Martin-Molinero
b9d3d99917
Regression Tests / build (push) Has been cancelled
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Research Regression Tests / build (push) Has been cancelled
* Updates after pythonNet rebase * Bump pythonNet version 2.0.12 * Fix exception types being thrown
139 lines
7.3 KiB
Python
139 lines
7.3 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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### Regression test to check python indicator is keeping backwards compatibility
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### with indicators that do not set WarmUpPeriod or do not inherit from PythonIndicator class.
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### </summary>
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### <meta name="tag" content="indicators" />
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### <meta name="tag" content="indicator classes" />
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### <meta name="tag" content="custom indicator" />
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### <meta name="tag" content="regression test" />
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class CustomWarmUpPeriodIndicatorAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2013,10,7)
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self.SetEndDate(2013,10,11)
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self.AddEquity("SPY", Resolution.Second)
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# Create three python indicators
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# - customNotWarmUp does not define WarmUpPeriod parameter
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# - customWarmUp defines WarmUpPeriod parameter
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# - customNotInherit defines WarmUpPeriod parameter but does not inherit from PythonIndicator class
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# - csharpIndicator defines WarmUpPeriod parameter and represents the traditional LEAN C# indicator
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self.customNotWarmUp = CSMANotWarmUp('customNotWarmUp', 60)
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self.customWarmUp = CSMAWithWarmUp('customWarmUp', 60)
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self.customNotInherit = CustomSMA('customNotInherit', 60)
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self.csharpIndicator = SimpleMovingAverage('csharpIndicator', 60)
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# Register the daily data of "SPY" to automatically update the indicators
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self.RegisterIndicator("SPY", self.customWarmUp, Resolution.Minute)
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self.RegisterIndicator("SPY", self.customNotWarmUp, Resolution.Minute)
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self.RegisterIndicator("SPY", self.customNotInherit, Resolution.Minute)
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self.RegisterIndicator("SPY", self.csharpIndicator, Resolution.Minute)
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# Warm up customWarmUp indicator
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self.WarmUpIndicator("SPY", self.customWarmUp, Resolution.Minute)
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# Check customWarmUp indicator has already been warmed up with the requested data
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assert(self.customWarmUp.IsReady), "customWarmUp indicator was expected to be ready"
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assert(self.customWarmUp.Samples == 60), "customWarmUp indicator was expected to have processed 60 datapoints already"
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# Try to warm up customNotWarmUp indicator. It's expected from LEAN to skip the warm up process
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# because this indicator doesn't define WarmUpPeriod parameter
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self.WarmUpIndicator("SPY", self.customNotWarmUp, Resolution.Minute)
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# Check customNotWarmUp indicator is not ready and is using the default WarmUpPeriod value
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assert(not self.customNotWarmUp.IsReady), "customNotWarmUp indicator wasn't expected to be warmed up"
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assert(self.customNotWarmUp.WarmUpPeriod == 0), "customNotWarmUp indicator WarmUpPeriod parameter was expected to be 0"
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# Warm up customNotInherit indicator. Though it does not inherit from PythonIndicator class,
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# it defines WarmUpPeriod parameter so it's expected to be warmed up from LEAN
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self.WarmUpIndicator("SPY", self.customNotInherit, Resolution.Minute)
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# Check customNotInherit indicator has already been warmed up with the requested data
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assert(self.customNotInherit.IsReady), "customNotInherit indicator was expected to be ready"
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assert(self.customNotInherit.Samples == 60), "customNotInherit indicator was expected to have processed 60 datapoints already"
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# Warm up csharpIndicator
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self.WarmUpIndicator("SPY", self.csharpIndicator, Resolution.Minute)
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# Check csharpIndicator indicator has already been warmed up with the requested data
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assert(self.csharpIndicator.IsReady), "csharpIndicator indicator was expected to be ready"
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assert(self.csharpIndicator.Samples == 60), "csharpIndicator indicator was expected to have processed 60 datapoints already"
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def OnData(self, data):
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if not self.Portfolio.Invested:
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self.SetHoldings("SPY", 1)
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if self.Time.second == 0:
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# Compute the difference between indicators values
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diff = abs(self.customNotWarmUp.Current.Value - self.customWarmUp.Current.Value)
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diff += abs(self.customNotInherit.Value - self.customNotWarmUp.Current.Value)
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diff += abs(self.customNotInherit.Value - self.customWarmUp.Current.Value)
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diff += abs(self.csharpIndicator.Current.Value - self.customWarmUp.Current.Value)
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diff += abs(self.csharpIndicator.Current.Value - self.customNotWarmUp.Current.Value)
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diff += abs(self.csharpIndicator.Current.Value - self.customNotInherit.Value)
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# Check customNotWarmUp indicator is ready when the number of samples is bigger than its WarmUpPeriod parameter
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assert(self.customNotWarmUp.IsReady == (self.customNotWarmUp.Samples >= 60)), "customNotWarmUp indicator was expected to be ready when the number of samples were bigger that its WarmUpPeriod parameter"
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# Check their values are the same. We only need to check if customNotWarmUp indicator is ready because the other ones has already been asserted to be ready
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assert(diff <= 1e-10 or (not self.customNotWarmUp.IsReady)), f"The values of the indicators are not the same. Indicators difference is {diff}"
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# Python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA) without Warm Up Period parameter defined
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class CSMANotWarmUp(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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# Update method is mandatory
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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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# Python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA) With Warm Up Period parameter defined
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class CSMAWithWarmUp(CSMANotWarmUp):
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def __init__(self, name, period):
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super().__init__(name, period)
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self.WarmUpPeriod = period
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# Custom python implementation of SimpleMovingAverage.
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# Represents the traditional simple moving average indicator (SMA)
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class CustomSMA():
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def __init__(self, name, period):
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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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self.WarmUpPeriod = period
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self.IsReady = False
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self.Samples = 0
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# Update method is mandatory
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def Update(self, input):
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self.Samples += 1
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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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if count == self.queue.maxlen:
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self.IsReady = True
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return self.IsReady
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