AlexCatarino
105 lines
3.8 KiB
C#
105 lines
3.8 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 NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data.UniverseSelection;
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using System;
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using System.Linq;
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namespace QuantConnect.Tests.Algorithm.Framework
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{
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[TestFixture]
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public class FrameworkModelsPythonInheritanceTests
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{
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[Test]
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public void ManualUniverseSelectionModelCanBeInherited()
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{
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var code = @"
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from clr import AddReference
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AddReference('QuantConnect.Common')
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from QuantConnect import Market, SecurityType, Symbol
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from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel
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class MockUniverseSelectionModel(ManualUniverseSelectionModel):
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def __init__(self):
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super().__init__([Symbol.Create('SPY', SecurityType.Equity, Market.USA)])";
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using (Py.GIL())
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{
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dynamic pyModel = PythonEngine
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.ModuleFromString(Guid.NewGuid().ToString(), code)
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.GetAttr("MockUniverseSelectionModel");
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var model = new UniverseSelectionModelPythonWrapper(pyModel());
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var universes = model.CreateUniverses(new QCAlgorithm()).ToList();
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Assert.AreEqual(1, universes.Count);
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var universe = universes.First();
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var symbols = universe.SelectSymbols(DateTime.Now, null).ToList();
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Assert.AreEqual(1, symbols.Count);
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var expected = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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var symbol = symbols.First();
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Assert.AreEqual(expected, symbol);
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}
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}
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[Test]
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public void FundamentalUniverseSelectionModelCanBeInherited()
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{
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var code = @"
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from clr import AddReference
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AddReference('QuantConnect.Common')
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from QuantConnect import Market, SecurityType, Symbol
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from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel
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class MockUniverseSelectionModel(FundamentalUniverseSelectionModel):
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def __init__(self):
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super().__init__(False)
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def SelectCoarse(self, algorithm, coarse):
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return [Symbol.Create('SPY', SecurityType.Equity, Market.USA)]";
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using (Py.GIL())
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{
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dynamic pyModel = PythonEngine
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.ModuleFromString(Guid.NewGuid().ToString(), code)
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.GetAttr("MockUniverseSelectionModel");
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var model = new UniverseSelectionModelPythonWrapper(pyModel());
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var universes = model.CreateUniverses(new QCAlgorithm()).ToList();
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Assert.AreEqual(1, universes.Count);
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var data = new BaseDataCollection();
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data.Data.Add(new CoarseFundamental());
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var universe = universes.First();
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var symbols = universe.SelectSymbols(DateTime.Now, data).ToList();
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Assert.AreEqual(1, symbols.Count);
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var expected = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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var symbol = symbols.First();
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Assert.AreEqual(expected, symbol);
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}
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}
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}
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} |