chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,198 @@
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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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using System;
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using System.Linq;
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using Python.Runtime;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Algorithm.Framework.Selection;
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using Moq;
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namespace QuantConnect.Tests.Algorithm.Framework.Selection
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{
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[TestFixture]
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public class ETFConstituentsUniverseSelectionModelTests
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{
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[TestCase("from Selection.ETFConstituentsUniverseSelectionModel import *", "Selection.ETFConstituentsUniverseSelectionModel.ETFConstituentsUniverseSelectionModel")]
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[TestCase("from QuantConnect.Algorithm.Framework.Selection import *", "QuantConnect.Algorithm.Framework.Selection.ETFConstituentsUniverseSelectionModel")]
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public void TestPythonAndCSharpImports(string importStatement, string expected)
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{
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using (Py.GIL())
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{
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dynamic module = PyModule.FromString("testModule",
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@$"{importStatement}
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class ETFConstituentsFrameworkAlgorithm(QCAlgorithm):
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def initialize(self):
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self.universe_settings.resolution = Resolution.DAILY
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symbol = Symbol.create('SPY', SecurityType.EQUITY, Market.USA)
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selection_model = ETFConstituentsUniverseSelectionModel(symbol, self.universe_settings, self.etf_constituents_filter)
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self.universe_type = str(type(selection_model))
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def etf_constituents_filter(self, constituents):
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return [c.symbol for c in constituents]");
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dynamic algorithm = module.GetAttr("ETFConstituentsFrameworkAlgorithm").Invoke();
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algorithm.initialize();
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string universeTypeStr = algorithm.universe_type.ToString();
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Assert.IsTrue(universeTypeStr.Contains(expected, StringComparison.InvariantCulture));
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}
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}
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[TestCase("'SPY'")]
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[TestCase("'SPY', None")]
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[TestCase("'SPY', None, None")]
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[TestCase("'SPY', self.universe_settings")]
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[TestCase("'SPY', self.universe_settings, None")]
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[TestCase("'SPY', None, self.etf_constituents_filter")]
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[TestCase("'SPY', self.universe_settings, self.etf_constituents_filter")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA)")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA), None, None")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA), self.universe_settings")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA), self.universe_settings, None")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA), None, self.etf_constituents_filter")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA), self.universe_settings, self.etf_constituents_filter")]
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[TestCase("Symbol.create('SPY', SecurityType.EQUITY, Market.USA), universe_filter_func=self.etf_constituents_filter")]
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public void ETFConstituentsUniverseSelectionModelWithVariousConstructor(string constructorParameters)
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{
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using (Py.GIL())
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{
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dynamic module = PyModule.FromString("testModule",
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@$"from AlgorithmImports import *
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from Selection.ETFConstituentsUniverseSelectionModel import *
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class ETFConstituentsFrameworkAlgorithm(QCAlgorithm):
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selection_model = None
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def initialize(self):
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self.universe_settings.resolution = Resolution.DAILY
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self.selection_model = ETFConstituentsUniverseSelectionModel({constructorParameters})
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def etf_constituents_filter(self, constituents):
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return [c.symbol for c in constituents]");
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dynamic algorithm = module.GetAttr("ETFConstituentsFrameworkAlgorithm").Invoke();
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algorithm.initialize();
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Assert.IsNotNull(algorithm.selection_model);
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Assert.IsTrue(algorithm.selection_model.etf_symbol.GetPythonType().ToString().Contains($"{nameof(Symbol)}", StringComparison.InvariantCulture));
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Assert.IsTrue(algorithm.selection_model.etf_symbol.ToString().Contains(Symbols.SPY, StringComparison.InvariantCulture));
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}
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}
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[TestCase("TSLA")]
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public void ETFConstituentsUniverseSelectionModelGetNoCachedSymbol(string ticker)
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{
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using (Py.GIL())
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{
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var etfAlgorithm = GetETFConstituentsFrameworkAlgorithm(ticker);
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etfAlgorithm.initialize();
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Assert.IsNotNull(etfAlgorithm.selection_model);
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Assert.IsTrue(etfAlgorithm.selection_model.etf_symbol.GetPythonType().ToString().Contains($"{nameof(Symbol)}", StringComparison.InvariantCulture));
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var etfSymbol = (Symbol)etfAlgorithm.selection_model.etf_symbol;
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Assert.IsTrue(etfSymbol.Value.Contains(ticker, StringComparison.InvariantCulture));
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Assert.IsTrue(etfSymbol.SecurityType == SecurityType.Equity);
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}
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}
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[TestCase("SPY", "CACHED")]
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public void ETFConstituentsUniverseSelectionModelGetCachedSymbol(string ticker, string expectedAlias)
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{
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using (Py.GIL())
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{
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var etfAlgorithm = GetETFConstituentsFrameworkAlgorithm(ticker);
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etfAlgorithm.initialize();
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Assert.IsNotNull(etfAlgorithm.selection_model);
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Assert.IsTrue(etfAlgorithm.selection_model.etf_symbol.GetPythonType().ToString().Contains($"{nameof(Symbol)}", StringComparison.InvariantCulture));
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var etfSymbol = (Symbol)etfAlgorithm.selection_model.etf_symbol;
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Assert.IsTrue(etfSymbol.Value.Contains(expectedAlias, StringComparison.InvariantCulture));
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Assert.IsTrue(etfSymbol.ID == Symbols.SPY.ID);
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Assert.IsTrue(etfSymbol.SecurityType == SecurityType.Equity);
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}
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}
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[Test]
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public void ETFConstituentsUniverseSelectionModelTestAllConstructor()
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{
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int numberOfOperation = 0;
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var ticker = "SPY";
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var symbol = Symbol.Create(ticker, SecurityType.Equity, Market.USA);
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var universeSettings = new UniverseSettings(Resolution.Minute, Security.NullLeverage, true, false, TimeSpan.FromDays(1));
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do
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{
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ETFConstituentsUniverseSelectionModel etfConstituents = numberOfOperation switch
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{
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0 => new ETFConstituentsUniverseSelectionModel(ticker),
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1 => new ETFConstituentsUniverseSelectionModel(ticker, universeSettings),
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2 => new ETFConstituentsUniverseSelectionModel(ticker, ETFConstituentsFilter),
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3 => new ETFConstituentsUniverseSelectionModel(ticker, universeSettings, ETFConstituentsFilter),
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4 => new ETFConstituentsUniverseSelectionModel(ticker, universeSettings, default(PyObject)),
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5 => new ETFConstituentsUniverseSelectionModel(symbol),
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6 => new ETFConstituentsUniverseSelectionModel(symbol, universeSettings),
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7 => new ETFConstituentsUniverseSelectionModel(symbol, ETFConstituentsFilter),
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8 => new ETFConstituentsUniverseSelectionModel(symbol, universeSettings, ETFConstituentsFilter),
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9 => new ETFConstituentsUniverseSelectionModel(symbol, universeSettings, default(PyObject)),
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_ => throw new ArgumentException("Not recognize number of operation")
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};
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var universe = etfConstituents.CreateUniverses(new QCAlgorithm()).First();
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Assert.IsNotNull(etfConstituents);
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Assert.IsNotNull(universe);
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Assert.IsTrue(universe.Configuration.Symbol.HasUnderlying);
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Assert.AreEqual(symbol, universe.Configuration.Symbol.Underlying);
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Assert.AreEqual(symbol.SecurityType, universe.Configuration.Symbol.SecurityType);
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Assert.IsTrue(universe.Configuration.Symbol.ID.Symbol.StartsWithInvariant("qc-universe-"));
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var data = new Mock<BaseDataCollection>();
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Assert.DoesNotThrow(() => universe.PerformSelection(DateTime.UtcNow, data.Object));
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} while (++numberOfOperation <= 9) ;
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}
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private IEnumerable<Symbol> ETFConstituentsFilter(IEnumerable<ETFConstituentUniverse> constituents)
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{
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return constituents.Select(c => c.Symbol);
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}
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private static dynamic GetETFConstituentsFrameworkAlgorithm(string etfTicker, string cachedAlias = "CACHED")
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{
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dynamic module = PyModule.FromString("testModule",
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@$"from AlgorithmImports import *
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from Selection.ETFConstituentsUniverseSelectionModel import *
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class ETFConstituentsFrameworkAlgorithm(QCAlgorithm):
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selection_model = None
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def initialize(self):
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SymbolCache.set('SPY', Symbol.create('SPY', SecurityType.EQUITY, Market.USA, '{cachedAlias}'))
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self.universe_settings.resolution = Resolution.DAILY
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self.selection_model = ETFConstituentsUniverseSelectionModel(""{etfTicker}"")"
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);
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dynamic algorithm = module.GetAttr("ETFConstituentsFrameworkAlgorithm").Invoke();
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return algorithm;
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}
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}
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}
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@@ -0,0 +1,45 @@
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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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using System;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Selection;
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namespace QuantConnect.Tests.Algorithm.Framework.Selection
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{
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[TestFixture]
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public class ManualUniverseSelectionModelTests
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{
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[Test]
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public void ExcludesCanonicalSymbols()
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{
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var symbols = new[]
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{
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Symbols.SPY,
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Symbol.CreateOption(Symbols.SPY, Market.USA, default(OptionStyle), default(OptionRight), 0m, SecurityIdentifier.DefaultDate, "?SPY")
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};
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var model = new ManualUniverseSelectionModel(symbols);
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var universe = model.CreateUniverses(new QCAlgorithm()).Single();
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var selectedSymbols = universe.SelectSymbols(default(DateTime), null).ToList();
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Assert.AreEqual(1, selectedSymbols.Count);
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Assert.AreEqual(Symbols.SPY, selectedSymbols[0]);
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Assert.IsFalse(selectedSymbols.Any(s => s.IsCanonical()));
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}
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}
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}
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@@ -0,0 +1,159 @@
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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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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Moq;
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using NodaTime;
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using NUnit.Framework;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Algorithm.Framework.Selection
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{
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[TestFixture]
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public class OpenInterestFutureUniverseSelectionModelTests
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{
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private static readonly Symbol Jan = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 01, 01));
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private static readonly Symbol Feb = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 02, 01));
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private static readonly Symbol March = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 03, 01));
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private static readonly Symbol April = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 04, 01));
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private static readonly DateTime TestDate = new DateTime(2020, 05, 11, 0, 0, 0, DateTimeKind.Utc);
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private static readonly DateTime ExpectedPreviousDate = new DateTime(2020, 05, 09, 20, 0, 0, DateTimeKind.Utc);
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private static readonly IReadOnlyDictionary<Symbol, decimal> OpenInterestData = new Dictionary<Symbol, decimal>
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{
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[Jan] = 3,
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[Feb] = 6,
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[March] = 3, // Same as Jan.
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[April] = 1
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};
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private static readonly MarketHoursDatabase.Entry MarketHours = MarketHoursDatabase.FromDataFolder().GetEntry(Jan.ID.Market, Jan, Jan.SecurityType);
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private Mock<IHistoryProvider> _mockHistoryProvider;
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private OpenInterestFutureUniverseSelectionModel _underTest;
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[Test]
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public void No_Open_Interest_Returns_Empty()
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{
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SetupSubject(OpenInterestData.Count, OpenInterestData.Count);
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>((r, tz) => new Slice[0])
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.Verifiable();
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var data = OpenInterestData.Keys.ToDictionary(x => x, x => MarketHours);
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var results = _underTest.FilterByOpenInterest(data).ToList();
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_mockHistoryProvider.Verify();
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Assert.IsEmpty(results);
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}
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[Test]
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public void Can_Sort_By_Open_Interest()
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{
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SetupSubject(OpenInterestData.Count, OpenInterestData.Count);
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>(
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(r, tz) =>
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{
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var requests = r.ToList();
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Assert.AreEqual(4, requests.Count);
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var slices = new List<Slice>(requests.Count);
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foreach (var request in requests)
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{
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Assert.NotNull(request.Symbol);
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Assert.AreEqual(typeof(Tick), request.DataType);
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Assert.AreEqual(DataNormalizationMode.Raw, request.DataNormalizationMode);
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Assert.AreEqual(ExpectedPreviousDate, request.StartTimeUtc);
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Assert.AreEqual(TestDate, request.EndTimeUtc);
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Assert.AreEqual(Resolution.Tick, request.Resolution);
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Assert.AreEqual(TickType.OpenInterest, request.TickType);
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Assert.AreEqual(tz, MarketHours.ExchangeHours.TimeZone);
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slices.Add(CreateReplySlice(request.Symbol, OpenInterestData[request.Symbol]));
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}
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return slices;
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}
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)
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.Verifiable();
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var data = OpenInterestData.Keys.ToDictionary(x => x, x => MarketHours);
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var results = _underTest.FilterByOpenInterest(data).ToList();
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// Results should be sorted by open interest (descending), and then by the date.
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_mockHistoryProvider.Verify();
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Assert.AreEqual(4, results.Count);
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Assert.AreEqual(Feb, results[0]);
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Assert.AreEqual(Jan, results[1]);
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Assert.AreEqual(March, results[2]);
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Assert.AreEqual(April, results[3]);
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}
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[Test]
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public void Can_Limit_Number_Of_Contracts()
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{
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SetupSubject(6, 4);
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var expected = Enumerable.Range(1, 4).Select(d => Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 01, d))).ToList();
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// Create 7 requests. Reverse the list so the order isn't correct, but remains consistent for tests.
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var data = expected.Concat(Enumerable.Range(5, 3).Select(d => Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 01, d))))
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.Reverse()
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.ToDictionary(x => x, _ => MarketHours);
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// 7 input requests, but the look-up should be limited to only 6.
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>((rq, tz) => rq.Select(r => CreateReplySlice(r.Symbol, 1)).ToArray());
|
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|
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// Run the test.
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var results = _underTest.FilterByOpenInterest(data).ToList();
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|
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// Verify the chain limit was applied.
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_mockHistoryProvider.Verify(x => x.GetHistory(It.Is<IEnumerable<HistoryRequest>>(r => r.Count() == 6), MarketHours.ExchangeHours.TimeZone), Times.Once);
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|
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// Verify the results.
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CollectionAssert.AreEqual(expected, results);
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void Limits_Do_Not_Need_To_Be_Provided()
|
||||
{
|
||||
SetupSubject(null, null);
|
||||
var startDate = new DateTime(2020, 01, 01);
|
||||
var items = Enumerable.Range(0, 100).ToDictionary(d => Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, startDate.AddDays(d)), _ => MarketHours);
|
||||
_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
|
||||
.Returns<IEnumerable<HistoryRequest>, DateTimeZone>((rq, tz) => rq.Select(r => CreateReplySlice(r.Symbol, 1)).ToArray());
|
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var results = _underTest.FilterByOpenInterest(items).ToList();
|
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_mockHistoryProvider.Verify(x => x.GetHistory(It.Is<IEnumerable<HistoryRequest>>(r => r.Count() == 100), MarketHours.ExchangeHours.TimeZone), Times.Once);
|
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Assert.AreEqual(items.Keys, results);
|
||||
}
|
||||
|
||||
private static Slice CreateReplySlice(Symbol symbol, decimal openInterest)
|
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{
|
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var ticks = new Ticks {{symbol, new List<Tick> {new OpenInterest(TestDate, symbol, openInterest)}}};
|
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return new Slice(TestDate, null, null, null, ticks, null, null, null, null, null, null, null, TestDate, true);
|
||||
}
|
||||
|
||||
private void SetupSubject(int? testChainContractLookupLimit, int? testResultsLimit)
|
||||
{
|
||||
_mockHistoryProvider = new Mock<IHistoryProvider>();
|
||||
|
||||
var mockAlgorithm = new Mock<IAlgorithm>();
|
||||
mockAlgorithm.SetupGet(x => x.HistoryProvider).Returns(_mockHistoryProvider.Object);
|
||||
mockAlgorithm.SetupGet(x => x.UtcTime).Returns(TestDate);
|
||||
_underTest = new OpenInterestFutureUniverseSelectionModel(mockAlgorithm.Object, _ => OpenInterestData.Keys, testChainContractLookupLimit, testResultsLimit);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,265 @@
|
||||
/*
|
||||
* 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;
|
||||
using QuantConnect.Algorithm.Framework.Selection;
|
||||
using QuantConnect.Data.Fundamental;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Tests.Common.Data.Fundamental;
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using static QuantConnect.Data.UniverseSelection.CoarseFundamentalDataProvider;
|
||||
|
||||
namespace QuantConnect.Tests.Algorithm.Framework.Selection
|
||||
{
|
||||
[TestFixture]
|
||||
public class QC500UniverseSelectionModelTests
|
||||
{
|
||||
private readonly Dictionary<char, string> _industryTemplateCodeDict =
|
||||
new Dictionary<char, string>
|
||||
{
|
||||
{'0', "B"}, {'1', "I"}, {'2', "M"}, {'3', "N"}, {'4', "T"}, {'5', "U"}
|
||||
};
|
||||
|
||||
private readonly List<Symbol> _symbols = Enumerable.Range(0, 6000)
|
||||
.Select(x => Symbol.Create($"{x:0000}", SecurityType.Equity, Market.USA))
|
||||
.ToList();
|
||||
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void FiltersUniverseCorrectlyWithValidData(Language language)
|
||||
{
|
||||
QCAlgorithm algorithm;
|
||||
Dictionary<DateTime, int> coarseCountByDateTime;
|
||||
Dictionary<DateTime, int> fineCountByDateTime;
|
||||
|
||||
RunSimulation(language,
|
||||
(symbol, time) => new CoarseFundamentalSource
|
||||
{
|
||||
Symbol = symbol,
|
||||
EndTime = time,
|
||||
Value = 100,
|
||||
VolumeSetter = 1000,
|
||||
DollarVolumeSetter = 100000 * double.Parse(symbol.Value.Substring(3)),
|
||||
HasFundamentalDataSetter = true
|
||||
},
|
||||
(symbol, time) => new FineFundamental(time, symbol)
|
||||
{
|
||||
Value = 100
|
||||
},
|
||||
new TestFundamentalDataProvider(_industryTemplateCodeDict),
|
||||
out algorithm,
|
||||
out coarseCountByDateTime,
|
||||
out fineCountByDateTime);
|
||||
|
||||
var months = (algorithm.EndDate - algorithm.StartDate).Days / 30;
|
||||
// Universe Changed 4 times
|
||||
Assert.AreEqual(months, coarseCountByDateTime.Count);
|
||||
Assert.AreEqual(months, fineCountByDateTime.Count);
|
||||
// Universe Changed on the 1st. Coarse returned 1000 and Fine 500
|
||||
Assert.IsTrue(coarseCountByDateTime.All(kvp => kvp.Key.Day == 1 && kvp.Value == 1000));
|
||||
Assert.IsTrue(fineCountByDateTime.All(kvp => kvp.Key.Day == 1 && kvp.Value == 500));
|
||||
}
|
||||
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void DoesNotFilterUniverseWithCoarseDataHasFundamentalFalse(Language language)
|
||||
{
|
||||
QCAlgorithm algorithm;
|
||||
Dictionary<DateTime, int> coarseCountByDateTime;
|
||||
Dictionary<DateTime, int> fineCountByDateTime;
|
||||
|
||||
RunSimulation(language,
|
||||
(symbol, time) => new CoarseFundamentalSource
|
||||
{
|
||||
Symbol = symbol,
|
||||
EndTime = time,
|
||||
},
|
||||
(symbol, time) => new FineFundamental(time, symbol),
|
||||
new TestFundamentalDataProvider(_industryTemplateCodeDict),
|
||||
out algorithm,
|
||||
out coarseCountByDateTime,
|
||||
out fineCountByDateTime); ;
|
||||
|
||||
// No Universe Changes
|
||||
Assert.AreEqual(0, coarseCountByDateTime.Count);
|
||||
Assert.AreEqual(0, fineCountByDateTime.Count);
|
||||
}
|
||||
|
||||
[TestCase(Language.CSharp)]
|
||||
[TestCase(Language.Python)]
|
||||
public void DoesNotFilterUniverseWithInvalidFineData(Language language)
|
||||
{
|
||||
QCAlgorithm algorithm;
|
||||
Dictionary<DateTime, int> coarseCountByDateTime;
|
||||
Dictionary<DateTime, int> fineCountByDateTime;
|
||||
|
||||
RunSimulation(language,
|
||||
(symbol, time) => new CoarseFundamentalSource
|
||||
{
|
||||
Symbol = symbol,
|
||||
EndTime = time,
|
||||
Value = 100,
|
||||
VolumeSetter = 1000,
|
||||
DollarVolumeSetter = 100000 * double.Parse(symbol.Value.Substring(3)),
|
||||
HasFundamentalDataSetter = true
|
||||
},
|
||||
(symbol, time) => new FineFundamental(time, symbol)
|
||||
{
|
||||
Value = 100
|
||||
},
|
||||
new NullFundamentalDataProvider(),
|
||||
out algorithm,
|
||||
out coarseCountByDateTime,
|
||||
out fineCountByDateTime);
|
||||
|
||||
// Coarse Fundamental called every day.
|
||||
Assert.Greater(coarseCountByDateTime.Count, 4);
|
||||
Assert.IsTrue(coarseCountByDateTime.All(kvp => kvp.Value == 1000));
|
||||
// No Universe Changes
|
||||
Assert.AreEqual(0, fineCountByDateTime.Count);
|
||||
}
|
||||
|
||||
private void RunSimulation(Language language,
|
||||
Func<Symbol, DateTime, CoarseFundamental> getCoarseFundamental,
|
||||
Func<Symbol, DateTime, FineFundamental> getFineFundamental,
|
||||
IFundamentalDataProvider fundamentalDataProvider,
|
||||
out QCAlgorithm algorithm,
|
||||
out Dictionary<DateTime, int> coarseCountByDateTime,
|
||||
out Dictionary<DateTime, int> fineCountByDateTime)
|
||||
{
|
||||
algorithm = new QCAlgorithm();
|
||||
algorithm.SetStartDate(2019, 10, 1);
|
||||
algorithm.SetEndDate(2020, 1, 30);
|
||||
algorithm.SetDateTime(algorithm.StartDate.AddHours(6));
|
||||
|
||||
FundamentalService.Initialize(TestGlobals.DataProvider, fundamentalDataProvider, false);
|
||||
|
||||
coarseCountByDateTime = new Dictionary<DateTime, int>();
|
||||
fineCountByDateTime = new Dictionary<DateTime, int>();
|
||||
|
||||
Func<QCAlgorithm, IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> SelectCoarse;
|
||||
Func<QCAlgorithm, IEnumerable<FineFundamental>, IEnumerable<Symbol>> SelectFine;
|
||||
GetUniverseSelectionModel(language, out SelectCoarse, out SelectFine);
|
||||
|
||||
while (algorithm.EndDate > algorithm.UtcTime)
|
||||
{
|
||||
var time = algorithm.UtcTime;
|
||||
|
||||
var coarse = _symbols.Select(x => getCoarseFundamental(x, time));
|
||||
|
||||
var selectSymbolsResult = SelectCoarse(algorithm, coarse);
|
||||
|
||||
if (!ReferenceEquals(selectSymbolsResult, Universe.Unchanged))
|
||||
{
|
||||
coarseCountByDateTime[time] = selectSymbolsResult.Count();
|
||||
|
||||
var fine = selectSymbolsResult.Select(x => getFineFundamental(x, time));
|
||||
|
||||
selectSymbolsResult = SelectFine(algorithm, fine);
|
||||
if (!ReferenceEquals(selectSymbolsResult, Universe.Unchanged))
|
||||
{
|
||||
fineCountByDateTime[time] = selectSymbolsResult.Count();
|
||||
}
|
||||
}
|
||||
|
||||
algorithm.SetDateTime(time.AddDays(1));
|
||||
}
|
||||
}
|
||||
|
||||
private void GetUniverseSelectionModel(
|
||||
Language language,
|
||||
out Func<QCAlgorithm, IEnumerable<CoarseFundamental>, IEnumerable<Symbol>> SelectCoarse,
|
||||
out Func<QCAlgorithm, IEnumerable<FineFundamental>, IEnumerable<Symbol>> SelectFine)
|
||||
{
|
||||
if (language == Language.CSharp)
|
||||
{
|
||||
var model = new QC500UniverseSelectionModel();
|
||||
SelectCoarse = model.SelectCoarse;
|
||||
SelectFine = model.SelectFine;
|
||||
return;
|
||||
}
|
||||
|
||||
using (Py.GIL())
|
||||
{
|
||||
var name = "QC500UniverseSelectionModel";
|
||||
dynamic model = Py.Import(name).GetAttr(name).Invoke();
|
||||
SelectCoarse = ConvertToUniverseSelectionSymbolDelegate<IEnumerable<CoarseFundamental>>(model.select_coarse);
|
||||
SelectFine = ConvertToUniverseSelectionSymbolDelegate<IEnumerable<FineFundamental>>(model.select_fine);
|
||||
}
|
||||
}
|
||||
|
||||
public static Func<QCAlgorithm, T, IEnumerable<Symbol>> ConvertToUniverseSelectionSymbolDelegate<T>(PyObject pySelector)
|
||||
{
|
||||
Func<QCAlgorithm, T, object> selector;
|
||||
pySelector.TrySafeAs(out selector);
|
||||
|
||||
return (algorithm, data) =>
|
||||
{
|
||||
var result = selector(algorithm, data);
|
||||
return ReferenceEquals(result, Universe.Unchanged)
|
||||
? Universe.Unchanged
|
||||
: ((object[])result).Select(x => (Symbol)x);
|
||||
};
|
||||
}
|
||||
|
||||
private class TestFundamentalDataProvider : IFundamentalDataProvider
|
||||
{
|
||||
private readonly Dictionary<char, string> _industryTemplateCodeDict;
|
||||
|
||||
public TestFundamentalDataProvider(Dictionary<char, string> industryTemplateCodeDict)
|
||||
{
|
||||
_industryTemplateCodeDict = industryTemplateCodeDict;
|
||||
}
|
||||
public T Get<T>(DateTime time, SecurityIdentifier securityIdentifier, FundamentalProperty name)
|
||||
{
|
||||
if (securityIdentifier == SecurityIdentifier.Empty)
|
||||
{
|
||||
return default;
|
||||
}
|
||||
return Get(time, securityIdentifier, name);
|
||||
}
|
||||
|
||||
private dynamic Get(DateTime time, SecurityIdentifier securityIdentifier, FundamentalProperty enumName)
|
||||
{
|
||||
var name = Enum.GetName(enumName);
|
||||
switch (name)
|
||||
{
|
||||
case "CompanyProfile_MarketCap":
|
||||
return 500000001;
|
||||
case "SecurityReference_IPODate":
|
||||
return time.AddDays(-200);
|
||||
case "EarningReports_BasicAverageShares_ThreeMonths":
|
||||
return 5000000.01d;
|
||||
case "CompanyReference_CountryId":
|
||||
return "USA";
|
||||
case "CompanyReference_PrimaryExchangeID":
|
||||
return "NYS";
|
||||
case "CompanyReference_IndustryTemplateCode":
|
||||
return _industryTemplateCodeDict[securityIdentifier.Symbol[0]];
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
public void Initialize(IDataProvider dataProvider, bool liveMode)
|
||||
{
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user