chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,395 @@
|
||||
/*
|
||||
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*/
|
||||
|
||||
using NUnit.Framework;
|
||||
using QuantConnect.Algorithm.Framework.Alphas;
|
||||
using QuantConnect.Algorithm.Framework.Portfolio;
|
||||
using QuantConnect.Algorithm.Framework.Selection;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Lean.Engine.HistoricalData;
|
||||
using QuantConnect.Securities;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using QuantConnect.Algorithm;
|
||||
using QuantConnect.Python;
|
||||
using QuantConnect.Tests.Common.Data.UniverseSelection;
|
||||
using QuantConnect.Tests.Engine.DataFeeds;
|
||||
using QuantConnect.Util;
|
||||
|
||||
namespace QuantConnect.Tests.Algorithm.Framework.Alphas
|
||||
{
|
||||
/// <summary>
|
||||
/// Provides a framework for testing alpha models.
|
||||
/// </summary>
|
||||
public abstract class CommonAlphaModelTests
|
||||
{
|
||||
protected QCAlgorithm Algorithm { get; set; }
|
||||
|
||||
[OneTimeSetUp]
|
||||
public void Initialize()
|
||||
{
|
||||
PythonInitializer.Initialize();
|
||||
|
||||
Algorithm = new QCAlgorithm();
|
||||
Algorithm.PortfolioConstruction = new NullPortfolioConstructionModel();
|
||||
Algorithm.HistoryProvider = new SineHistoryProvider(Algorithm.Securities);
|
||||
Algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(Algorithm));
|
||||
InitializeAlgorithm(Algorithm);
|
||||
}
|
||||
|
||||
[Test]
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void AddAlphaModel(Language language)
|
||||
{
|
||||
IAlphaModel model;
|
||||
IAlphaModel model2 = null;
|
||||
IAlphaModel model3 = null;
|
||||
if (!TryCreateModel(language, out model)
|
||||
|| !TryCreateModel(language, out model2)
|
||||
|| !TryCreateModel(language, out model3))
|
||||
{
|
||||
Assert.Ignore($"Ignore {GetType().Name}: Could not create {language} model.");
|
||||
}
|
||||
|
||||
// Set the alpha model
|
||||
Algorithm.SetAlpha(model);
|
||||
Algorithm.AddAlpha(model2);
|
||||
Algorithm.AddAlpha(model3);
|
||||
Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
|
||||
|
||||
var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
|
||||
Algorithm.OnFrameworkSecuritiesChanged(changes);
|
||||
|
||||
var actualInsights = new List<Insight>();
|
||||
Algorithm.InsightsGenerated += (s, e) => actualInsights.AddRange(e.Insights);
|
||||
|
||||
var expectedInsights = ExpectedInsights().ToList();
|
||||
|
||||
var consolidators = Algorithm.Securities.SelectMany(kvp => kvp.Value.Subscriptions).SelectMany(x => x.Consolidators);
|
||||
var slices = CreateSlices();
|
||||
|
||||
foreach (var slice in slices.ToList())
|
||||
{
|
||||
Algorithm.SetDateTime(slice.Time);
|
||||
|
||||
foreach (var symbol in slice.Keys)
|
||||
{
|
||||
var data = slice[symbol];
|
||||
Algorithm.Securities[symbol].SetMarketPrice(data);
|
||||
|
||||
foreach (var consolidator in consolidators)
|
||||
{
|
||||
consolidator.Update(data);
|
||||
}
|
||||
}
|
||||
|
||||
Algorithm.OnFrameworkData(slice);
|
||||
}
|
||||
|
||||
Assert.AreEqual(expectedInsights.Count * 3, actualInsights.Count);
|
||||
|
||||
for (var i = 0; i < actualInsights.Count; i = i + 3)
|
||||
{
|
||||
var expected = expectedInsights[i / 3];
|
||||
for (int j = i; j < 3; j++)
|
||||
{
|
||||
var actual = actualInsights[j];
|
||||
Assert.AreEqual(expected.Symbol, actual.Symbol);
|
||||
Assert.AreEqual(expected.Type, actual.Type);
|
||||
Assert.AreEqual(expected.Direction, actual.Direction);
|
||||
Assert.LessOrEqual(expected.Period, actual.Period); // It can be canceled and discarded early
|
||||
Assert.AreEqual(expected.Magnitude, actual.Magnitude);
|
||||
Assert.AreEqual(expected.Confidence, actual.Confidence);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void InsightsGenerationTest(Language language)
|
||||
{
|
||||
IAlphaModel model;
|
||||
if (!TryCreateModel(language, out model))
|
||||
{
|
||||
Assert.Ignore($"Ignore {GetType().Name}: Could not create {language} model.");
|
||||
}
|
||||
|
||||
// Set the alpha model
|
||||
Algorithm.SetAlpha(model);
|
||||
Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
|
||||
|
||||
var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
|
||||
Algorithm.OnFrameworkSecuritiesChanged(changes);
|
||||
|
||||
var actualInsights = new List<Insight>();
|
||||
Algorithm.InsightsGenerated += (s, e) => actualInsights.AddRange(e.Insights);
|
||||
|
||||
var expectedInsights = ExpectedInsights().ToList();
|
||||
|
||||
var consolidators = Algorithm.Securities.SelectMany(kvp => kvp.Value.Subscriptions).SelectMany(x => x.Consolidators);
|
||||
var slices = CreateSlices();
|
||||
|
||||
foreach (var slice in slices.ToList())
|
||||
{
|
||||
Algorithm.SetDateTime(slice.Time);
|
||||
|
||||
foreach (var symbol in slice.Keys)
|
||||
{
|
||||
var data = slice[symbol];
|
||||
Algorithm.Securities[symbol].SetMarketPrice(data);
|
||||
|
||||
foreach (var consolidator in consolidators)
|
||||
{
|
||||
consolidator.Update(data);
|
||||
}
|
||||
}
|
||||
|
||||
Algorithm.OnFrameworkData(slice);
|
||||
}
|
||||
|
||||
Assert.AreEqual(expectedInsights.Count, actualInsights.Count);
|
||||
|
||||
for (var i = 0; i < actualInsights.Count; i++)
|
||||
{
|
||||
var actual = actualInsights[i];
|
||||
var expected = expectedInsights[i];
|
||||
Assert.AreEqual(expected.Symbol, actual.Symbol);
|
||||
Assert.AreEqual(expected.Type, actual.Type);
|
||||
Assert.AreEqual(expected.Direction, actual.Direction);
|
||||
Assert.LessOrEqual(expected.Period, actual.Period); // It can be canceled and discarded early
|
||||
Assert.AreEqual(expected.Magnitude, actual.Magnitude);
|
||||
Assert.AreEqual(expected.Confidence, actual.Confidence);
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void AddedSecuritiesTest(Language language)
|
||||
{
|
||||
IAlphaModel model;
|
||||
if (!TryCreateModel(language, out model))
|
||||
{
|
||||
Assert.Ignore($"Ignore {GetType().Name}: Could not create {language} model.");
|
||||
}
|
||||
|
||||
var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
|
||||
|
||||
Assert.DoesNotThrow(() => model.OnSecuritiesChanged(Algorithm, changes));
|
||||
}
|
||||
|
||||
[Test]
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void RemovedSecuritiesTest(Language language)
|
||||
{
|
||||
IAlphaModel model;
|
||||
if (!TryCreateModel(language, out model))
|
||||
{
|
||||
Assert.Ignore($"Ignore {GetType().Name}: Could not create {language} model.");
|
||||
}
|
||||
|
||||
var removedSecurities = Algorithm.Securities.Values;
|
||||
|
||||
// We have to add some security if we then want to remove it, that's why we cannot use here
|
||||
// RemovedSecurities, because it doesn't contain any security
|
||||
var changes = SecurityChangesTests.CreateNonInternal(removedSecurities, AddedSecurities);
|
||||
|
||||
Assert.DoesNotThrow(() => model.OnSecuritiesChanged(Algorithm, changes));
|
||||
}
|
||||
|
||||
[Test]
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void ModelNameTest(Language language)
|
||||
{
|
||||
IAlphaModel model;
|
||||
if (!TryCreateModel(language, out model))
|
||||
{
|
||||
Assert.Ignore($"Ignore {GetType().Name}: Could not create {language} model.");
|
||||
}
|
||||
|
||||
var actual = model.GetModelName();
|
||||
var expected = GetExpectedModelName(model);
|
||||
Assert.AreEqual(expected, actual);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Returns a new instance of the alpha model to test
|
||||
/// </summary>
|
||||
protected abstract IAlphaModel CreateCSharpAlphaModel();
|
||||
|
||||
/// <summary>
|
||||
/// Returns a new instance of the alpha model to test
|
||||
/// </summary>
|
||||
protected abstract IAlphaModel CreatePythonAlphaModel();
|
||||
|
||||
/// <summary>
|
||||
/// Returns an enumerable with the expected insights
|
||||
/// </summary>
|
||||
protected abstract IEnumerable<Insight> ExpectedInsights();
|
||||
|
||||
/// <summary>
|
||||
/// List of securities to be added to the model
|
||||
/// </summary>
|
||||
protected virtual IEnumerable<Security> AddedSecurities => Algorithm.Securities.Values;
|
||||
|
||||
/// <summary>
|
||||
/// List of securities to be removed to the model
|
||||
/// </summary>
|
||||
protected virtual IEnumerable<Security> RemovedSecurities => Enumerable.Empty<Security>();
|
||||
|
||||
/// <summary>
|
||||
/// To be override for model types that implement <see cref="INamedModel"/>
|
||||
/// </summary>
|
||||
protected abstract string GetExpectedModelName(IAlphaModel model);
|
||||
|
||||
/// <summary>
|
||||
/// Provides derived types a chance to initialize anything special they require
|
||||
/// </summary>
|
||||
protected virtual void InitializeAlgorithm(QCAlgorithm algorithm)
|
||||
{
|
||||
Algorithm.SetStartDate(2018, 1, 4);
|
||||
Algorithm.AddEquity(Symbols.SPY.Value, Resolution.Daily);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Creates an enumerable of Slice to update the alpha model
|
||||
/// </summary>
|
||||
protected virtual IEnumerable<Slice> CreateSlices()
|
||||
{
|
||||
var timeSliceFactory = new TimeSliceFactory(TimeZones.NewYork);
|
||||
var changes = SecurityChanges.None;
|
||||
var sliceDateTimes = GetSliceDateTimes(MaxSliceCount);
|
||||
|
||||
for (var i = 0; i < sliceDateTimes.Count; i++)
|
||||
{
|
||||
var utcDateTime = sliceDateTimes[i];
|
||||
|
||||
var packets = new List<DataFeedPacket>();
|
||||
|
||||
// TODO : Give securities different values -- will require updating all derived types
|
||||
var last = Convert.ToDecimal(100 + 10 * Math.Sin(Math.PI * i / 180.0));
|
||||
var high = last * 1.005m;
|
||||
var low = last / 1.005m;
|
||||
foreach (var kvp in Algorithm.Securities)
|
||||
{
|
||||
var security = kvp.Value;
|
||||
var exchange = security.Exchange.Hours;
|
||||
var configs = Algorithm.SubscriptionManager.SubscriptionDataConfigService
|
||||
.GetSubscriptionDataConfigs(security.Symbol);
|
||||
var extendedMarket = configs.IsExtendedMarketHours();
|
||||
var localDateTime = utcDateTime.ConvertFromUtc(exchange.TimeZone);
|
||||
if (!exchange.IsOpen(localDateTime, extendedMarket))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
var configuration = security.Subscriptions.FirstOrDefault();
|
||||
var period = configs.GetHighestResolution().ToTimeSpan();
|
||||
var time = (utcDateTime - period).ConvertFromUtc(configuration.DataTimeZone);
|
||||
var tradeBar = new TradeBar(time, security.Symbol, last, high, low, last, 1000, period);
|
||||
packets.Add(new DataFeedPacket(security, configuration, new List<BaseData> { tradeBar }));
|
||||
}
|
||||
|
||||
if (packets.Count > 0)
|
||||
{
|
||||
yield return timeSliceFactory.Create(utcDateTime, packets, changes, new Dictionary<Universe, BaseDataCollection>()).Slice;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Set up the HistoryProvider for algorithm
|
||||
/// </summary>
|
||||
protected void SetUpHistoryProvider()
|
||||
{
|
||||
Algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
|
||||
Algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
|
||||
null,
|
||||
null,
|
||||
TestGlobals.DataProvider,
|
||||
TestGlobals.DataCacheProvider,
|
||||
TestGlobals.MapFileProvider,
|
||||
TestGlobals.FactorFileProvider,
|
||||
null,
|
||||
false,
|
||||
new DataPermissionManager(),
|
||||
Algorithm.ObjectStore,
|
||||
Algorithm.Settings));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Gets the maximum number of slice objects to generate
|
||||
/// </summary>
|
||||
protected virtual int MaxSliceCount => 360;
|
||||
|
||||
private List<DateTime> GetSliceDateTimes(int maxCount)
|
||||
{
|
||||
var i = 0;
|
||||
var sliceDateTimes = new List<DateTime>();
|
||||
var utcDateTime = Algorithm.StartDate;
|
||||
|
||||
while (sliceDateTimes.Count < maxCount)
|
||||
{
|
||||
foreach (var kvp in Algorithm.Securities)
|
||||
{
|
||||
var security = kvp.Value;
|
||||
var configs = Algorithm.SubscriptionManager.SubscriptionDataConfigService
|
||||
.GetSubscriptionDataConfigs(security.Symbol);
|
||||
var resolution = configs.GetHighestResolution().ToTimeSpan();
|
||||
utcDateTime = utcDateTime.Add(resolution);
|
||||
if (resolution == Time.OneDay && utcDateTime.TimeOfDay == TimeSpan.Zero)
|
||||
{
|
||||
utcDateTime = utcDateTime.AddHours(17);
|
||||
}
|
||||
var exchange = security.Exchange.Hours;
|
||||
var extendedMarket = configs.IsExtendedMarketHours();
|
||||
var localDateTime = utcDateTime.ConvertFromUtc(exchange.TimeZone);
|
||||
if (exchange.IsOpen(localDateTime, extendedMarket))
|
||||
{
|
||||
sliceDateTimes.Add(utcDateTime);
|
||||
}
|
||||
i++;
|
||||
}
|
||||
}
|
||||
|
||||
return sliceDateTimes;
|
||||
}
|
||||
|
||||
private bool TryCreateModel(Language language, out IAlphaModel model)
|
||||
{
|
||||
model = default(IAlphaModel);
|
||||
|
||||
switch (language)
|
||||
{
|
||||
case Language.CSharp:
|
||||
model = CreateCSharpAlphaModel();
|
||||
return true;
|
||||
case Language.Python:
|
||||
Algorithm.SetPandasConverter();
|
||||
model = CreatePythonAlphaModel();
|
||||
return true;
|
||||
default:
|
||||
return false;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user