wehub-resource-sync
122 lines
4.2 KiB
C#
122 lines
4.2 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;
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using System.Globalization;
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using System.IO;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class PythonIndicatorNoinheritanceSnakeCaseTests : PythonIndicatorNoinheritanceTests
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{
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protected override bool SnakeCase => true;
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}
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[TestFixture]
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public class PythonIndicatorNoinheritanceTests : PythonIndicatorTests
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{
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protected override bool SnakeCase => false;
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/// <summary>
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/// In this Custom Indicator, Update returns a boolean
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/// </summary>
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protected override IndicatorBase<IBaseData> CreateIndicator()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(
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Guid.NewGuid().ToString(),
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$@"
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from collections import deque
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from datetime import datetime, timedelta
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from numpy import sum
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class CustomSimpleMovingAverage():
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def __init__(self, name, period):
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self.{(SnakeCase ? "name" : "Name")}= name
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self.{(SnakeCase ? "value" : "Value")} = 0
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self.{(SnakeCase ? "is_ready" : "IsReady")} = False
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self.queue = deque(maxlen=period)
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# Update method is mandatory
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def {(SnakeCase ? "update" : "Update")}(self, input):
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self.queue.appendleft(input.{(SnakeCase ? "value" : "Value")})
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count = len(self.queue)
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self.{(SnakeCase ? "value" : "Value")} = sum(self.queue) / count
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self.{(SnakeCase ? "is_ready" : "IsReady")} = count == self.queue.maxlen
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return self.{(SnakeCase ? "is_ready" : "IsReady")}
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"
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);
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var indicator = module.GetAttr("CustomSimpleMovingAverage")
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.Invoke("custom".ToPython(), 14.ToPython());
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return new PythonIndicator(indicator);
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}
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}
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protected override void RunTestIndicator(IndicatorBase<IBaseData> indicator)
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{
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var first = true;
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var closeIndex = -1;
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var targetIndex = -1;
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foreach (var line in File.ReadLines(Path.Combine("TestData", TestFileName)))
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{
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var parts = line.Split(new[] { ',' }, StringSplitOptions.None);
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if (first)
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{
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first = false;
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for (var i = 0; i < parts.Length; i++)
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{
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if (parts[i].Trim() == "Close")
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{
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closeIndex = i;
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}
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if (parts[i].Trim() == TestColumnName)
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{
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targetIndex = i;
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}
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}
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if (closeIndex * targetIndex < 0)
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{
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Assert.Fail($"Didn't find one of 'Close' or '{TestColumnName}' in the header: {line}");
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}
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continue;
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}
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var close = decimal.Parse(parts[closeIndex], CultureInfo.InvariantCulture);
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var date = Time.ParseDate(parts[0]);
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var data = new IndicatorDataPoint(date, close);
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indicator.Update(data);
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if (!indicator.IsReady || string.IsNullOrEmpty(parts[targetIndex].Trim()))
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{
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continue;
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}
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var expected = double.Parse(parts[targetIndex], CultureInfo.InvariantCulture);
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Assertion.Invoke(indicator, expected);
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}
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}
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}
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}
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