chore: import upstream snapshot with attribution
This commit is contained in:
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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*/
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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.Algorithm.Framework.Selection;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.UniverseSelection;
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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 QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Tests.Algorithm.Framework
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{
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[TestFixture]
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public class FrameworkModelsPythonInheritanceTests
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{
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[Test]
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public void ManualUniverseSelectionModelCanBeInherited()
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{
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var code = @"
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from clr import AddReference
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AddReference('QuantConnect.Common')
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from QuantConnect import Market, SecurityType, Symbol
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from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel
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class MockUniverseSelectionModel(ManualUniverseSelectionModel):
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def __init__(self):
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super().__init__([Symbol.Create('SPY', SecurityType.Equity, Market.USA)])";
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using (Py.GIL())
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{
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dynamic pyModel = PyModule.FromString(Guid.NewGuid().ToString(), code)
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.GetAttr("MockUniverseSelectionModel");
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var model = new UniverseSelectionModelPythonWrapper(pyModel());
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var universes = model.CreateUniverses(new QCAlgorithm()).ToList();
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Assert.AreEqual(1, universes.Count);
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var universe = universes.First();
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var symbols = universe.SelectSymbols(DateTime.Now, null).ToList();
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Assert.AreEqual(1, symbols.Count);
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var expected = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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var symbol = symbols.First();
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Assert.AreEqual(expected, symbol);
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}
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}
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[Test]
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public void FundamentalUniverseSelectionModelCanBeInherited()
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{
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var code = @"
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from AlgorithmImports import *
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from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel
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class MockUniverseSelectionModel(FundamentalUniverseSelectionModel):
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def __init__(self):
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super().__init__(False)
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def SelectCoarse(self, algorithm, coarse):
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return [Symbol.Create('SPY', SecurityType.Equity, Market.USA)]";
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using (Py.GIL())
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{
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dynamic pyModel = PyModule.FromString(Guid.NewGuid().ToString(), code)
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.GetAttr("MockUniverseSelectionModel");
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var model = new UniverseSelectionModelPythonWrapper(pyModel());
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var universes = model.CreateUniverses(new QCAlgorithm()).ToList();
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Assert.AreEqual(1, universes.Count);
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var data = new BaseDataCollection();
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data.Add(new CoarseFundamental());
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var universe = universes.First();
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var symbols = universe.SelectSymbols(DateTime.Now, data).ToList();
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Assert.AreEqual(1, symbols.Count);
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var expected = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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var symbol = symbols.First();
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Assert.AreEqual(expected, symbol);
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}
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}
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[Test]
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public void PythonCanInheritFromFundamentalUniverseSelectionModelAndOverrideMethods()
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{
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var code = @"
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from AlgorithmImports import *
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class MockUniverseSelectionModel(FundamentalUniverseSelectionModel):
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def __init__(self):
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super().__init__()
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self.select_call_count = 0
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self.select_coarse_call_count = 0
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self.select_fine_call_count = 0
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self.create_coarse_call_count = 0
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def select(self, algorithm: QCAlgorithm, fundamental: list[Fundamental]) -> list[Symbol]:
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self.select_call_count += 1
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return [Futures.Metals.GOLD]
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def select_coarse(self, algorithm, coarse):
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self.select_coarse_call_count += 1
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self.select_coarse_called = True
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filtered = [c for c in coarse if c.price > 10]
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return [c.symbol for c in filtered[:2]]
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def select_fine(self, algorithm, fine):
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self.select_fine_call_count += 1
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self.select_fine_called = True
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return [f.symbol for f in fine[:2]]
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def create_coarse_fundamental_universe(self, algorithm):
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self.create_coarse_call_count += 1
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self.create_coarse_called = True
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return CoarseFundamentalUniverse(
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algorithm.universe_settings,
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self.custom_coarse_selector
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)
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def custom_coarse_selector(self, coarse):
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filtered = [c for c in coarse if c.has_fundamental_data]
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return [c.symbol for c in filtered[:5]]";
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using (Py.GIL())
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{
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dynamic pyModel = PyModule.FromString(Guid.NewGuid().ToString(), code)
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.GetAttr("MockUniverseSelectionModel");
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PyObject pyModelInstance = pyModel();
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var algorithm = new QCAlgorithm();
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var model = new FundamentalUniverseSelectionModel();
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model.SetPythonInstance(pyModelInstance);
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// call the create_universes method
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var universes = model.CreateUniverses(algorithm).ToList();
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var universe = universes.First();
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var selectedSymbols = universe.SelectSymbols(DateTime.Now, new BaseDataCollection()).ToList();
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int selectCount = pyModelInstance.GetAttr("select_call_count").As<int>();
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Assert.Greater(selectCount, 0);
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// call the select method
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model.Select(algorithm, new List<Fundamental>());
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selectCount = pyModelInstance.GetAttr("select_call_count").As<int>();
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Assert.Greater(selectCount, 1);
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// call the select_coarse method
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model.SelectCoarse(algorithm, new List<CoarseFundamental>());
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int selectCoarseCount = pyModelInstance.GetAttr("select_coarse_call_count").As<int>();
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Assert.Greater(selectCoarseCount, 0);
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// call the select_fine method
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model.SelectFine(algorithm, new List<FineFundamental>());
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int selectFineCount = pyModelInstance.GetAttr("select_fine_call_count").As<int>();
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Assert.Greater(selectFineCount, 0);
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// call the create_coarse_fundamental_universe method
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model.CreateCoarseFundamentalUniverse(algorithm);
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int createCoarseCount = pyModelInstance.GetAttr("create_coarse_call_count").As<int>();
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Assert.Greater(createCoarseCount, 0);
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}
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}
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[Test]
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public void PythonCanInheritFromBasePairsTradingAlphaModelAndOverrideMethods()
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{
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var code = @"
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from AlgorithmImports import *
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class MockPairsTradingAlphaModel(BasePairsTradingAlphaModel):
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def __init__(self):
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super().__init__()
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self.has_passed_test_call_count = 0
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def has_passed_test(self, algorithm, asset1, asset2):
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self.has_passed_test_call_count += 1
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return False";
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using (Py.GIL())
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{
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var pyModel = PyModule.FromString("test", code).GetAttr("MockPairsTradingAlphaModel");
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var pyInstance = pyModel.Invoke();
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var algorithm = new QCAlgorithm();
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var model = new BasePairsTradingAlphaModel();
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model.SetPythonInstance(pyInstance);
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var security1 = new Equity(
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Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash("USD", 1m, 1m),
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SymbolProperties.GetDefault("USD"),
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ErrorCurrencyConverter.Instance,
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache()
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);
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var security2 = new Equity(
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Symbols.AAPL,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash("USD", 1m, 1m),
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SymbolProperties.GetDefault("USD"),
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ErrorCurrencyConverter.Instance,
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache()
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);
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var changes = SecurityChanges.Create(
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new List<Security> { security1, security2 },
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new List<Security>(),
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new List<Security>(),
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new List<Security>()
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);
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model.OnSecuritiesChanged(new QCAlgorithm(), changes);
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int hasPassedTestCallCount = pyInstance.GetAttr("has_passed_test_call_count").As<int>();
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Assert.AreEqual(1, hasPassedTestCallCount);
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}
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}
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}
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}
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