Jhonathan Abreu
72e7dca7af
* Add security dynamic properties unit and regression tests. These assert that dynamic properties that are instances of python classes that inherit c# classes keep their python object references. * Minor change * Bump pythonnet version to 2.0.21 * Fix security dynamic properties cast from PyObject * Minor change
60 lines
2.3 KiB
Python
60 lines
2.3 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 collections import deque
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### <summary>
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### Algorithm asserting that security dynamic properties keep Python references to the Python class they are instances of,
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### specifically when this class is a subclass of a C# class.
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### </summary>
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class SecurityDynamicPropertyPythonClassAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 7)
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self.spy = self.AddEquity("SPY", Resolution.Minute)
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customSMA = CustomSimpleMovingAverage('custom', 60)
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self.spy.CustomSMA = customSMA
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customSMA.Security = self.spy
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self.RegisterIndicator(self.spy.Symbol, self.spy.CustomSMA, Resolution.Minute)
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def OnWarmupFinished(self) -> None:
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if type(self.spy.CustomSMA) != CustomSimpleMovingAverage:
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raise Exception("spy.CustomSMA is not an instance of CustomSimpleMovingAverage")
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if self.spy.CustomSMA.Security is None:
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raise Exception("spy.CustomSMA.Security is None")
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else:
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self.Debug(f"spy.CustomSMA.Security.Symbol: {self.spy.CustomSMA.Security.Symbol}")
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def OnData(self, slice: Slice) -> None:
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if self.spy.CustomSMA.IsReady:
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self.Debug(f"CustomSMA: {self.spy.CustomSMA.Current.Value}")
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class CustomSimpleMovingAverage(PythonIndicator):
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def __init__(self, name, period):
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super().__init__()
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self.Name = name
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self.Value = 0
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self.queue = deque(maxlen=period)
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def Update(self, input):
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self.queue.appendleft(input.Value)
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count = len(self.queue)
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self.Value = np.sum(self.queue) / count
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return count == self.queue.maxlen
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