chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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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 System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm
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{
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public class AlgorithmAddUniverseTests
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{
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[TestCaseSource(nameof(ETFConstituentUniverseTestCases))]
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public void AddUniverseWithETFConstituentUniverseDefinitionTicker(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, false, false, true);
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}
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[TestCaseSource(nameof(ETFConstituentUniverseTestCases))]
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public void AddUniverseWithETFConstituentUniverseDefinitionTickerPython(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, false, true, true);
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}
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[TestCaseSource(nameof(ETFConstituentUniverseTestCases))]
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public void AddUniverseWithETFConstituentUniverseDefinitionSymbol(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, true, false, true);
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}
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[TestCaseSource(nameof(ETFConstituentUniverseTestCases))]
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public void AddUniverseWithETFConstituentUniverseDefinitionSymbolPython(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, true, true, true);
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}
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[TestCaseSource(nameof(IndexConstituentUniverseTestCases))]
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public void AddUniverseWithIndexConstituentUniverseDefinitionTicker(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, false, false, false);
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}
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[TestCaseSource(nameof(IndexConstituentUniverseTestCases))]
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public void AddUniverseWithIndexConstituentUniverseDefinitionSymbol(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, true, false, false);
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}
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[TestCaseSource(nameof(IndexConstituentUniverseTestCases))]
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public void AddUniverseWithIndexConstituentUniverseDefinitionTickerPython(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, false, true, false);
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}
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[TestCaseSource(nameof(IndexConstituentUniverseTestCases))]
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public void AddUniverseWithIndexConstituentUniverseDefinitionSymbolPython(string ticker, string market)
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{
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AssertConstituentUniverseDefinitionsSymbol(ticker, market, true, true, false);
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}
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private void AssertConstituentUniverseDefinitionsSymbol(string ticker, string market, bool isSymbol, bool isPython, bool isEtf)
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{
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var algo = CreateAlgorithm();
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algo.SetStartDate(2021, 8, 23);
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algo.SetEndDate(2021, 8, 24);
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Universe constituentUniverse;
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var symbol = Symbol.Create(ticker, isEtf ? SecurityType.Equity : SecurityType.Index, market ?? Market.USA);
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if (isSymbol && isEtf)
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{
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constituentUniverse = isPython
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? algo.Universe.ETF(symbol, algo.UniverseSettings, (PyObject)null)
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: algo.Universe.ETF(symbol, algo.UniverseSettings, CreateReturnAllFunc());
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}
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else if (isEtf)
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{
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constituentUniverse = isPython
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? algo.Universe.ETF(ticker, market, algo.UniverseSettings, (PyObject)null)
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: algo.Universe.ETF(ticker, market, algo.UniverseSettings, CreateReturnAllFunc());
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}
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else if (isSymbol)
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{
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constituentUniverse = isPython
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? algo.Universe.Index(symbol, algo.UniverseSettings, (PyObject)null)
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: algo.Universe.Index(symbol, algo.UniverseSettings, CreateReturnAllFunc());
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}
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else
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{
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constituentUniverse = isPython
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? algo.Universe.Index(ticker, market, algo.UniverseSettings, (PyObject)null)
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: algo.Universe.Index(ticker, market, algo.UniverseSettings, CreateReturnAllFunc());
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}
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Assert.IsTrue(constituentUniverse.Configuration.Symbol.HasUnderlying);
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Assert.AreEqual(symbol, constituentUniverse.Configuration.Symbol.Underlying);
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Assert.AreEqual(symbol.SecurityType, constituentUniverse.Configuration.Symbol.SecurityType);
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Assert.IsTrue(constituentUniverse.Configuration.Symbol.ID.Symbol.StartsWithInvariant("qc-universe-"));
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}
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private static TestCaseData[] ETFConstituentUniverseTestCases()
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{
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return new[]
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{
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new TestCaseData("SPY", Market.USA),
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new TestCaseData("SPY", null),
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new TestCaseData("GDVD", Market.USA),
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new TestCaseData("GDVD", null)
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};
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}
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private static TestCaseData[] IndexConstituentUniverseTestCases()
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{
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return new[]
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{
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new TestCaseData("SPX", Market.USA),
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new TestCaseData("SPX", null),
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new TestCaseData("NDX", Market.USA),
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new TestCaseData("NDX", null)
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};
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}
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private QCAlgorithm CreateAlgorithm()
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{
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var algo = new QCAlgorithm();
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algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
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return algo;
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}
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private Func<IEnumerable<ETFConstituentUniverse>, IEnumerable<Symbol>> CreateReturnAllFunc()
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{
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return x => x.Select(y => y.Symbol);
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}
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[TestCase(typeof(BaseDataCollection))]
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[TestCase(typeof(FundamentalUniverse))]
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[TestCase(typeof(ETFConstituentsUniverseFactory))]
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public void UniverseSymbolsSortInCreationOrder(Type dataType)
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{
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Symbol symbol1, symbol2, symbol3;
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if (dataType == typeof(ETFConstituentsUniverseFactory))
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{
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var composite = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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using var universe1 = new ETFConstituentsUniverseFactory(composite, null);
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using var universe2 = new ETFConstituentsUniverseFactory(composite, null);
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using var universe3 = new ETFConstituentsUniverseFactory(composite, null);
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symbol1 = universe1.Configuration.Symbol;
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symbol2 = universe2.Configuration.Symbol;
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symbol3 = universe3.Configuration.Symbol;
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}
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else
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{
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var instance = (BaseDataCollection)Activator.CreateInstance(dataType);
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symbol1 = instance.UniverseSymbol();
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symbol2 = instance.UniverseSymbol();
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symbol3 = instance.UniverseSymbol();
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}
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var comparer = StringComparer.OrdinalIgnoreCase;
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Assert.That(comparer.Compare(symbol1.Value, symbol2.Value) < 0);
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Assert.That(comparer.Compare(symbol2.Value, symbol3.Value) < 0);
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}
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}
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}
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