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
@@ -0,0 +1,167 @@
+/*
+ * 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 System;
+using System.Linq;
+using NUnit.Framework;
+using Python.Runtime;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Data.Market;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Tests.Common.Data.UniverseSelection;
+using QuantConnect.Tests.Engine.DataFeeds;
+
+namespace QuantConnect.Tests.Algorithm.Framework.Portfolio
+{
+    [TestFixture]
+    public class PortfolioConstructionModelPythonWrapperTests
+    {
+        [Test]
+        public void PythonCompleteImplementation()
+        {
+            var algorithm = new AlgorithmStub();
+
+            using (Py.GIL())
+            {
+                dynamic model = PyModule.FromString(
+                    "TestPCM",
+                    @"
+from AlgorithmImports import *
+
+class PyPCM(EqualWeightingPortfolioConstructionModel):
+    def __init__(self):
+        super().__init__()
+        self.CreateTargets_WasCalled = False
+        self.OnSecuritiesChanged_WasCalled = False
+        self.ShouldCreateTargetForInsight_WasCalled = False
+        self.IsRebalanceDue_WasCalled = False
+        self.GetTargetInsights_WasCalled = False
+        self.DetermineTargetPercent_WasCalled = False
+
+    def CreateTargets(self, algorithm, insights):
+        self.CreateTargets_WasCalled = True
+        return super().CreateTargets(algorithm, insights)
+
+    def OnSecuritiesChanged(self, algorithm, changes):
+        self.OnSecuritiesChanged_WasCalled = True
+        super().OnSecuritiesChanged(algorithm, changes)
+
+    def ShouldCreateTargetForInsight(self, insight):
+        self.ShouldCreateTargetForInsight_WasCalled = True
+        return super().ShouldCreateTargetForInsight(insight)
+
+    def IsRebalanceDue(self, insights, algorithmUtc):
+        self.IsRebalanceDue_WasCalled = True
+        return True
+
+    def GetTargetInsights(self):
+        self.GetTargetInsights_WasCalled = True
+        return super().GetTargetInsights()
+
+    def DetermineTargetPercent(self, activeInsights):
+        self.DetermineTargetPercent_WasCalled = True
+        return super().DetermineTargetPercent(activeInsights)
+"
+                ).GetAttr("PyPCM").Invoke();
+                var now = new DateTime(2020, 1, 10);
+                var wrappedModel = new PortfolioConstructionModelPythonWrapper(model);
+                var aapl = algorithm.AddEquity("AAPL");
+                aapl.SetMarketPrice(new Tick(now, aapl.Symbol, 10, 10));
+                algorithm.SetDateTime(now);
+
+                wrappedModel.OnSecuritiesChanged(algorithm, new SecurityChanges(SecurityChangesTests.AddedNonInternal(aapl)));
+                Assert.IsTrue((bool)model.OnSecuritiesChanged_WasCalled);
+
+                var insight = new Insight(now, aapl.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Down, null, null);
+                algorithm.Insights.Add(insight);
+                var result = wrappedModel.CreateTargets(algorithm, new[] { insight }).ToList();
+                Assert.AreEqual(1, result.Count);
+                Assert.IsTrue((bool)model.CreateTargets_WasCalled);
+                Assert.IsTrue((bool)model.GetTargetInsights_WasCalled);
+                Assert.IsTrue((bool)model.IsRebalanceDue_WasCalled);
+                Assert.IsTrue((bool)model.ShouldCreateTargetForInsight_WasCalled);
+                Assert.IsTrue((bool)model.DetermineTargetPercent_WasCalled);
+            }
+        }
+
+        [Test]
+        public void PythonDoesNotImplementDetermineTargetPercent()
+        {
+            var algorithm = new AlgorithmStub();
+
+            using (Py.GIL())
+            {
+                dynamic model = PyModule.FromString(
+                    "TestPCM",
+                    @"
+
+from clr import AddReference
+AddReference(""QuantConnect.Algorithm.Framework"")
+
+from QuantConnect.Algorithm.Framework.Portfolio import *
+
+class PyPCM(EqualWeightingPortfolioConstructionModel):
+    def __init__(self):
+        super().__init__()
+        self.CreateTargets_WasCalled = False
+        self.OnSecuritiesChanged_WasCalled = False
+        self.ShouldCreateTargetForInsight_WasCalled = False
+        self.IsRebalanceDue_WasCalled = False
+        self.GetTargetInsights_WasCalled = False
+
+    def CreateTargets(self, algorithm, insights):
+        self.CreateTargets_WasCalled = True
+        return super().CreateTargets(algorithm, insights)
+
+    def OnSecuritiesChanged(self, algorithm, changes):
+        self.OnSecuritiesChanged_WasCalled = True
+        super().OnSecuritiesChanged(algorithm, changes)
+
+    def ShouldCreateTargetForInsight(self, insight):
+        self.ShouldCreateTargetForInsight_WasCalled = True
+        return super().ShouldCreateTargetForInsight(insight)
+
+    def IsRebalanceDue(self, insights, algorithmUtc):
+        self.IsRebalanceDue_WasCalled = True
+        return True
+
+    def GetTargetInsights(self):
+        self.GetTargetInsights_WasCalled = True
+        return super().GetTargetInsights()
+"
+                ).GetAttr("PyPCM").Invoke();
+
+                var now = new DateTime(2020, 1, 10);
+                var wrappedModel = new PortfolioConstructionModelPythonWrapper(model);
+                var aapl = algorithm.AddEquity("AAPL");
+                aapl.SetMarketPrice(new Tick(now, aapl.Symbol, 10, 10));
+                algorithm.SetDateTime(now);
+
+                wrappedModel.OnSecuritiesChanged(algorithm, new SecurityChanges(SecurityChangesTests.AddedNonInternal(aapl)));
+                Assert.IsTrue((bool)model.OnSecuritiesChanged_WasCalled);
+
+                var insight = new Insight(now, aapl.Symbol, TimeSpan.FromDays(1), InsightType.Price, InsightDirection.Down, null, null);
+                algorithm.Insights.Add(insight);
+                var result = wrappedModel.CreateTargets(algorithm, new[] { insight }).ToList();
+                Assert.AreEqual(1, result.Count);
+                Assert.IsTrue((bool)model.CreateTargets_WasCalled);
+                Assert.IsTrue((bool)model.GetTargetInsights_WasCalled);
+                Assert.IsTrue((bool)model.IsRebalanceDue_WasCalled);
+                Assert.IsTrue((bool)model.ShouldCreateTargetForInsight_WasCalled);
+            }
+        }
+    }
+}