectName = DateTime.UtcNow.ToString("u") + " Test " + _testAccount + " Lang " + language;
|
|
|
|
Perform_CreateCompileBactest_Tests(projectName, language, algorithmName, code);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test creating, compiling and backtesting a F# project via the Api
|
|
/// </summary>
|
|
[Test]
|
|
public void FSharpProject_CreatedCompiledAndBacktested_Successully()
|
|
{
|
|
var language = Language.FSharp;
|
|
var code = File.ReadAllText("../../../Algorithm.FSharp/BasicTemplateAlgorithm.fs");
|
|
var algorithmName = "main.fs";
|
|
var projectName = DateTime.UtcNow.ToString("u") + " Test " + _testAccount + " Lang " + language;
|
|
|
|
Perform_CreateCompileBactest_Tests(projectName, language, algorithmName, code);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Test creating, compiling and bactesting a Python project via the Api
|
|
/// </summary>
|
|
[Test]
|
|
public void PythonProject_CreatedCompiledAndBacktested_Successully()
|
|
{
|
|
var language = Language.Python;
|
|
var code = File.ReadAllText("../../../Algorithm.Python/BasicTemplateAlgorithm.py");
|
|
var algorithmName = "main.py";
|
|
|
|
var projectName = DateTime.UtcNow.ToString("u") + " Test " + _testAccount + " Lang " + language;
|
|
|
|
Perform_CreateCompileBactest_Tests(projectName, language, algorithmName, code);
|
|
}
|
|
|
|
[Test]
|
|
public void GetsSplits()
|
|
{
|
|
var date = new DateTime(2014, 06, 09);
|
|
var AAPL = new Symbol(SecurityIdentifier.Parse("AAPL R735QTJ8XC9X"), "AAPL");
|
|
var splits = _api.GetSplits(date, date);
|
|
var aapl = splits.Single(s => s.Symbol == AAPL);
|
|
Assert.AreEqual((1 / 7m).RoundToSignificantDigits(6), aapl.SplitFactor);
|
|
Assert.AreEqual(date, aapl.Time);
|
|
Assert.AreEqual(SplitType.SplitOccurred, aapl.Type);
|
|
Assert.AreEqual(645.57m, aapl.ReferencePrice);
|
|
}
|
|
|
|
[Test]
|
|
public void GetDividends()
|
|
{
|
|
var date = new DateTime(2018, 05, 11);
|
|
var AAPL = new Symbol(SecurityIdentifier.Parse("AAPL R735QTJ8XC9X"), "AAPL");
|
|
var dividends = _api.GetDividends(date, date);
|
|
var aapl = dividends.Single(s => s.Symbol == AAPL);
|
|
Assert.AreEqual(0.73m, aapl.Distribution);
|
|
Assert.AreEqual(date, aapl.Time);
|
|
Assert.AreEqual(190.03m, aapl.ReferencePrice);
|
|
}
|
|
|
|
private void Perform_CreateCompileBactest_Tests(string projectName, Language language, string algorithmName, string code)
|
|
{
|
|
//Test create a new project successfully
|
|
var project = _api.CreateProject(projectName, language);
|
|
Assert.IsTrue(project.Success);
|
|
Assert.IsTrue(project.Projects.First().ProjectId > 0);
|
|
Assert.IsTrue(project.Projects.First().Name == projectName);
|
|
|
|
// Make sure the project just created is now present
|
|
var projects = _api.ListProjects();
|
|
Assert.IsTrue(projects.Success);
|
|
Assert.IsTrue(projects.Projects.Any(p => p.ProjectId == project.Projects.First().ProjectId));
|
|
|
|
// Test read back the project we just created
|
|
var readProject = _api.ReadProject(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(readProject.Success);
|
|
Assert.IsTrue(readProject.Projects.First().Name == projectName);
|
|
|
|
// Test set a project file for the project
|
|
var file = new ProjectFile { Name = algorithmName, Code = code };
|
|
var addProjectFile = _api.AddProjectFile(project.Projects.First().ProjectId, file.Name, file.Code);
|
|
Assert.IsTrue(addProjectFile.Success);
|
|
|
|
// Download the project again to validate its got the new file
|
|
var verifyRead = _api.ReadProject(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(verifyRead.Success);
|
|
|
|
// Compile the project we've created
|
|
var compileCreate = _api.CreateCompile(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(compileCreate.Success);
|
|
Assert.IsTrue(compileCreate.State == CompileState.InQueue);
|
|
|
|
// Read out the compile
|
|
var compileSuccess = WaitForCompilerResponse(project.Projects.First().ProjectId, compileCreate.CompileId);
|
|
Assert.IsTrue(compileSuccess.Success);
|
|
Assert.IsTrue(compileSuccess.State == CompileState.BuildSuccess);
|
|
|
|
// Update the file, create a build error, test we get build error
|
|
file.Code += "[Jibberish at end of the file to cause a build error]";
|
|
_api.UpdateProjectFileContent(project.Projects.First().ProjectId, file.Name, file.Code);
|
|
var compileError = _api.CreateCompile(project.Projects.First().ProjectId);
|
|
compileError = WaitForCompilerResponse(project.Projects.First().ProjectId, compileError.CompileId);
|
|
Assert.IsTrue(compileError.Success); // Successfully processed rest request.
|
|
Assert.IsTrue(compileError.State == CompileState.BuildError); //Resulting in build fail.
|
|
|
|
// Using our successful compile; launch a backtest!
|
|
var backtestName = DateTime.Now.ToString("u") + " API Backtest";
|
|
var backtest = _api.CreateBacktest(project.Projects.First().ProjectId, compileSuccess.CompileId, backtestName);
|
|
Assert.IsTrue(backtest.Success);
|
|
|
|
// Now read the backtest and wait for it to complete
|
|
var backtestRead = WaitForBacktestCompletion(project.Projects.First().ProjectId, backtest.BacktestId);
|
|
Assert.IsTrue(backtestRead.Success);
|
|
Assert.IsTrue(backtestRead.Progress == 1);
|
|
Assert.IsTrue(backtestRead.Name == backtestName);
|
|
Assert.IsTrue(backtestRead.Result.Statistics["Total Trades"] == "1");
|
|
|
|
// Verify we have the backtest in our project
|
|
var listBacktests = _api.ListBacktests(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(listBacktests.Success);
|
|
Assert.IsTrue(listBacktests.Backtests.Count >= 1);
|
|
Assert.IsTrue(listBacktests.Backtests[0].Name == backtestName);
|
|
|
|
// Update the backtest name and test its been updated
|
|
backtestName += "-Amendment";
|
|
var renameBacktest = _api.UpdateBacktest(project.Projects.First().ProjectId, backtest.BacktestId, backtestName);
|
|
Assert.IsTrue(renameBacktest.Success);
|
|
backtestRead = _api.ReadBacktest(project.Projects.First().ProjectId, backtest.BacktestId);
|
|
Assert.IsTrue(backtestRead.Name == backtestName);
|
|
|
|
//Update the note and make sure its been updated:
|
|
var newNote = DateTime.Now.ToString("u");
|
|
var noteBacktest = _api.UpdateBacktest(project.Projects.First().ProjectId, backtest.BacktestId, note: newNote);
|
|
Assert.IsTrue(noteBacktest.Success);
|
|
backtestRead = _api.ReadBacktest(project.Projects.First().ProjectId, backtest.BacktestId);
|
|
Assert.IsTrue(backtestRead.Note == newNote);
|
|
|
|
// Delete the backtest we just created
|
|
var deleteBacktest = _api.DeleteBacktest(project.Projects.First().ProjectId, backtest.BacktestId);
|
|
Assert.IsTrue(deleteBacktest.Success);
|
|
|
|
// Test delete the project we just created
|
|
var deleteProject = _api.DeleteProject(project.Projects.First().ProjectId);
|
|
Assert.IsTrue(deleteProject.Success);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Wait for the compiler to respond to a specified compile request
|
|
/// </summary>
|
|
/// <param name="projectId">Id of the project</param>
|
|
/// <param name="compileId">Id of the compilation of the project</param>
|
|
/// <returns></returns>
|
|
private Compile WaitForCompilerResponse(int projectId, string compileId)
|
|
{
|
|
var compile = new Compile();
|
|
var finish = DateTime.Now.AddSeconds(60);
|
|
while (DateTime.Now < finish)
|
|
{
|
|
compile = _api.ReadCompile(projectId, compileId);
|
|
if (compile.State == CompileState.BuildSuccess) break;
|
|
Thread.Sleep(1000);
|
|
}
|
|
return compile;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Wait for the backtest to complete
|
|
/// </summary>
|
|
/// <param name="projectId">Project id to scan</param>
|
|
/// <param name="backtestId">Backtest id previously started</param>
|
|
/// <returns>Completed backtest object</returns>
|
|
private Backtest WaitForBacktestCompletion(int projectId, string backtestId)
|
|
{
|
|
var result = new Backtest();
|
|
var finish = DateTime.Now.AddSeconds(60);
|
|
while (DateTime.Now < finish)
|
|
{
|
|
result = _api.ReadBacktest(projectId, backtestId);
|
|
if (result.Progress == 1) break;
|
|
if (!result.Success) break;
|
|
Thread.Sleep(1000);
|
|
}
|
|
return result;
|
|
}
|
|
}
|
|
}
|