Martin Molinero
cfa08a11fb
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm` - Removing `QCAlgorithmFrameworkBridge` - Removing `IsFrameworkAlgorithm` - Making `EmitInsightBasedOnFill` private. Adding new `IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will subscribe. - `AccountType.Cash` algorithms will be allowed to manually trade and emight insights manually or with alpha model.
93 lines
3.6 KiB
C#
93 lines
3.6 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.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Tests.Common.Securities;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm.Framework
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{
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[TestFixture]
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public class QCAlgorithmFrameworkTests
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{
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[Test]
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public void SetsInsightGeneratedAndCloseTimes()
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{
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var eventFired = false;
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var algo = new QCAlgorithm();
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algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
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algo.Transactions.SetOrderProcessor(new FakeOrderProcessor());
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algo.InsightsGenerated += (algorithm, data) =>
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{
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eventFired = true;
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var insights = data.Insights;
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Assert.AreEqual(1, insights.Count);
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Assert.IsTrue(insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
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Assert.IsTrue(insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
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};
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var security = algo.AddEquity("SPY");
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algo.SetUniverseSelection(new ManualUniverseSelectionModel());
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var alpha = new FakeAlpha();
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algo.SetAlpha(alpha);
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var construction = new FakePortfolioConstruction();
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algo.SetPortfolioConstruction(construction);
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var tick = new Tick
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{
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Symbol = security.Symbol,
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Value = 1,
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Quantity = 2
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};
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security.SetMarketPrice(tick);
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algo.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), algo.Securities.Select(s => tick)));
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Assert.IsTrue(eventFired);
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Assert.AreEqual(1, construction.Insights.Count);
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Assert.IsTrue(construction.Insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
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Assert.IsTrue(construction.Insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
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}
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class FakeAlpha : AlphaModel
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{
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public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
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{
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yield return Insight.Price(Symbols.SPY, TimeSpan.FromDays(1), InsightDirection.Up, .5, .75);
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}
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}
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class FakePortfolioConstruction : PortfolioConstructionModel
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{
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public IReadOnlyCollection<Insight> Insights { get; private set; }
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public override IEnumerable<IPortfolioTarget> CreateTargets(QCAlgorithm algorithm, Insight[] insights)
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{
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Insights = insights;
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return insights.Select(insight => PortfolioTarget.Percent(algorithm, insight.Symbol, 0.01m));
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}
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}
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}
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}
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