chore: import upstream snapshot with attribution
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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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using System;
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using System.Collections.Generic;
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using System.Linq;
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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.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture]
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public class UniverseDefinitionsTests
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{
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void ETFOverloadsAreAllUsable(Language language)
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{
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var algorithm = new QCAlgorithm();
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var universeDefinitions = algorithm.Universe;
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var universeSettings = new UniverseSettings(Resolution.Minute, Security.NullLeverage, true, false, TimeSpan.FromDays(1));
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List<Universe> etfs = null;
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if (language == Language.CSharp)
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{
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etfs = new()
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{
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universeDefinitions.ETF("SPY"),
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universeDefinitions.ETF("SPY", Market.USA),
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universeDefinitions.ETF("SPY", Market.USA, universeSettings),
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universeDefinitions.ETF("SPY", Market.USA, universeSettings, Filter),
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universeDefinitions.ETF("SPY", Market.USA, universeFilterFunc: Filter),
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universeDefinitions.ETF("SPY", universeSettings: universeSettings),
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universeDefinitions.ETF("SPY", universeFilterFunc: Filter),
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universeDefinitions.ETF("SPY", universeSettings: universeSettings, universeFilterFunc: Filter),
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universeDefinitions.ETF(Symbols.SPY),
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universeDefinitions.ETF(Symbols.SPY, universeSettings),
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universeDefinitions.ETF(Symbols.SPY, universeFilterFunc: Filter),
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universeDefinitions.ETF(Symbols.SPY, universeSettings, Filter),
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};
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("testModule",
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@"
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from typing import List
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from AlgorithmImports import *
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def getETFs(algorithm: QCAlgorithm, symbol: Symbol, universeSettings: UniverseSettings) -> List[Universe]:
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universeDefinitions = algorithm.Universe;
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return [
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universeDefinitions.ETF('SPY'),
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universeDefinitions.ETF('SPY', Market.USA),
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universeDefinitions.ETF('SPY', Market.USA, universeSettings),
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universeDefinitions.ETF('SPY', Market.USA, universeSettings, filterETFs),
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universeDefinitions.ETF('SPY', Market.USA, universeFilterFunc=filterETFs),
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universeDefinitions.ETF('SPY', universeSettings, filterETFs),
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universeDefinitions.ETF('SPY', universeSettings=universeSettings),
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universeDefinitions.ETF('SPY', universeFilterFunc=filterETFs),
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universeDefinitions.ETF('SPY', universeSettings=universeSettings, universeFilterFunc=filterETFs),
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universeDefinitions.ETF(symbol),
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universeDefinitions.ETF(symbol, universeSettings),
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universeDefinitions.ETF(symbol, universeFilterFunc=filterETFs),
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universeDefinitions.ETF(symbol, universeSettings, filterETFs),
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]
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def filterETFs(constituents: List[ETFConstituentData]) -> List[Symbol]:
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return [x.Symbol for x in constituents]
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");
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var getETFs = testModule.GetAttr("getETFs");
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etfs = getETFs.Invoke(algorithm.ToPython(), Symbols.SPY.ToPython(), universeSettings.ToPython()).As<List<Universe>>();
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}
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}
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AssertETFConstituentsUniverses(etfs);
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void IndexOverloadsAreAllUsable(Language language)
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{
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var algorithm = new QCAlgorithm();
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var universeDefinitions = algorithm.Universe;
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var universeSettings = new UniverseSettings(Resolution.Minute, Security.NullLeverage, true, false, TimeSpan.FromDays(1));
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List<Universe> indexes = null;
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if (language == Language.CSharp)
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{
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indexes = new()
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{
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universeDefinitions.Index("SPY"),
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universeDefinitions.Index("SPY", Market.USA),
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universeDefinitions.Index("SPY", Market.USA, universeSettings),
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universeDefinitions.Index("SPY", Market.USA, universeSettings, Filter),
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universeDefinitions.Index("SPY", Market.USA, universeFilterFunc: Filter),
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universeDefinitions.Index("SPY", universeSettings: universeSettings),
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universeDefinitions.Index("SPY", universeFilterFunc: Filter),
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universeDefinitions.Index("SPY", universeSettings: universeSettings, universeFilterFunc: Filter),
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universeDefinitions.Index(Symbols.SPY),
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universeDefinitions.Index(Symbols.SPY, universeSettings),
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universeDefinitions.Index(Symbols.SPY, universeFilterFunc: Filter),
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universeDefinitions.Index(Symbols.SPY, universeSettings, Filter),
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};
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("testModule",
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@"
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from typing import List
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from AlgorithmImports import *
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def getIndexes(algorithm: QCAlgorithm, symbol: Symbol, universeSettings: UniverseSettings) -> List[Universe]:
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universeDefinitions = algorithm.Universe;
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return [
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universeDefinitions.Index('SPY'),
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universeDefinitions.Index('SPY', Market.USA),
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universeDefinitions.Index('SPY', Market.USA, universeSettings),
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universeDefinitions.Index('SPY', Market.USA, universeSettings, filterIndexes),
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universeDefinitions.Index('SPY', Market.USA, universeFilterFunc=filterIndexes),
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universeDefinitions.Index('SPY', universeSettings, filterIndexes),
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universeDefinitions.Index('SPY', universeSettings=universeSettings),
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universeDefinitions.Index('SPY', universeFilterFunc=filterIndexes),
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universeDefinitions.Index('SPY', universeSettings=universeSettings, universeFilterFunc=filterIndexes),
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universeDefinitions.Index(symbol),
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universeDefinitions.Index(symbol, universeSettings),
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universeDefinitions.Index(symbol, universeFilterFunc=filterIndexes),
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universeDefinitions.Index(symbol, universeSettings, filterIndexes),
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]
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def filterIndexes(constituents: List[ETFConstituentData]) -> List[Symbol]:
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return [x.Symbol for x in constituents]
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");
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var getIndexes = testModule.GetAttr("getIndexes");
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indexes = getIndexes.Invoke(algorithm.ToPython(), Symbols.SPY.ToPython(), universeSettings.ToPython()).As<List<Universe>>();
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}
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}
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AssertETFConstituentsUniverses(indexes);
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}
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private static void AssertETFConstituentsUniverses(List<Universe> universes)
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{
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CollectionAssert.AllItemsAreNotNull(universes, "Universes should not be null");
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CollectionAssert.AllItemsAreInstancesOfType(universes, typeof(ETFConstituentsUniverseFactory),
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"Universes should be of type ETFConstituentsUniverse");
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}
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private static IEnumerable<Symbol> Filter(IEnumerable<ETFConstituentUniverse> constituents)
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{
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return constituents.Select(x => x.Symbol);
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}
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}
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}
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