Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
63 lines
2.8 KiB
Python
63 lines
2.8 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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### <summary>
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### Regression algorithm which tests that a two leg currency conversion happens correctly
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### </summary>
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class TwoLegCurrencyConversionRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2018, 4, 4)
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self.SetEndDate(2018, 4, 4)
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# GDAX doesn't have LTCETH or ETHLTC, but they do have ETHUSD and LTCUSD to form a path between ETH and LTC
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self.SetAccountCurrency("ETH")
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self.SetCash("ETH", 100000)
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self.SetCash("LTC", 100000)
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self.SetCash("USD", 100000)
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self._ethUsdSymbol = self.AddCrypto("ETHUSD", Resolution.Minute).Symbol
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self._ltcUsdSymbol = self.AddCrypto("LTCUSD", Resolution.Minute).Symbol
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def OnData(self, data):
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if not self.Portfolio.Invested:
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self.MarketOrder(self._ltcUsdSymbol, 1)
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def OnEndOfAlgorithm(self):
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ltcCash = self.Portfolio.CashBook["LTC"]
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conversionSymbols = [x.Symbol for x in ltcCash.CurrencyConversion.ConversionRateSecurities]
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if len(conversionSymbols) != 2:
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raise ValueError(
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f"Expected two conversion rate securities for LTC to ETH, is {len(conversionSymbols)}")
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if conversionSymbols[0] != self._ltcUsdSymbol:
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raise ValueError(
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f"Expected first conversion rate security from LTC to ETH to be {self._ltcUsdSymbol}, is {conversionSymbols[0]}")
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if conversionSymbols[1] != self._ethUsdSymbol:
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raise ValueError(
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f"Expected second conversion rate security from LTC to ETH to be {self._ethUsdSymbol}, is {conversionSymbols[1]}")
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ltcUsdValue = self.Securities[self._ltcUsdSymbol].GetLastData().Value
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ethUsdValue = self.Securities[self._ethUsdSymbol].GetLastData().Value
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expectedConversionRate = ltcUsdValue / ethUsdValue
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actualConversionRate = ltcCash.ConversionRate
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if actualConversionRate != expectedConversionRate:
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raise ValueError(
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f"Expected conversion rate from LTC to ETH to be {expectedConversionRate}, is {actualConversionRate}")
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