wehub-resource-sync
123 lines
6.2 KiB
C#
123 lines
6.2 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.Collections.Generic;
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using NUnit.Framework;
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using System;
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using Newtonsoft.Json;
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using QuantConnect.Packets;
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using QuantConnect.Algorithm;
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using QuantConnect.Brokerages;
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using Newtonsoft.Json.Serialization;
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namespace QuantConnect.Tests.Common
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{
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[TestFixture]
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public class AlgorithmConfigurationTests
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{
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[TestCaseSource(nameof(AlgorithmConfigurationTestCases))]
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public void CreatesConfiguration(string currency, BrokerageName brokerageName, AccountType accountType,
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Dictionary<string, string> parameters)
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{
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var algorithm = new QCAlgorithm();
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algorithm.SetAccountCurrency(currency);
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algorithm.SetBrokerageModel(brokerageName, accountType);
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algorithm.SetParameters(parameters);
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var algorithmConfiguration = AlgorithmConfiguration.Create(algorithm, null);
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Assert.AreEqual(currency, algorithmConfiguration.AccountCurrency);
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Assert.AreEqual(brokerageName, algorithmConfiguration.Brokerage);
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Assert.AreEqual(accountType, algorithmConfiguration.AccountType);
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CollectionAssert.AreEquivalent(parameters, algorithmConfiguration.Parameters);
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}
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[TestCase(true)]
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[TestCase(false)]
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public void JsonRoundtrip(bool backwardsCompatible)
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{
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var algorithm = new QCAlgorithm();
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algorithm.SetName("Backtest name");
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algorithm.AddTag("tag1");
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algorithm.AddTag("tag2");
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algorithm.SetAccountCurrency(Currencies.GBP);
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algorithm.SetBrokerageModel(BrokerageName.Coinbase, AccountType.Cash);
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algorithm.SetParameters(new Dictionary<string, string> { { "a", "A" }, { "b", "B" } });
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var backtestNode = new BacktestNodePacket
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{
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OutOfSampleDays = 30,
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OutOfSampleMaxEndDate = new DateTime(2023, 01, 01)
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};
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var algorithmConfiguration = AlgorithmConfiguration.Create(algorithm, backtestNode);
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var settings = new JsonSerializerSettings()
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{
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ContractResolver = new DefaultContractResolver
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{
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NamingStrategy = new CamelCaseNamingStrategy
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{
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ProcessDictionaryKeys = false,
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OverrideSpecifiedNames = true
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}
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}
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};
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var serialized = JsonConvert.SerializeObject(algorithmConfiguration, settings);
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if (backwardsCompatible)
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{
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serialized = $"{{\"Name\":\"Backtest name\",\"Tags\":[\"tag1\",\"tag2\"],\"AccountCurrency\":\"GBP\",\"Brokerage\":32," +
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$"\"AccountType\":1,\"Parameters\":{{\"a\":\"A\",\"b\":\"B\"}},\"OutOfSampleMaxEndDate\":\"2023-01-01T00:00:00\"," +
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$"\"OutOfSampleDays\":30,\"StartDate\":\"1998-01-01T00:00:00Z\",\"EndDate\":\"{algorithm.EndDate.ToString(DateFormat.ISOShort)}\",\"TradingDaysPerYear\":252}}";
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}
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else
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{
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Assert.AreEqual($"{{\"name\":\"Backtest name\",\"tags\":[\"tag1\",\"tag2\"],\"accountCurrency\":\"GBP\",\"brokerage\":32," +
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$"\"accountType\":1,\"parameters\":{{\"a\":\"A\",\"b\":\"B\"}},\"outOfSampleMaxEndDate\":\"2023-01-01T00:00:00Z\"," +
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$"\"outOfSampleDays\":30,\"startDate\":\"1998-01-01T00:00:00Z\",\"endDate\":\"{algorithm.EndDate.ToString(DateFormat.ISOShort)}\",\"tradingDaysPerYear\":252}}", serialized);
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}
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var deserialize = JsonConvert.DeserializeObject<AlgorithmConfiguration>(serialized);
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Assert.AreEqual(algorithmConfiguration.Name, deserialize.Name);
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Assert.AreEqual(algorithmConfiguration.Parameters, deserialize.Parameters);
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Assert.AreEqual(algorithmConfiguration.AccountCurrency, deserialize.AccountCurrency);
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Assert.AreEqual(algorithmConfiguration.AccountType, deserialize.AccountType);
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Assert.AreEqual(algorithmConfiguration.Brokerage, deserialize.Brokerage);
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var expected = new DateTime(algorithm.EndDate.Year, algorithm.EndDate.Month, algorithm.EndDate.Day, algorithm.EndDate.Hour, algorithm.EndDate.Minute, algorithm.EndDate.Second);
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Assert.AreEqual(expected, deserialize.EndDate);
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Assert.AreEqual(algorithmConfiguration.OutOfSampleDays, deserialize.OutOfSampleDays);
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Assert.AreEqual(algorithmConfiguration.TradingDaysPerYear, deserialize.TradingDaysPerYear);
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Assert.AreEqual(algorithmConfiguration.OutOfSampleMaxEndDate, deserialize.OutOfSampleMaxEndDate);
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Assert.AreEqual(algorithmConfiguration.StartDate, deserialize.StartDate);
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Assert.AreEqual(algorithmConfiguration.Tags, deserialize.Tags);
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}
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private static TestCaseData[] AlgorithmConfigurationTestCases => new[]
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{
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new TestCaseData("BTC", BrokerageName.Binance, AccountType.Cash,
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new Dictionary<string, string> { { "param1", "param1 value" }, { "param2", "param2 value" } }),
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new TestCaseData("USDT", BrokerageName.Coinbase, AccountType.Cash,
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new Dictionary<string, string> { { "a", "A" }, { "b", "B" } }),
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new TestCaseData("EUR", BrokerageName.Bitfinex, AccountType.Margin,
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new Dictionary<string, string> { { "first", "1" }, { "second", "2" }, { "third", "3" } }),
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new TestCaseData("AUD", BrokerageName.Axos, AccountType.Margin,
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new Dictionary<string, string> { { "ema-slow", "20" }, { "ema-fast", "10" } })
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};
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}
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}
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