chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 Python.Runtime;
+using QuantConnect.Algorithm.Framework.Alphas;
+using System;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Util;
+using QuantConnect.Tests.Common.Data.UniverseSelection;
+
+namespace QuantConnect.Tests.Algorithm.Framework.Alphas
+{
+    [TestFixture]
+    public class EmaCrossAlphaModelTests : CommonAlphaModelTests
+    {
+        protected override IAlphaModel CreateCSharpAlphaModel() => new EmaCrossAlphaModel();
+
+        protected override IAlphaModel CreatePythonAlphaModel()
+        {
+            using (Py.GIL())
+            {
+                dynamic model = Py.Import("EmaCrossAlphaModel").GetAttr("EmaCrossAlphaModel");
+                var instance = model();
+                return new AlphaModelPythonWrapper(instance);
+            }
+        }
+
+        protected override IEnumerable<Insight> ExpectedInsights()
+        {
+            var period = TimeSpan.FromDays(12);
+
+            return new[]
+            {
+                Insight.Price(Symbols.SPY, period, InsightDirection.Down),
+                Insight.Price(Symbols.SPY, period, InsightDirection.Up)
+            };
+        }
+
+        protected override string GetExpectedModelName(IAlphaModel model)
+        {
+            return $"{nameof(EmaCrossAlphaModel)}(12,26,Daily)";
+        }
+
+        [Test]
+        public void WarmsUpProperly()
+        {
+            SetUpHistoryProvider();
+
+            Algorithm.SetStartDate(2013, 10, 08);
+            Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
+
+            // Create a EmaCrossAlphaModel for the test
+            var model = new TestEmaCrossAlphaModel();
+
+            // Set the alpha model
+            Algorithm.SetAlpha(model);
+            Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
+
+            var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
+            Algorithm.OnFrameworkSecuritiesChanged(changes);
+
+            // Get the dictionary of macd indicators
+            var symbolData = model.GetSymbolData();
+
+            // Check the symbolData dictionary is not empty
+            Assert.NotZero(symbolData.Count);
+
+            // Check all EmaCross indicators from the alpha are ready and have at least
+            // one datapoint
+            foreach (var item in symbolData)
+            {
+                var fast = item.Value.Fast;
+                var slow = item.Value.Slow;
+
+                Assert.IsTrue(fast.IsReady);
+                Assert.NotZero(fast.Samples);
+
+                Assert.IsTrue(slow.IsReady);
+                Assert.NotZero(slow.Samples);
+            }
+        }
+
+        [Test]
+        public void PythonVersionWarmsUpProperly()
+        {
+            using (Py.GIL())
+            {
+                SetUpHistoryProvider();
+                Algorithm.SetStartDate(2013, 10, 08);
+                Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
+
+                // Create and set alpha model
+                dynamic model = Py.Import("EmaCrossAlphaModel").GetAttr("EmaCrossAlphaModel");
+                var instance = model();
+                Algorithm.SetAlpha(instance);
+
+                var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
+                Algorithm.OnFrameworkSecuritiesChanged(changes);
+
+                // Get the dictionary of ema cross indicators
+                var symbolData = instance.symbol_data_by_symbol;
+
+                // Check the dictionary is not empty
+                Assert.NotZero(symbolData.Length());
+
+                // Check all Ema Cross indicators from the alpha are ready and have at least
+                // one datapoint
+                foreach (var item in symbolData)
+                {
+                    var fast = symbolData[item].fast;
+                    var slow = symbolData[item].slow;
+
+                    Assert.IsTrue(fast.IsReady.IsTrue());
+                    Assert.NotZero(((PyObject)fast.Samples).GetAndDispose<int>());
+
+                    Assert.IsTrue(slow.IsReady.IsTrue());
+                    Assert.NotZero(((PyObject)slow.Samples).GetAndDispose<int>());
+                }
+            }
+        }
+    }
+}