wehub-resource-sync
199 lines
9.8 KiB
C#
199 lines
9.8 KiB
C#
/*
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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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