wehub-resource-sync
89 lines
4.3 KiB
Python
89 lines
4.3 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Tests the mapping of the ETF symbol that has a constituent universe attached to it and ensures
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### that data is loaded after the mapping event takes place.
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### </summary>
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class ETFConstituentUniverseFilterFunctionRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2011, 2, 1)
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self.set_end_date(2011, 4, 4)
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self.set_cash(100000)
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self.filter_date_constituent_symbol_count = {}
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self.constituent_data_encountered = {}
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self.constituent_symbols = []
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self.mapping_event_occurred = False
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self.universe_settings.resolution = Resolution.HOUR
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self.aapl = Symbol.create("AAPL", SecurityType.EQUITY, Market.USA)
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self.qqq = self.add_equity("QQQ", Resolution.DAILY).symbol
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self.add_universe(self.universe.etf(self.qqq, self.universe_settings, self.filter_etfs))
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def filter_etfs(self, constituents):
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constituent_symbols = [i.symbol for i in constituents]
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if self.aapl not in constituent_symbols:
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raise AssertionError("AAPL not found in QQQ constituents")
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self.filter_date_constituent_symbol_count[self.utc_time.date()] = len(constituent_symbols)
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for symbol in constituent_symbols:
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self.constituent_symbols.append(symbol)
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self.constituent_symbols = list(set(self.constituent_symbols))
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return constituent_symbols
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def on_data(self, data):
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if len(data.symbol_changed_events) != 0:
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for symbol_changed in data.symbol_changed_events.values():
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if symbol_changed.symbol != self.qqq:
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raise AssertionError(f"Mapped symbol is not QQQ. Instead, found: {symbol_changed.symbol}")
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if symbol_changed.old_symbol != "QQQQ":
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raise AssertionError(f"Old QQQ Symbol is not QQQQ. Instead, found: {symbol_changed.old_symbol}")
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if symbol_changed.new_symbol != "QQQ":
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raise AssertionError(f"New QQQ Symbol is not QQQ. Instead, found: {symbol_changed.new_symbol}")
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self.mapping_event_occurred = True
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if self.qqq in data and len([i for i in data.keys()]) == 1:
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return
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if self.utc_time.date() not in self.constituent_data_encountered:
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self.constituent_data_encountered[self.utc_time.date()] = False
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if len([i for i in data.keys() if i in self.constituent_symbols]) != 0:
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self.constituent_data_encountered[self.utc_time.date()] = True
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if not self.portfolio.invested:
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self.set_holdings(self.aapl, 0.5)
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def on_end_of_algorithm(self):
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if len(self.filter_date_constituent_symbol_count) != 2:
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raise AssertionError(f"ETF constituent filtering function was not called 2 times (actual: {len(self.filter_date_constituent_symbol_count)}")
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if not self.mapping_event_occurred:
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raise AssertionError("No mapping/SymbolChangedEvent occurred. Expected for QQQ to be mapped from QQQQ -> QQQ")
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for constituent_date, constituents_count in self.filter_date_constituent_symbol_count.items():
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if constituents_count < 25:
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raise AssertionError(f"Expected 25 or more constituents in filter function on {constituent_date}, found {constituents_count}")
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for constituent_date, constituent_encountered in self.constituent_data_encountered.items():
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if not constituent_encountered:
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raise AssertionError(f"Received data in OnData(...) but it did not contain any constituent data on {constituent_date.strftime('%Y-%m-%d %H:%M:%S.%f')}")
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