chore: import upstream snapshot with attribution
This commit is contained in:
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 NodaTime;
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using Python.Runtime;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Python;
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using System.Collections.Generic;
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using System.Reflection;
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namespace QuantConnect.Tests.Python
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{
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[TestFixture]
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public class PythonDataTests
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{
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[TestCase("value", "symbol")]
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[TestCase("Value", "Symbol")]
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public void ValueAndSymbol(string value, string symbol)
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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$@"
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from AlgorithmImports import *
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class CustomDataTest(PythonData):
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def Reader(self, config, line, date, isLiveMode):
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result = CustomDataTest()
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result.{symbol} = config.Symbol
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result.{value} = 10
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result.time = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
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result.end_time = datetime.strptime(""2022-05-15"", ""%Y-%m-%d"")
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return result");
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var data = GetDataFromModule(testModule);
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Assert.AreEqual(Symbols.SPY, data.Symbol);
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Assert.AreEqual(10, data.Value);
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Assert.AreEqual(Symbols.SPY, data.symbol);
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Assert.AreEqual(10, data.value);
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}
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}
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[TestCase("EndTime", "Time")]
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[TestCase("endtime", "Time")]
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[TestCase("end_time", "Time")]
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[TestCase("EndTime", "time")]
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[TestCase("endtime", "time")]
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[TestCase("end_time", "time")]
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public void TimeAndEndTimeCanBeSet(string endtime, string time)
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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$@"
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from AlgorithmImports import *
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class CustomDataTest(PythonData):
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def Reader(self, config, line, date, isLiveMode):
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result = CustomDataTest()
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result.Symbol = config.Symbol
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result.Value = 10
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result.{time} = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
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result.{endtime} = datetime.strptime(""2022-05-15"", ""%Y-%m-%d"")
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return result");
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var data = GetDataFromModule(testModule);
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Assert.AreEqual(new DateTime(2022, 5, 5), data.Time);
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Assert.AreEqual(new DateTime(2022, 5, 15), data.EndTime);
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}
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}
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[TestCase("EndTime")]
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[TestCase("endtime")]
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[TestCase("end_time")]
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public void OnlyEndTimeCanBeSet(string endtime)
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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$@"
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from AlgorithmImports import *
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class CustomDataTest(PythonData):
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def Reader(self, config, line, date, isLiveMode):
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result = CustomDataTest()
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result.Symbol = config.Symbol
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result.Value = 10
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result.{endtime} = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
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return result");
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var data = GetDataFromModule(testModule);
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Assert.AreEqual(new DateTime(2022, 5, 5), data.Time);
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Assert.AreEqual(new DateTime(2022, 5, 5), data.EndTime);
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}
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}
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[TestCase("Time")]
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[TestCase("time")]
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public void OnlyTimeCanBeSet(string time)
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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$@"
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from AlgorithmImports import *
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class CustomDataTest(PythonData):
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def Reader(self, config, line, date, isLiveMode):
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result = CustomDataTest()
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result.Symbol = config.Symbol
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result.Value = 10
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result.{time} = datetime.strptime(""2022-05-05"", ""%Y-%m-%d"")
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return result");
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var data = GetDataFromModule(testModule);
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Assert.AreEqual(new DateTime(2022, 5, 5), data.Time);
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Assert.AreEqual(new DateTime(2022, 5, 5), data.EndTime);
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}
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}
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public class TestPythonData : PythonData
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{
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private static void Throw()
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{
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throw new Exception("TestPythonData.Throw()");
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}
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public override bool RequiresMapping()
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{
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Throw();
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return true;
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}
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public override bool IsSparseData()
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{
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Throw();
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return true;
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}
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public override Resolution DefaultResolution()
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{
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Throw();
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return Resolution.Daily;
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}
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public override List<Resolution> SupportedResolutions()
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{
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Throw();
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return new List<Resolution> { Resolution.Daily };
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}
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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Throw();
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return new TestPythonData();
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}
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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Throw();
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return new SubscriptionDataSource("test", SubscriptionTransportMedium.LocalFile);
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}
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}
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[TestCase("RequiresMapping")]
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[TestCase("IsSparseData")]
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[TestCase("DefaultResolution")]
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[TestCase("SupportedResolutions")]
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[TestCase("Reader")]
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[TestCase("GetSource")]
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public void CallsCSharpMethodsIfNotDefinedInPython(string methodName)
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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$@"
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from AlgorithmImports import *
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from QuantConnect.Tests.Python import *
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class CustomDataClass(PythonDataTests.TestPythonData):
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pass");
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var customDataClass = testModule.GetAttr("CustomDataClass");
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var type = Extensions.CreateType(customDataClass);
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var data = new PythonData(customDataClass());
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var args = Array.Empty<object>();
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var methodArgsType = Array.Empty<Type>();
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if (methodName.Equals("Reader", StringComparison.OrdinalIgnoreCase))
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{
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var config = new SubscriptionDataConfig(type, Symbols.SPY, Resolution.Daily, DateTimeZone.Utc,
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DateTimeZone.Utc, false, false, false, isCustom: true);
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args = new object[] { config, "line", DateTime.MinValue, false };
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methodArgsType = new[] { typeof(SubscriptionDataConfig), typeof(string), typeof(DateTime), typeof(bool) };
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}
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else if (methodName.Equals("GetSource", StringComparison.OrdinalIgnoreCase))
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{
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var config = new SubscriptionDataConfig(type, Symbols.SPY, Resolution.Daily, DateTimeZone.Utc,
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DateTimeZone.Utc, false, false, false, isCustom: true);
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args = new object[] { config, DateTime.MinValue, false };
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methodArgsType = new[] { typeof(SubscriptionDataConfig), typeof(DateTime), typeof(bool) };
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}
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var exception = Assert.Throws<TargetInvocationException>(() => typeof(PythonData).GetMethod(methodName, methodArgsType).Invoke(data, args));
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Assert.AreEqual($"TestPythonData.Throw()", exception.InnerException.Message);
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}
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}
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private static BaseData GetDataFromModule(dynamic testModule)
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{
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var type = Extensions.CreateType(testModule.GetAttr("CustomDataTest"));
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var customDataTest = new PythonData(testModule.GetAttr("CustomDataTest")());
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var config = new SubscriptionDataConfig(type, Symbols.SPY, Resolution.Daily, DateTimeZone.Utc,
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DateTimeZone.Utc, false, false, false, isCustom: true);
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return customDataTest.Reader(config, "something", DateTime.UtcNow, false);
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}
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}
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}
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