chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,346 @@
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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 NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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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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namespace QuantConnect.Tests.Common.Util
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{
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[TestFixture]
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public class PythonUtilTests
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{
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[TestCase(false)]
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[TestCase(true)]
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public void ToActionFailure(bool typeAnnotations)
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{
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using (Py.GIL())
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{
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var action = PyModule.FromString("ToAction", @"
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from AlgorithmImports import *
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def Test1():
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pass
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def Test2() -> None:
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pass
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");
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var testMethod = action.GetAttr(typeAnnotations ? "Test2" : "Test1");
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var result = PythonUtil.ToAction<SecurityType>(testMethod);
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Assert.IsNull(result);
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}
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}
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[TestCase(false)]
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[TestCase(true)]
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public void ToActionSuccess(bool typeAnnotations)
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{
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using (Py.GIL())
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{
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var action = PyModule.FromString("ToAction", @"
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from AlgorithmImports import *
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def Test1(securityType):
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if securityType != SecurityType.Equity:
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raise ValueError('Unexpected SecurityType!')
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def Test2(securityType: SecurityType) -> None:
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if securityType != SecurityType.Equity:
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raise ValueError('Unexpected SecurityType!')
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");
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var testMethod = action.GetAttr(typeAnnotations ? "Test2" : "Test1");
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var result = PythonUtil.ToAction<SecurityType>(testMethod);
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Assert.IsNotNull(action);
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Assert.DoesNotThrow(() => result(SecurityType.Equity));
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}
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}
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[Test]
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public void ConvertToSymbolsTest()
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{
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var expected = new List<Symbol>
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{
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Symbol.Create("AIG", SecurityType.Equity, Market.USA),
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Symbol.Create("BAC", SecurityType.Equity, Market.USA),
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Symbol.Create("IBM", SecurityType.Equity, Market.USA),
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Symbol.Create("GOOG", SecurityType.Equity, Market.USA)
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};
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using (Py.GIL())
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{
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// Test Python String
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using var pyString = new PyString("AIG");
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var test1 = PythonUtil.ConvertToSymbols(pyString);
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Assert.IsTrue(typeof(List<Symbol>) == test1.GetType());
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Assert.AreEqual(expected.FirstOrDefault(), test1.FirstOrDefault());
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// Test Python List of Strings
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var list = (new List<string> { "AIG", "BAC", "IBM", "GOOG" }).ToPyList();
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var test2 = PythonUtil.ConvertToSymbols(list);
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Assert.IsTrue(typeof(List<Symbol>) == test2.GetType());
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Assert.IsTrue(test2.SequenceEqual(expected));
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// Test Python Symbol
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var test3 = PythonUtil.ConvertToSymbols(expected.FirstOrDefault().ToPython());
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Assert.IsTrue(typeof(List<Symbol>) == test3.GetType());
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Assert.AreEqual(expected.FirstOrDefault(), test3.FirstOrDefault());
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// Test Python List of Symbols
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var test4 = PythonUtil.ConvertToSymbols(expected.ToPyList());
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Assert.IsTrue(typeof(List<Symbol>) == test4.GetType());
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Assert.IsTrue(test4.SequenceEqual(expected));
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}
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}
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[TestCase("SyntaxError : invalid syntax (BasicTemplateAlgorithm.py, line 33)", "SyntaxError : invalid syntax (BasicTemplateAlgorithm.py, line 32)", 1)]
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[TestCase("SyntaxError : invalid syntax (BasicTemplateAlgorithm.py, line 1)", "SyntaxError : invalid syntax (BasicTemplateAlgorithm.py, line 32)", -31)]
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[TestCase("NameError : name 's' is not defined", "NameError : name 's' is not defined", -31)]
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public void ParsesPythonExceptionMessage(string expected, string original, int shift)
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{
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var originalShiftValue = PythonUtil.ExceptionLineShift;
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PythonUtil.ExceptionLineShift = shift;
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var result = PythonUtil.PythonExceptionMessageParser(original);
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PythonUtil.ExceptionLineShift = originalShiftValue;
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Assert.AreEqual(expected, result);
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}
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[TestCase(@"
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at Initialize
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s
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===
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in BasicTemplateAlgorithm.py: line 20
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",
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@" File ""D:/QuantConnect/MyLean/Lean/Algorithm.Python\BasicTemplateAlgorithm.py"", line 30, in Initialize
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s
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===
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at Python.Runtime.PyObject.Invoke(PyTuple args, PyDict kw)
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at Python.Runtime.PyObject.InvokeMethod(String name, PyTuple args, PyDict kw)
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at Python.Runtime.PyObject.TryInvokeMember(InvokeMemberBinder binder, Object[] args, Object& result)
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at CallSite.Target(Closure , CallSite , Object )
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at System.Dynamic.UpdateDelegates.UpdateAndExecuteVoid1[T0](CallSite site, T0 arg0)
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at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.Initialize() in D:\QuantConnect\MyLean\Lean\AlgorithmFactory\Python\Wrappers\AlgorithmPythonWrapper.cs:line 528
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at QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.<>c__DisplayClass27_0.<Setup>b__0() in D:\QuantConnect\MyLean\Lean\Engine\Setup\BacktestingSetupHandler.cs:line 186",
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-10)]
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[TestCase(@"
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at Initialize
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self.SetEndDate(201, 1)
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===
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in BasicTemplateAlgorithm.py: line 40
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",
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@" File ""D:/QuantConnect/MyLean/Lean/Algorithm.Python\BasicTemplateAlgorithm.py"", line 30, in Initialize
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self.SetEndDate(201, 1)
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===
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at Python.Runtime.PyObject.Invoke(PyTuple args, PyDict kw)
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at Python.Runtime.PyObject.InvokeMethod(String name, PyTuple args, PyDict kw)
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at Python.Runtime.PyObject.TryInvokeMember(InvokeMemberBinder binder, Object[] args, Object& result)
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at CallSite.Target(Closure , CallSite , Object )
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at System.Dynamic.UpdateDelegates.UpdateAndExecuteVoid1[T0](CallSite site, T0 arg0)
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at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.Initialize() in D:\QuantConnect\MyLean\Lean\AlgorithmFactory\Python\Wrappers\AlgorithmPythonWrapper.cs:line 528
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at QuantConnect.Lean.Engine.Setup.BacktestingSetupHandler.<>c__DisplayClass27_0.<Setup>b__0() in D:\QuantConnect\MyLean\Lean\Engine\Setup\BacktestingSetupHandler.cs:line 186",
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10)]
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[TestCase(@"
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at <module>
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class BasicTemplateAlgorithm(QCAlgorithm):
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in BasicTemplateAlgorithm.py: line 23
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",
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@" File ""D:/QuantConnect/MyLean/Lean/Algorithm.Python\BasicTemplateAlgorithm.py"", line 23, in <module>
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class BasicTemplateAlgorithm(QCAlgorithm):
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at Python.Runtime.PythonException.ThrowLastAsClrException()
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at Python.Runtime.NewReferenceExtensions.BorrowOrThrow(NewReference& reference)
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at Python.Runtime.PyModule.Import(String name)
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at Python.Runtime.Py.Import(String name)
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at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper..ctor(String moduleName) in D:\QuantConnect\MyLean\Lean\AlgorithmFactory\Python\Wrappers\AlgorithmPythonWrapper.cs:line 74",
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0)]
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[TestCase(@"
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at wrapped_function
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raise KeyError(f""No key found for either mapped or original key. Mapped Key: {mKey}; Original Key: {oKey}"")
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in PandasMapper.py: line 76
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at HistoryCall
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history.loc['QQQ'] # <--- raises Key Error
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in TestAlgorithm.py: line 27
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at OnData
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self.HistoryCall()
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in TestAlgorithm.py: line 23
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",
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@" File ""/home/user/QuantConnect/Lean/Launcher/bin/Debug/PandasMapper.py"", line 76, in wrapped_function
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raise KeyError(f""No key found for either mapped or original key. Mapped Key: {mKey}; Original Key: {oKey}"")
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File ""/home/user/QuantConnect/Lean/Algorithm.Python/TestAlgorithm.py"", line 27, in HistoryCall
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history.loc['QQQ'] # <--- raises Key Error
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File ""/home/user/QuantConnect/Lean/Algorithm.Python/TestAlgorithm.py"", line 23, in OnData
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self.HistoryCall()
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at Python.Runtime.PythonException.ThrowLastAsClrException()
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at Python.Runtime.PyObject.Invoke(PyTuple args, PyDict kw)
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at Python.Runtime.PyObject.TryInvoke(InvokeBinder binder, Object[] args, Object& result)
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at CallSite.Target(Closure , CallSite , Object , PythonSlice )
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at System.Dynamic.UpdateDelegates.UpdateAndExecuteVoid2[T0,T1](CallSite site, T0 arg0, T1 arg1)
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at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.OnData(Slice slice) in /home/user/QuantConnect/Lean/AlgorithmFactory/Python/Wrappers/AlgorithmPythonWrapper.cs:line 587
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at QuantConnect.Lean.Engine.AlgorithmManager.Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer synchronizer, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager, IAlphaHandler alphas, CancellationToken token) in /home/user/QuantConnect/Lean/Engine/AlgorithmManager.cs:line 523",
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0)]
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[TestCase(@"
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at OnData
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raise ValueError(""""ASD"""")
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in BasicTemplateAlgorithm.py: line 43
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",
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@" File ""D:\QuantConnect/MyLean/Lean/Algorithm.Python\BasicTemplateAlgorithm.py"", line 43, in OnData
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raise ValueError(""""ASD"""")
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at Python.Runtime.PythonException.ThrowLastAsClrException() in D:\QuantConnect\MyLean\pythonnet\src\runtime\PythonException.cs:line 52
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at Python.Runtime.PyObject.Invoke(PyTuple args, PyDict kw) in D:\QuantConnect\MyLean\pythonnet\src\runtime\PythonTypes\PyObject.cs:line 837
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at Python.Runtime.PyObject.TryInvoke(InvokeBinder binder, Object[] args, Object& result) in D:\QuantConnect\MyLean\pythonnet\src\runtime\PythonTypes\PyObject.cs:line 1320
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at CallSite.Target(Closure , CallSite , Object , PythonSlice )
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at System.Dynamic.UpdateDelegates.UpdateAndExecuteVoid2[T0,T1](CallSite site, T0 arg0, T1 arg1)
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at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.OnData(Slice slice) in D:\QuantConnect\MyLean\Lean\AlgorithmFactory\Python\Wrappers\AlgorithmPythonWrapper.cs:line 693
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at QuantConnect.Lean.Engine.AlgorithmManager.Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer synchronizer, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager, CancellationToken token) in D:\QuantConnect\MyLean\Lean\Engine\AlgorithmManager.cs:line 526",
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0)]
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[TestCase(@"
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at on_data
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self.set_holdings(""SPY"", 1 / None)
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~~^~~~~~
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in BasicTemplateAlgorithm.py: line 46
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",
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@" File ""C:\Users/user/QuantConnect/Lean/Algorithm.Python\BasicTemplateAlgorithm.py"", line 46, in on_data
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self.set_holdings(""SPY"", 1 / None)
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~~^~~~~~
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at Python.Runtime.PythonException.ThrowLastAsClrException()
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at Python.Runtime.PyObject.Invoke(PyTuple args, PyDict kw)
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at Python.Runtime.PyObject.TryInvoke(InvokeBinder binder, Object[] args, Object& result)
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at CallSite.Target(Closure , CallSite , Object , Slice )
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at System.Dynamic.UpdateDelegates.UpdateAndExecuteVoid2[T0,T1](CallSite site, T0 arg0, T1 arg1)
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at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.OnData(Slice slice) in C:\Users\user\QuantConnect\Lean\AlgorithmFactory\Python\Wrappers\AlgorithmPythonWrapper.cs:line 759
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at QuantConnect.Lean.Engine.AlgorithmManager.Run(AlgorithmNodePacket job, IAlgorithm algorithm, ISynchronizer synchronizer, ITransactionHandler transactions, IResultHandler results, IRealTimeHandler realtime, ILeanManager leanManager, CancellationToken token) in C:\Users\user\QuantConnect\Lean\Engine\AlgorithmManager.cs:line 524",
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0)]
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public void ParsesPythonExceptionStackTrace(string expected, string original, int shift)
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{
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var originalShiftValue = PythonUtil.ExceptionLineShift;
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PythonUtil.ExceptionLineShift = shift;
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var result = PythonUtil.PythonExceptionStackParser(original);
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PythonUtil.ExceptionLineShift = originalShiftValue;
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Assert.AreEqual(expected, result);
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}
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[TestCase(true)]
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[TestCase(false)]
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public void BothInheritedAndNonInheritedClassesWork(bool inherited)
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{
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using (Py.GIL())
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{
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string pythonCode = @"
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from AlgorithmImports import *
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class PurePythonBuyingPowerModel:
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def GetMaximumOrderQuantityForTargetBuyingPower(self, parameters):
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return GetMaximumOrderQuantityResult(100)
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def GetMaximumOrderQuantityForDeltaBuyingPower(self, parameters):
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return GetMaximumOrderQuantityResult(200)
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def HasSufficientBuyingPowerForOrder(self, parameters):
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return HasSufficientBuyingPowerForOrderResult(True)
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def GetReservedBuyingPowerForPosition(self, parameters):
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return ReservedBuyingPowerForPosition(0)
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def GetLeverage(self, security):
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return 1.0
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def GetBuyingPower(self, parameters):
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return BuyingPower(1000)
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def SetLeverage(self, security, leverage):
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pass
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def GetMaintenanceMargin(self, parameters):
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return None
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def GetInitialMarginRequirement(self, parameters):
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return None
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def GetInitialMarginRequiredForOrder(self, parameters):
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return None
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class InheritedBuyingPowerModel(SecurityMarginModel):
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def GetMaximumOrderQuantityForTargetBuyingPower(self, parameters):
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return GetMaximumOrderQuantityResult(200)
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";
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var module = PyModule.FromString("TestModels", pythonCode);
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PyObject pyObject = null;
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if (inherited)
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{
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pyObject = module.GetAttr("InheritedBuyingPowerModel").Invoke();
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}
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else
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{
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pyObject = module.GetAttr("PurePythonBuyingPowerModel").Invoke();
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}
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var result = PythonUtil.CreateInstanceOrWrapper<IBuyingPowerModel>(
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pyObject,
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py => new BuyingPowerModelPythonWrapper(py)
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);
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Assert.IsNotNull(result);
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Assert.IsInstanceOf<BuyingPowerModelPythonWrapper>(result);
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}
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}
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[Test]
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public void MissingRequiredMethodThrowsException()
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{
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using (Py.GIL())
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{
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string pythonCode = @"
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class IncompleteBuyingPowerModel:
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def GetMaximumOrderQuantityForTargetBuyingPower(self, parameters):
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return GetMaximumOrderQuantityResult(100)
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def HasSufficientBuyingPowerForOrder(self, parameters):
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return HasSufficientBuyingPowerForOrderResult(True)
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";
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var module = PyModule.FromString("TestModels", pythonCode);
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var purePython = module.GetAttr("IncompleteBuyingPowerModel").Invoke();
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Assert.Throws<NotImplementedException>(() =>
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PythonUtil.CreateInstanceOrWrapper<IBuyingPowerModel>(purePython, py => new BuyingPowerModelPythonWrapper(py)));
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}
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}
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[Test]
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public void PureCSharpClassReturnsDirectInstanceWithoutWrapper()
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{
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using (Py.GIL())
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{
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// Create pure C# instance
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var csharpObject = new BuyingPowerModel();
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var pyObject = csharpObject.ToPython();
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// Should return the same C# instance, not a wrapper
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var result = PythonUtil.CreateInstanceOrWrapper<IBuyingPowerModel>(
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pyObject,
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py => new BuyingPowerModelPythonWrapper(py)
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);
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Assert.IsNotNull(result);
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Assert.AreSame(csharpObject, result);
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Assert.IsNotInstanceOf<BuyingPowerModelPythonWrapper>(result);
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Assert.IsInstanceOf<BuyingPowerModel>(result);
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}
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}
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}
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}
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Reference in New Issue
Block a user