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 +1,76 @@
+/*
+ * 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 aaplicable 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.Portfolio;
+using System;
+
+namespace QuantConnect.Tests.Algorithm.Framework.Portfolio;
+
+[TestFixture]
+public class PortfolioOptimizerPythonWrapperTests
+{
+    [Test]
+    public void OptimizeIsCalled()
+    {
+        using (Py.GIL())
+        {
+            var module = PyModule.FromString(Guid.NewGuid().ToString(),
+                    @$"
+from AlgorithmImports import *
+
+class CustomPortfolioOptimizer:
+    def __init__(self):
+        self.OptimizeWasCalled = False
+
+    def Optimize(self, historicalReturns, expectedReturns = None, covariance = None):
+        self.OptimizeWasCalled= True");
+                
+            var pyCustomOptimizer = module.GetAttr("CustomPortfolioOptimizer").Invoke();
+            var wrapper = new PortfolioOptimizerPythonWrapper(pyCustomOptimizer);
+            var historicalReturns = new double[,] { { -0.50, -0.13 }, { 0.81, 0.31 }, { -0.02, 0.01 } };
+
+            wrapper.Optimize(historicalReturns);
+            pyCustomOptimizer
+                .GetAttr("OptimizeWasCalled")
+                .TryConvert(out bool optimizerWasCalled);
+
+            Assert.IsTrue(optimizerWasCalled);
+        }
+    }
+
+    [Test]
+    public void WrapperThrowsIfOptimizerDoesNotImplementInterface()
+    {
+        using (Py.GIL())
+        {
+            var module = PyModule.FromString(Guid.NewGuid().ToString(),
+                    @$"
+from AlgorithmImports import *
+
+class CustomPortfolioOptimizer:
+    def __init__(self):
+        self.OptimizeWasCalled = False
+
+    def Calculate(self, historicalReturns, expectedReturns = None, covariance = None):
+        pass");
+
+            var pyCustomOptimizer = module.GetAttr("CustomPortfolioOptimizer").Invoke();
+
+            Assert.Throws<NotImplementedException>(() => new PortfolioOptimizerPythonWrapper(pyCustomOptimizer));
+        }
+    }
+}