Ricardo Andrés Marino Rojas
cce8945fe8
API Tests / build (push) Has been cancelled
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* Add improvements * Add improvments and unit tests * Add XML comments * Nit changes * Add unit tests for OrderJsonConverter * Improve unit tests * Address requested changes * Fix bugs * Fix bugs * Fix bugs and self-review * Fix bugs * Address requested changes * Fix unit test bug * Fix bugs * Improve unit tests * Solve bugs
358 lines
13 KiB
C#
358 lines
13 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 NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Python;
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using System.Collections.Generic;
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using QuantConnect.Statistics;
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namespace QuantConnect.Tests.Python
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{
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public static class PythonWrapperTests
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{
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[TestFixture]
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public class ValidateImplementationOf
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{
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[Test]
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public void ThrowsOnMissingMember()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(ValidateImplementationOf), MissingMethodOne);
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var model = module.GetAttr("ModelMissingMethodOne");
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Assert.That(() => model.ValidateImplementationOf<IModel>(), Throws
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.Exception.InstanceOf<NotImplementedException>().With.Message.Contains("MethodOne"));
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}
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}
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[Test]
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public void DoesNotThrowWhenInterfaceFullyImplemented()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(ValidateImplementationOf), FullyImplemented);
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var model = module.GetAttr("FullyImplementedModel");
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Assert.That(() => model.ValidateImplementationOf<IModel>(), Throws.Nothing);
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}
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}
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[Test]
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public void DoesNotThrowWhenInterfaceFullyImplementedSnakeCaseStyle()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(ValidateImplementationOf), FullyImplementedSnakeCase);
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var model = module.GetAttr("FullyImplementedSnakeCaseModel");
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Assert.That(() => model.ValidateImplementationOf<IModel>(), Throws.Nothing);
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}
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}
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[Test]
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public void DoesNotThrowWhenDerivedFromCSharpModel()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(ValidateImplementationOf), DerivedFromCsharp);
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var model = module.GetAttr("DerivedFromCSharpModel");
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Assert.That(() => model.ValidateImplementationOf<IModel>(), Throws.Nothing);
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}
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}
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[Test]
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public void SettlementModelPythonWrapperWorks()
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{
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var results = AlgorithmRunner.RunLocalBacktest("CustomSettlementModelRegressionAlgorithm",
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new Dictionary<string, string>()
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{
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{PerformanceMetrics.TotalOrders, "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "108.257%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "1.010%"},
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{"Sharpe Ratio", "10.983"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "95.977%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "1.42"},
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{"Beta", "-0.273"},
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{"Annual Standard Deviation", "0.08"},
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{"Annual Variance", "0.006"},
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{"Information Ratio", "-3.801"},
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{"Tracking Error", "0.288"},
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{"Treynor Ratio", "-3.226"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py"
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);
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}
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[Test]
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public void BenchmarkModelPythonWrapperWorks()
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{
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var results = AlgorithmRunner.RunLocalBacktest("CustomBenchmarkRegressionAlgorithm",
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new Dictionary<string, string>()
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{
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{PerformanceMetrics.TotalOrders, "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-1.9190768915765233E+23"},
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{"Tracking Error", "13.748"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/CustomBenchmarkRegressionAlgorithm.py"
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);
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}
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[Test]
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public void PEP8StyleAlgorithmsImplementationsWork()
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{
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AlgorithmRunner.RunLocalBacktest("PEP8StyleBasicAlgorithm",
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new Dictionary<string, string>()
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{
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{"Total Orders", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "271.453%"},
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{"Drawdown", "2.200%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "101691.92"},
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{"Net Profit", "1.692%"},
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{"Sharpe Ratio", "8.854"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "67.609%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.005"},
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{"Beta", "0.996"},
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{"Annual Standard Deviation", "0.222"},
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{"Annual Variance", "0.049"},
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{"Information Ratio", "-14.565"},
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{"Tracking Error", "0.001"},
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{"Treynor Ratio", "1.97"},
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{"Total Fees", "$3.44"},
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{"Estimated Strategy Capacity", "$56000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "19.93%"},
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{"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/PEP8StyleBasicAlgorithm.py"
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);
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}
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[Test]
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public void PEP8StyleCustomModelsWork()
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{
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AlgorithmRunner.RunLocalBacktest("CustomModelsPEP8Algorithm",
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new Dictionary<string, string>()
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{
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{"Total Orders", "63"},
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{"Average Win", "0.11%"},
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{"Average Loss", "-0.06%"},
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{"Compounding Annual Return", "-7.236%"},
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{"Drawdown", "2.400%"},
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{"Expectancy", "-0.187"},
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{"Start Equity", "100000"},
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{"End Equity", "99370.95"},
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{"Net Profit", "-0.629%"},
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{"Sharpe Ratio", "-1.47"},
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{"Sortino Ratio", "-2.086"},
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{"Probabilistic Sharpe Ratio", "21.874%"},
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{"Loss Rate", "70%"},
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{"Win Rate", "30%"},
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{"Profit-Loss Ratio", "1.73"},
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{"Alpha", "-0.102"},
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{"Beta", "0.122"},
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{"Annual Standard Deviation", "0.04"},
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{"Annual Variance", "0.002"},
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{"Information Ratio", "-4.126"},
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{"Tracking Error", "0.102"},
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{"Treynor Ratio", "-0.479"},
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{"Total Fees", "$62.25"},
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{"Estimated Strategy Capacity", "$52000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "197.95%"},
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{"OrderListHash", "709bbf9af9ec6b43a10617dc192a6a5b"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/CustomModelsPEP8Algorithm.py"
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);
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}
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private const string FullyImplemented =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class FullyImplementedModel:
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def MethodOne():
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pass
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def MethodTwo():
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pass
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";
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private const string FullyImplementedSnakeCase =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class FullyImplementedSnakeCaseModel:
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def method_one():
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pass
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def method_two():
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pass
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";
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private const string DerivedFromCsharp =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class DerivedFromCSharpModel(PythonWrapperTests.ValidateImplementationOf.Model):
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def MethodOne():
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pass
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";
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private const string MissingMethodOne =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class ModelMissingMethodOne:
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def MethodTwo():
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pass
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";
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interface IModel
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{
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void MethodOne();
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void MethodTwo();
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}
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public class Model : IModel
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{
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public void MethodOne()
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{
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}
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public void MethodTwo()
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{
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}
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}
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}
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[TestFixture]
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public class InvokeTests
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{
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[Test]
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public void InvokesCSharpMethod()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(InvokeTests), InvokeModule);
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var model = module.GetAttr("PythonInvokeTestsModel").Invoke();
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Assert.That(model.InvokeMethod<int>("AddThreeNumbers", 1, 2, 3), Is.EqualTo(6));
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}
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}
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[Test]
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public void InvokesPythonMethod()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(InvokeTests), InvokeModule);
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var model = module.GetAttr("PythonInvokeTestsModel").Invoke();
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Assert.That(model.InvokeMethod<int>("AddTwoNumbers", 1, 2), Is.EqualTo(3));
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}
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}
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private const string InvokeModule =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class PythonInvokeTestsModel(PythonWrapperTests.InvokeTests.InvokeTestsModel):
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def add_two_numbers(self, a, b):
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return a + b
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";
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public class InvokeTestsModel
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{
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public int AddTwoNumbers(int a, int b)
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{
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throw new NotImplementedException();
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}
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public int AddThreeNumbers(int a, int b, int c)
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{
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return a + b + c;
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}
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}
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}
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}
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}
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