wehub-resource-sync
110 lines
4.1 KiB
C#
110 lines
4.1 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 NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Common.Orders.Fees
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{
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[TestFixture]
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public class BackwardsCompatibilityFeeModelTests
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{
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private Security _security;
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private static DateTime orderDateTime;
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[SetUp]
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public void SetUp()
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{
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_security = SecurityTests.GetSecurity();
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orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0);
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var reference = DateTime.Now;
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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_security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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}
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#region Python
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[Test]
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public void OldFeeModelModel_GetOrderFee_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFeeModel:\n" +
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" def __init__(self):\n" +
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" self.CalledGetOrderFee = False\n" +
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" def GetOrderFee(self, security, order):\n" +
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" self.CalledGetOrderFee = True\n" +
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" return 15");
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var customFeeModel = module.GetAttr("CustomFeeModel").Invoke();
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var wrapper = new FeeModelPythonWrapper(customFeeModel);
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var result = wrapper.GetOrderFee(new OrderFeeParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime)
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));
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bool called;
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customFeeModel.GetAttr("CalledGetOrderFee").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(15, result.Value.Amount);
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Assert.AreEqual(Currencies.USD, result.Value.Currency);
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}
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}
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[Test]
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public void NewFeeModelModel_GetOrderFee_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFeeModel(FeeModel):\n" +
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" def __init__(self):\n" +
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" self.CalledGetOrderFee = False\n" +
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" def GetOrderFee(self, parameters):\n" +
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" self.CalledGetOrderFee = True\n" +
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" return OrderFee(CashAmount(15, \"USD\"))");
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var customFeeModel = module.GetAttr("CustomFeeModel").Invoke();
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var wrapper = new FeeModelPythonWrapper(customFeeModel);
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var result = wrapper.GetOrderFee(new OrderFeeParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime)
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));
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bool called;
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customFeeModel.GetAttr("CalledGetOrderFee").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(15, result.Value.Amount);
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Assert.AreEqual(Currencies.USD, result.Value.Currency);
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}
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}
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#endregion
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}
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}
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