wehub-resource-sync
105 lines
3.8 KiB
C#
105 lines
3.8 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 NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Orders;
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namespace QuantConnect.Tests.Common.Orders
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{
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[TestFixture]
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public class TerminalLinkOrderPropertiesTests
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{
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[Test]
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public void SeamlesslySetsStrategyInPython()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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def getOrderProperties() -> TerminalLinkOrderProperties:
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strategyFields = [
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TerminalLinkOrderProperties.StrategyField(""09:30:00""),
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TerminalLinkOrderProperties.StrategyField(""10:30:00""),
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TerminalLinkOrderProperties.StrategyField(),
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TerminalLinkOrderProperties.StrategyField()
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]
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properties = TerminalLinkOrderProperties()
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properties.Strategy = TerminalLinkOrderProperties.StrategyParameters(""VWAP"", strategyFields)
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return properties
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");
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dynamic getOrderProperties = module.GetAttr("getOrderProperties");
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var orderProperties = (TerminalLinkOrderProperties)getOrderProperties();
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Assert.IsNotNull(orderProperties);
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Assert.AreEqual("VWAP", orderProperties.Strategy.Name);
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Assert.AreEqual(4, orderProperties.Strategy.Fields.Count);
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Assert.IsTrue(orderProperties.Strategy.Fields[0].HasValue);
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Assert.AreEqual("09:30:00", orderProperties.Strategy.Fields[0].Value);
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Assert.IsTrue(orderProperties.Strategy.Fields[1].HasValue);
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Assert.AreEqual("10:30:00", orderProperties.Strategy.Fields[1].Value);
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Assert.IsFalse(orderProperties.Strategy.Fields[2].HasValue);
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Assert.IsNull(orderProperties.Strategy.Fields[2].Value);
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Assert.IsFalse(orderProperties.Strategy.Fields[3].HasValue);
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Assert.IsNull(orderProperties.Strategy.Fields[3].Value);
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}
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}
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[Test]
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public void LocateFieldsDefaultToEmpty()
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{
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// Locate fields are only meaningful for Reg SHO short equity sales; for any other
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// order they must be unset so the brokerage doesn't emit EMSX_LOCATE_* on the request.
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var properties = new TerminalLinkOrderProperties();
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Assert.IsNull(properties.LocateBroker);
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Assert.IsNull(properties.LocateId);
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}
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[Test]
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public void SetsLocateFieldsFromPython()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString("locateFieldsModule",
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@"
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from AlgorithmImports import *
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def getOrderProperties() -> TerminalLinkOrderProperties:
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properties = TerminalLinkOrderProperties()
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properties.LocateBroker = ""BMTB""
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properties.LocateId = ""LOC-123""
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return properties
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");
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dynamic getOrderProperties = module.GetAttr("getOrderProperties");
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var properties = (TerminalLinkOrderProperties)getOrderProperties();
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Assert.IsNotNull(properties);
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Assert.AreEqual("BMTB", properties.LocateBroker);
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Assert.AreEqual("LOC-123", properties.LocateId);
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}
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}
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}
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}
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