wehub-resource-sync
464 lines
20 KiB
C#
464 lines
20 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Python;
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using QuantConnect.Algorithm;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Statistics;
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using QuantConnect.Tests.Common.Data;
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namespace QuantConnect.Tests.Python
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{
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[TestFixture]
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public class DataConsolidatorPythonWrapperTests: BaseConsolidatorTests
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{
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[Test]
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public void UpdatePyConsolidator()
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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 CustomConsolidator(PythonConsolidator):\n" +
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" def __init__(self):\n" +
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" self.update_was_called = False\n" +
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" self.input_type = QuoteBar\n" +
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" self.output_type = QuoteBar\n" +
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" self.consolidated = None\n" +
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" self.working_data = None\n" +
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" def update(self, data):\n" +
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" self.update_was_called = True\n" +
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" def scan(self, time):\n" +
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" pass\n");
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var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
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using var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = period
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};
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wrapper.Update(bar1);
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bool called;
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customConsolidator.GetAttr("update_was_called").TryConvert(out called);
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Assert.True(called);
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}
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}
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[Test]
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public void ScanPyConsolidator()
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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 CustomConsolidator(PythonConsolidator):\n" +
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" def __init__(self):\n" +
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" self.scan_was_called = False\n" +
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" self.input_type = QuoteBar\n" +
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" self.output_type = QuoteBar\n" +
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" self.consolidated = None\n" +
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" self.working_data = None\n" +
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" def update(self, data):\n" +
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" pass\n" +
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" def scan(self, time):\n" +
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" self.scan_was_called = True\n");
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var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
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using var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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wrapper.Scan(DateTime.Now);
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bool called;
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customConsolidator.GetAttr("scan_was_called").TryConvert(out called);
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Assert.True(called);
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}
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}
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[Test]
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public void InputTypePyConsolidator()
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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 CustomConsolidator(PythonConsolidator):\n" +
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" def __init__(self):\n" +
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" self.input_type = QuoteBar\n" +
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" self.output_type = QuoteBar\n" +
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" self.consolidated = None\n" +
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" self.working_data = None\n" +
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" def update(self, data):\n" +
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" pass\n" +
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" def scan(self, time):\n" +
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" pass\n");
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var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
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using var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var type = wrapper.InputType;
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Assert.True(type == typeof(QuoteBar));
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}
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}
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[Test]
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public void OutputTypePyConsolidator()
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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 CustomConsolidator(PythonConsolidator):\n" +
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" def __init__(self):\n" +
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" self.input_type = QuoteBar\n" +
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" self.output_type = QuoteBar\n" +
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" self.consolidated = None\n" +
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" self.working_data = None\n" +
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" def update(self, data):\n" +
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" pass\n" +
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" def scan(self, time):\n" +
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" pass\n");
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var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
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using var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var type = wrapper.OutputType;
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Assert.True(type == typeof(QuoteBar));
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}
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}
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[Test]
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public void RunRegressionAlgorithm()
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{
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var parameter = new RegressionTests.AlgorithmStatisticsTestParameters("CustomConsolidatorRegressionAlgorithm",
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new Dictionary<string, string> {
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{PerformanceMetrics.TotalOrders, "15"},
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{"Average Win", "0.42%"},
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{"Average Loss", "-0.03%"},
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{"Compounding Annual Return", "76.673%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "4.239"},
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{"Net Profit", "1.203%"},
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{"Sharpe Ratio", "7.908"},
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{"Probabilistic Sharpe Ratio", "94.373%"},
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{"Loss Rate", "62%"},
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{"Win Rate", "38%"},
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{"Profit-Loss Ratio", "12.97"},
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{"Alpha", "0.408"},
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{"Beta", "0.35"},
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{"Annual Standard Deviation", "0.067"},
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{"Annual Variance", "0.005"},
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{"Information Ratio", "1.484"},
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{"Tracking Error", "0.117"},
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{"Treynor Ratio", "1.526"},
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{"Total Fees", "$24.34"}
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},
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Language.Python,
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AlgorithmStatus.Completed);
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AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
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parameter.Statistics,
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parameter.Language,
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parameter.ExpectedFinalStatus);
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}
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[Test]
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public void WindowIsPopulatedOnConsolidation()
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{
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using (Py.GIL())
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{
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using var wrapper = CreateFedPythonWrapper(1);
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Assert.AreEqual(1, wrapper.Window.Count);
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Assert.IsNotNull(wrapper.Consolidated);
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Assert.AreEqual(wrapper.Consolidated, wrapper[0]);
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}
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}
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[Test]
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public void WindowKeepsPreviousConsolidatedBar()
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{
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using (Py.GIL())
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{
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using var wrapper = CreateFedPythonWrapper(1);
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var firstConsolidated = wrapper.Consolidated;
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FeedConsolidation(wrapper, 1);
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Assert.AreEqual(2, wrapper.Window.Count);
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Assert.AreNotEqual(firstConsolidated, wrapper[0]);
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Assert.AreEqual(firstConsolidated, wrapper[1]);
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Assert.AreEqual(firstConsolidated, wrapper.Previous);
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}
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}
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[Test]
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public void CanIterateOverConsolidatedBars()
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{
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using (Py.GIL())
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{
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using var wrapper = CreateFedPythonWrapper(2);
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var bars = wrapper.ToList();
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Assert.AreEqual(2, bars.Count);
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Assert.AreEqual(wrapper[0], bars[0]);
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Assert.AreEqual(wrapper[1], bars[1]);
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}
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}
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[Test]
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public void ResetClearsWindow()
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{
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using (Py.GIL())
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{
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using var wrapper = CreateFedPythonWrapper(1);
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wrapper.Reset();
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Assert.AreEqual(0, wrapper.Window.Count);
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Assert.IsNull(wrapper.Consolidated);
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}
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}
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private static DataConsolidatorPythonWrapper CreateFedPythonWrapper(int consolidations)
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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 CustomConsolidator(QuoteBarConsolidator):\n" +
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" def __init__(self):\n" +
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" super().__init__(timedelta(minutes=2))\n");
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var wrapper = new DataConsolidatorPythonWrapper(module.GetAttr("CustomConsolidator").Invoke());
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FeedConsolidation(wrapper, consolidations);
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return wrapper;
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}
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private static void FeedConsolidation(DataConsolidatorPythonWrapper wrapper, int consolidations)
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{
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var offset = wrapper.Window.Count * 2;
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var time = DateTime.Today;
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for (var i = 0; i < consolidations; i++)
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{
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var bar = new QuoteBar { Time = time.AddMinutes(offset + i * 2), Symbol = Symbols.SPY, Bid = new Bar(1, 2, 0.75m, 1.25m), LastBidSize = 3, Value = 1, Period = TimeSpan.FromMinutes(1) };
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wrapper.Update(bar);
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wrapper.Scan(time.AddMinutes(offset + (i + 1) * 2));
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}
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}
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[Test]
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public void PythonConsolidatorSubclassExposesWindow()
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{
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// custom consolidators that inherit PythonConsolidator (the documented path) must expose the
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// rolling window just like the C# consolidators, not only the ones routed through the wrapper
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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 CustomConsolidator(PythonConsolidator):\n" +
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" def __init__(self):\n" +
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" self.input_type = QuoteBar\n" +
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" self.output_type = QuoteBar\n" +
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" self.consolidated = None\n" +
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" self.working_data = None\n" +
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" def update(self, data):\n" +
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" pass\n" +
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" def scan(self, time):\n" +
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" pass\n");
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var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
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var consolidator = customConsolidator.As<PythonConsolidator>();
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var time = DateTime.Today;
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var bar1 = new QuoteBar { Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 0.75m, 1.25m), Value = 1, Period = TimeSpan.FromMinutes(1) };
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var bar2 = new QuoteBar { Time = time.AddMinutes(1), Symbol = Symbols.SPY, Bid = new Bar(1, 2, 0.75m, 1.25m), Value = 2, Period = TimeSpan.FromMinutes(1) };
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consolidator.OnDataConsolidated(customConsolidator, bar1);
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consolidator.OnDataConsolidated(customConsolidator, bar2);
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Assert.AreEqual(2, consolidator.Window.Count);
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Assert.AreEqual(bar2, consolidator[0]);
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Assert.AreEqual(bar1, consolidator.Previous);
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consolidator.Reset();
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Assert.AreEqual(0, consolidator.Window.Count);
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}
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}
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[Test]
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public void AttachAndTriggerEvent()
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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 ImplementingClass():\n" +
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" def __init__(self):\n" +
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" self.EventCalled = False\n" +
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" self.Consolidator = CustomConsolidator(timedelta(minutes=2))\n" +
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" self.Consolidator.DataConsolidated += self.ConsolidatorEvent\n" +
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" def ConsolidatorEvent(self, sender, bar):\n" +
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" self.EventCalled = True\n" +
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"class CustomConsolidator(QuoteBarConsolidator):\n" +
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" def __init__(self,span):\n" +
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" super().__init__(span)\n" +
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" self.Span = span\n");
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var implementingClass = module.GetAttr("ImplementingClass").Invoke();
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var customConsolidator = implementingClass.GetAttr("Consolidator");
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using var wrapper = new DataConsolidatorPythonWrapper(customConsolidator);
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bool called;
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implementingClass.GetAttr("EventCalled").TryConvert(out called);
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Assert.False(called);
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = period
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};
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wrapper.Update(bar1);
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wrapper.Scan(time.AddMinutes(2));
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implementingClass.GetAttr("EventCalled").TryConvert(out called);
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Assert.True(called);
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}
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}
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[Test]
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public void SubscriptionManagedDoesNotWrapCSharpConsolidators()
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{
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//Setup algorithm and Equity
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var spy = algorithm.AddEquity("SPY").Symbol;
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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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"consolidator = QuoteBarConsolidator(timedelta(5))");
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var pyConsolidator = module.GetAttr("consolidator");
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algorithm.SubscriptionManager.AddConsolidator(spy, pyConsolidator);
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pyConsolidator.TryConvert(out IDataConsolidator consolidator);
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algorithm.SubscriptionManager.RemoveConsolidator(spy, consolidator);
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var count = algorithm.SubscriptionManager
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.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(spy)
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.Sum(x => x.Consolidators.Count);
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Assert.AreEqual(0, count);
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consolidator.Dispose();
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}
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}
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protected override IEnumerable<IBaseData> GetTestValues()
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{
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var time = DateTime.Today;
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return new List<QuoteBar>()
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{
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 0.5m, 1.75m), Ask = new Bar(2.2m, 4.4m, 3.3m, 3.3m), LastBidSize = 10, LastAskSize = 0 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(0, 4, 0.4m, 3.75m), Ask = new Bar(2.3m, 9.4m, 2.3m, 4.5m), LastBidSize = 5, LastAskSize = 4 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(2, 2, 0.9m, 1.45m), Ask = new Bar(2.7m, 8.4m, 3.6m, 3.6m), LastBidSize = 8, LastAskSize = 4 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(2, 6, 2.5m, 5.55m), Ask = new Bar(3.2m, 6.4m, 2.3m, 5.3m), LastBidSize = 9, LastAskSize = 4 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 1.5m, 0.34m), Ask = new Bar(3.6m, 9.4m, 3.7m, 3.8m), LastBidSize = 5, LastAskSize = 8 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 1.1m, 0.75m), Ask = new Bar(3.8m, 8.4m, 7.3m, 5.3m), LastBidSize = 9, LastAskSize = 5 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(3, 3, 2.2m, 1.12m), Ask = new Bar(4.5m, 7.2m, 7.1m, 6.1m), LastBidSize = 6, LastAskSize = 3 },
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};
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}
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protected override void AssertConsolidator(IDataConsolidator consolidator)
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{
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base.AssertConsolidator(consolidator);
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using (Py.GIL())
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{
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var pythonConsolidator = consolidator as TestDataConsolidatorPythonWrapper;
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pythonConsolidator.RawIndicator.GetAttr("update_was_called").TryConvert(out bool pythonConsolidatorUpdateWasCalled);
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Assert.IsFalse(pythonConsolidatorUpdateWasCalled);
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}
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}
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protected override IDataConsolidator CreateConsolidator()
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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 CustomConsolidator(PythonConsolidator):\n" +
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" def __init__(self):\n" +
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" self.update_was_called = False\n" +
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" self.input_type = QuoteBar\n" +
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" self.output_type = QuoteBar\n" +
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" self.consolidated = None\n" +
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" self.working_data = None\n" +
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" def update(self, data):\n" +
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" self.update_was_called = True\n" +
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" def scan(self, time):\n" +
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" pass\n" +
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" def reset(self):\n" +
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" self.update_was_called = False\n");
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var customConsolidator = module.GetAttr("CustomConsolidator").Invoke();
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return new TestDataConsolidatorPythonWrapper(customConsolidator);
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}
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}
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public class TestDataConsolidatorPythonWrapper : DataConsolidatorPythonWrapper
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{
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public PyObject RawIndicator { get; set; }
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public TestDataConsolidatorPythonWrapper(PyObject consolidator) : base(consolidator)
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{
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RawIndicator = consolidator;
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}
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}
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}
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}
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