Martin Molinero
46baedf858
- Modifying `IFillModel` interface removing old methods and adding new method `Fill Fill(FillModelParameters)`. This is a breaking change. - Adding new `PythonWrapper` property for the `FillModel` base class. This is required due to a limitation in PythonNet: - Given C# class T has `virtual` methods A and B. Where method A calls method B. And given custom python class L inherits class T. And overrides method B. When class L calls base method A (of class T). And when method A internally calls method B. It will call C# implementation, not the python override. This issue is solved going back to the `PythonWrapper`. Adding unit tests. - Adding new `Parameters` property for the `FillModel` base class that will be set by the call to `Fill()`. The `Parameters` property will be used by the modified `XxxxFill()` implementations - Adding new `Fill` result object for the `Fill(FillModelParameters)` method - Adding new check before removing a `SubscriptionDataConfig` due to the FillModels consuming the configuration collection when determining which Price to use. WIll now only remove the `SDC` if the symbol was removed from the selecting `universe`, this will avoid the case where the symbol is never deselected and the subscription ends, which happens at the end of all executions. - Adding unit tests showcasing retro compatibility. - Enabling C# `CustomModelsAlgorithm` as a regression test. Python version returns a different result due to random number generation.
37 lines
1.4 KiB
C#
37 lines
1.4 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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*/
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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namespace QuantConnect.Tests.Common.Data
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{
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internal class MockSubscriptionDataConfigProvider : ISubscriptionDataConfigProvider
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{
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public List<SubscriptionDataConfig> SubscriptionDataConfigs
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= new List<SubscriptionDataConfig>();
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public MockSubscriptionDataConfigProvider(SubscriptionDataConfig config = null)
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{
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if (config != null)
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{
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SubscriptionDataConfigs.Add(config);
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}
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}
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public List<SubscriptionDataConfig> GetSubscriptionDataConfigs(Symbol symbol)
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{
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return SubscriptionDataConfigs;
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}
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}
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} |