Derek Melchin
4d77431ae1
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* Update regression tests to check consolidators are removed * Update model * Address review
32 lines
1.5 KiB
Python
32 lines
1.5 KiB
Python
# 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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from AlgorithmImports import *
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from BaseFrameworkRegressionAlgorithm import BaseFrameworkRegressionAlgorithm
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from Alphas.RsiAlphaModel import RsiAlphaModel
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### <summary>
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### Regression algorithm to assert the behavior of <see cref="RsiAlphaModel"/>.
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### </summary>
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class RsiAlphaModelFrameworkRegressionAlgorithm(BaseFrameworkRegressionAlgorithm):
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def Initialize(self):
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super().Initialize()
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self.SetAlpha(RsiAlphaModel())
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def OnEndOfAlgorithm(self):
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# We have removed all securities from the universe. The Alpha Model should remove the consolidator
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consolidator_count = sum([s.Consolidators.Count for s in self.SubscriptionManager.Subscriptions])
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if consolidator_count > 0:
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raise Exception(f"The number of consolidators should be zero. Actual: {consolidator_count}")
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